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The Role of News-Based Uncertainty Indices in Predicting Oil Markets: A Hybrid Nonparametric Quantile Causality Method

Balcilar, Mehmet; Bekiros, Stelios; Gupta, Rangan - Department of Economics, Faculty of Economic and … - 2015

whether EPU and EMU uncertainty measures incorporate critical predictability for oil market returns and volatility. Based on … predictability over the entire distribution of oil around the median, yet more importantly for volatility forecastability covers the … pattern over the distribution of oil returns and its volatility exists with respect to uncertainty predictability. …

Persistent link: https://www.econbiz.de/10011267815

Forecasting Monetary Rules in South Africa

Naraidoo, Ruthira; Paya, Ivan - Department of Economics, Faculty of Economic and … - 2010

This paper is the ?rst one to analyze the ability of linear and nonlinear monetary policy rule specifications as well as nonparametric and semiparametric models in forecasting the nominal interest rate setting that describes the South African Reserve Bank (SARB) policy decisions. We augment the...

Persistent link: https://www.econbiz.de/10008513007

Causal Link between Oil Price and Uncertainty in India

Montasser, Ghassen El; Aggad, Kenza; Clark, Louise; … - Department of Economics, Faculty of Economic and … - 2014

relationship, we collect data on the Brent crude oil price as well as the crude oil ETF volatility index. We also use the policy …-related economic uncertainty index as well as the stock market volatility index for India. Our results suggest that the standard … oil ETF volatility index does. Clearly, oil and India’s economic uncertainty go hand-in hand. These findings can thus be …

Persistent link: https://www.econbiz.de/10011095474

Causality and Contagion in EMU Sovereign Bonds Revisited: Novel Evidence from Nonlinear Causality Tests

Babalos, Vassilios; Gupta, Rangan; Kyei, Clement; … - Department of Economics, Faculty of Economic and … - 2015

This paper investigates the possible existence of Granger-causal relationships in the behavior of sovereign bond markets within the European Monetary Union (EMU), with special focus on higher order causality accounting for nonlinear dependence between the variables. With the above in mind both...

Persistent link: https://www.econbiz.de/10011201328

Causality between Exports and Economic Growth in South Africa: Evidence from Linear and Nonlinear Tests

Ajmi, Ahdi N.; Aye, Goodness C.; Balcilar, Mehmet; … - Department of Economics, Faculty of Economic and … - 2013

This paper investigates the dynamic causal link between exports and economic growth using both linear and nonlinear Granger causality tests. We use annual South African data on real exports and real gross domestic product from 1911-2011. The linear Granger causality result shows no evidence of...

Persistent link: https://www.econbiz.de/10010770507

Causality between Economic Policy Uncertainty across Countries: Evidence from Linear and Nonlinear Tests

Ajmi, Ahdi N.; Gupta, Rangan; Kanda, Patrick T. - Department of Economics, Faculty of Economic and … - 2013

Following the 2007-2009 global recession, economic policy uncertainty and its effect on economic recovery has become an issue of interest in academic, media as well as policy-making circles (Baker et al., 2013). Given this backdrop, we investigate causality between economic policy uncertainty in...

Persistent link: https://www.econbiz.de/10010699251

Forecasting Aggregate Retail Sales: The Case of South Africa

Aye, Goodness C.; Balcilar, Mehmet; Gupta, Rangan; … - Department of Economics, Faculty of Economic and … - 2013

Forecasting aggregate retail sales may improve portfolio investors’ ability to predict movements in the stock prices of the retailing chains. Therefore, this paper uses 26 (23 single and 3 combination) forecasting models to forecast South Africa’s aggregate seasonal retail sales. We use data...

Persistent link: https://www.econbiz.de/10010891728

Testing the Monetary Model for Exchange Rate Determination in South Africa: Evidence from 101 Years of Data

Bruyn, Riane de; Gupta, Rangan; stander, Lardo - Department of Economics, Faculty of Economic and … - 2011

Evidence in favour of the monetary model of exchange rate determination for the South African Rand is at best mixed. A co-integrating relationship between the nominal exchange rate and fundamentals forms the basis of the monetary model. With the econometric literature suggesting that it is the...

Persistent link: https://www.econbiz.de/10009370795

Identifying a financial conditions index for South Africa

Thompson, Kirsten; Eyden, Renee van; Gupta, Rangan - Department of Economics, Faculty of Economic and … - 2013

volatility, bond market volatility and monetary aggregates. We explore different methodologies for constructing the FCI, and find …

Persistent link: https://www.econbiz.de/10010751641

Forecasting the U.S. Real House Price Index

Plakandaras, Vasilios; Gupta, Rangan; Gogas, Periklis; … - Department of Economics, Faculty of Economic and … - 2014

The 2006 sudden and immense downturn in U.S. House Prices sparked the 2007 global financial crisis and revived the interest about forecasting such imminent threats for economic stability. In this paper we propose a novel hybrid forecasting methodology that combines the Ensemble Empirical Mode...

Persistent link: https://www.econbiz.de/10010942822