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Long- and Short-Run Relationships between House and Stock Prices in South Africa: A Nonparametric Approach
Aye, Goodness C.; Balcilar, Mehmet; Gupta, Rangan - Department of Economics, Faculty of Economic and … - 2011
series. Thus, in this study, both linear and nonparametric cointegration and Granger Causality tests were conducted utilizing … a monthly data set over 1966:01 and 2011:06. Results from the linear cointegration test showed no long-run relationship … between house and stock prices. At the same time, the linear Granger causality test produced no evidence of causality running …
Persistent link: https://www.econbiz.de/10009401049
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Revisiting the Temporal Causality between Money and Income
Gupta, Rangan - Department of Economics, Faculty of Economic and … - 2005
-directional causality between money and income. When we apply Granger Causality tests we find that income Granger causes money. The … causality disappears when we add interest rates. Next when we use an Error Correction Model the results of the traditional … Granger causality tests hold true in the bivariate system. But, we observe bi-causality under longer lag specifications, and …
Persistent link: https://www.econbiz.de/10005773212
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Real Estate Markets and Uncertainty Shocks: A Variance Causality Approach
Ajmi, Ahdi N.; Babalos, Vassilios; Economou, Fotini; … - Department of Economics, Faculty of Economic and … - 2014
June, 2013. We employ the recently developed test of causality in variance by Hafner and Herwarz (2006) and then we track …
Persistent link: https://www.econbiz.de/10011095443
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Testing the Export-Led Growth Hypothesis for Botswana: A Causality Analysis
Jordaan, André C.; Eita, Joel Hinaunye - Department of Economics, Faculty of Economic and … - 2007
export as a proxy for economic growth, the results show that there is bi-directional causality between export and economic …This paper investigates the causal relationship between export and economic growth for Botswana, using quarterly data … for the period 1995.1-2005.4. It uses two measures of economic growth namely, GDP and GDP excluding export. When GDP is …
Persistent link: https://www.econbiz.de/10005773229
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Can Economic Uncertainty, Financial Stress and Consumer Sentiments Predict U.S. Equity Premium?
Gupta, Rangan; Hammoudeh, Shawkat; Modise, Mampho P.; … - Department of Economics, Faculty of Economic and … - 2013
This article attempts to examine whether the equity premium in the United States can be predicted from a com-prehensive set of 18 economic and financial predictors over a monthly out-of-sample period of 2000:2 to 2011:12, using an in-sample period of 1990:2-2000:1. To do so, we consider, in...
Persistent link: https://www.econbiz.de/10010936606
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Date Stamping Historical Oil Price Bubbles: 1876-2014
Caspi, Itamar; Katzke, Nico; Gupta, Rangan - Department of Economics, Faculty of Economic and … - 2014
This paper sets out to date-stamp periods of historic oil price explosivity (or bubbles) using the Generalized sup ADF (GSADF) test procedure suggested by Phillips et al. (2013). The date-stamping strategy used in this paper is effective at identifying periodically collapsing bubbles; a feature...
Persistent link: https://www.econbiz.de/10010938767
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Has Oil Pirce Predicted Stock Returns for Over a Century?
Narayan, Paresh K.; Gupta, Rangan - Department of Economics, Faculty of Economic and … - 2014
This paper contributes to the debate on the role of oil prices in predicting stock returns. The novelty of the paper is that it considers monthly time-series historical data that span over 150 years (1859:10-2013:12) and applies a predictive regression model that accommodates three salient...
Persistent link: https://www.econbiz.de/10010960357
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Oil Price Forecastability and Economic Uncertainty
Bekiros, Stelios; Gupta, Rangan; Paccagnini, Alessia - Department of Economics, Faculty of Economic and … - 2015
Information on economic policy uncertainty (EPU) does matter in predicting oil returns especially when accounting for omitted nonlinearities in the relationship between these two variables via a time-varying coefficient approach. In this work, we compare the forecastability of standard, Bayesian...
Persistent link: https://www.econbiz.de/10011214021
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Seasonality and Fractional Integration in the Sea Level Rise and Surface Temperature Data along the Barrier Coast of Nigeria
Yaya, OlaOluwa S.; Gil-Alana, Luis A.; Fashae, Oluwatoyin A. - Department of Economics, Faculty of Economic and … - 2015
correlated in a long memory relationship. Further, while time-domain Granger causality test show that sea surface temperature … leads sea-level rise, with frequency domain causality test suggesting that causality is primarily at longer horizons from 18 …
Persistent link: https://www.econbiz.de/10011220718
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Modeling and Forecasting Crude Oil Price Volatility: Evidence from Historical and Recent Data
Lux, Thomas; Segnon, Mawuli K.; Gupta, Rangan - Department of Economics, Faculty of Economic and … - 2015
This paper uses the Markov-switching multifractal (MSM) model and generalized autoregressive conditional heteroscedasticity (GARCH)-type models to forecast oil price volatility over the time periods from January 02, 1875 to December 31, 1895 and from January 03, 1977 to March 24, 2014. Based on...
Persistent link: https://www.econbiz.de/10011268875