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Time Aggregation, Long-Run Money Demand and the Welfare Cost of Inflation
Gupta, Rangan; Uwilingiye, Josine - Department of Economics, Faculty of Economic and … - 2008
through the estimation of long-run money demand relationships using cointegration and long-horizon approaches. Realizing that …
Persistent link: https://www.econbiz.de/10005773177
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Reconsidering the Welfare Cost of Inflation in the US: A Nonparametric Estimation of the Nonlinear Long-Run Money Demand Equation using Projection Pursuit Regressions
Gupta, Rangan; Majumdar, Anandamayee - Department of Economics, Faculty of Economic and … - 2011
the behavior US money demand over the period of 1980:Q1 to 2010:Q4, using the standard linear cointegration procedures …
Persistent link: https://www.econbiz.de/10009147829
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Measuring the Welfare Cost of Inflation in South Africa
Gupta, Rangan; Uwilingiye, Josine - Department of Economics, Faculty of Economic and … - 2008
In this paper, we estimate the long-run equilibrium relationship between money balance as a ratio of income and the Treasury bill rate for the period of 1965:02 to 2007:01, and, in turn, use the relationship to obtain welfare cost estimates of inflation. Using the Johansen (1991, 1995)...
Persistent link: https://www.econbiz.de/10005773207
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Measuring the Welfare Cost of Inflation in South Africa: A Reconsideration
Gupta, Rangan; Uwilingiye, Josine - Department of Economics, Faculty of Economic and … - 2008
), using the same data set, but based on Johansen’s (1991, 1995) cointegration technique, the values are less by more than half …
Persistent link: https://www.econbiz.de/10005773202
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Macroeconomic Surprises and Stock Returns in South Africa
Gupta, Rangan; Reid, Monique - Department of Economics, Faculty of Economic and … - 2012
The objective of this paper is to explore the sensitivity of industry-specific stock returns to monetary policy and macroeconomic news. The paper looks at a range of industry-specific South African stock market indices and evaluates the sensitivity of these indices to a various unanticipated...
Persistent link: https://www.econbiz.de/10010565808
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Assessment of Monetary Union in SADC: Evidence from Cointegration and Panel Unit Root Tests
Zehirun, Mulatu F.; Breitenbach, Marthinus C.; Kemegue, … - Department of Economics, Faculty of Economic and … - 2015
area (OCA) theory. We apply Johansen’s multivariate co-integration technique, panel unit root tests, Pedroni’s residual … cointegration test and error correction based panel cointegration tests. The findings from this study confirm that GPPP holds among … SADC member countries included in this study on account of cointegration and stationarity in real exchange rate series. The …
Persistent link: https://www.econbiz.de/10011165590
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Does the Price of Oil Help Predict Inflation in South Africa? Historical Evidence Using a Frequency Domain Approach
Kanda, Patrick T. - Department of Economics, Faculty of Economic and … - 2014
The association between oil prices and inflation has remained an intriguing issue for media, academic as well as policy enquiry. Against this backdrop, we perform the frequency-domain causality test to investigate whether the growth rate of oil prices has predictive content for inflation in...
Persistent link: https://www.econbiz.de/10011149764
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Are the Effects of Monetary Policy Asymmetric in India? Evidence from a Nonlinear Vector Autoregression Approach
Aye, Goodness C.; Gupta, Rangan - Department of Economics, Faculty of Economic and … - 2012
This paper uses Indian quarterly data for the period of 1960:Q2-2011:Q2 to test for nonlinearity in a standard monetary vector autoregression (VAR) model comprising of output, price and money, using an estimation strategy that is consistent with wide range of structural models. We find that...
Persistent link: https://www.econbiz.de/10009397137
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Do House Prices Impact Consumption and Interest Rate? Evidence from OECD Countries using an Agnostic Identification Procedure
Andre, Christophe; Gupta, Rangan; Kanda, Patrick T. - Department of Economics, Faculty of Economic and … - 2011
This paper investigates the existence of significant spillovers from the housing sector onto the wider economy for the seven major OECD countries using Uhlig's (2005) agnostic identification procedure. This method allows identifying a housing demand shock in a six-variable VAR model by imposing...
Persistent link: https://www.econbiz.de/10009323420
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The Long-Run Relationship between Inflation and Real Stock Prices: Empirical Evidence from South Africa
Arjoon, Riona; Botes, Mariette; Chesang, Laban K.; … - Department of Economics, Faculty of Economic and … - 2010
The existing literature on the theoretical relationship between the rate of inflation and real stock prices in an economy has shown varied predictions about the long run effects of inflation on real stock prices. In this paper, we present some time series evidence on this issue using South...
Persistent link: https://www.econbiz.de/10008756445