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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
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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
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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
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Oil Price Forecastability and Economic Uncertainty
Bekiros, Stelios; Gupta, Rangan; Paccagnini, Alessia - Department of Economics, Faculty of Economic and … - 2015
. Our results indicate that over the period 1900:1-2014:2 the time-varying VAR model with stochastic volatility outranks all …
Persistent link: https://www.econbiz.de/10011214021
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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
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DSGE Model-Based Forecasting of Modeled and Non-Modeled Inflation Variables in South Africa
Gupta, Rangan; kanda, Patrick T.; Modise, Mampho P.; … - Department of Economics, Faculty of Economic and … - 2013
Inflation forecasts are a key ingredient for monetary policymaking - especially in an inflation targeting country such as South Africa. Generally, a typical Dynamic Stochastic General Equilibrium (DSGE) only includes a core set of variables. As such, other variables,e.g. such as alternative...
Persistent link: https://www.econbiz.de/10010754110
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Forecasting Real House Price of the U.S.: An Analysis Covering 1890 to 2012
Aye, Goodness C.; Gupta, Rangan - Department of Economics, Faculty of Economic and … - 2013
This paper evaluates the ability of Bayesian shrinkage-based dynamic predictive regression models estimated with hierarchical priors (Adaptive Jefferys, Adaptive Student-t, Lasso, Fussed Lasso and Elastic Net priors) and non-hierarchical priors (Gaussian, Lasso-LARS, Lasso-Landweber) in...
Persistent link: https://www.econbiz.de/10010711933
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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
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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
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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