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Dynamic Spillovers in the United States: Stock Market, Housing, Uncertainty and the Macroeconomy

Antonakakis, Nikolaos; Andre, Christophe; Gupta, Rangan - Department of Economics, Faculty of Economic and … - 2015

In this study we examine dynamic macroeconomic spillovers in the United States, with a particular focus on the stock market, housing and economic policy uncertainty (EPU). Based on monthly data over the period 1987M1 to 2014M11, our findings reveal the following features. First, the transmission...

Persistent link: https://www.econbiz.de/10011265896

Does Oil Price Uncertainty Matter for Stock Returns in South Africa?

Aye, Goodness C. - Department of Economics, Faculty of Economic and … - 2014

This paper examines the impact of oil price uncertainty on South Africa’s stock returns using weekly data that covers the period 1995:07:01 to 2014:08:30. The measure of oil price uncertainty is the conditional standard deviation of the one-step-ahead forecast error for the change in the price...

Persistent link: https://www.econbiz.de/10011106157

Revisiting Herding Behavior in REITs: A Regime-Switching Approach

Babalos, Vassilios; Balcilar, Mehmet; Gupta, Rangan; … - Department of Economics, Faculty of Economic and … - 2014

Employing a dynamic model that captures herding under different market regimes we provide novel evidence on the herding behavior of US-listed Real Estate Investment Trusts (REITs). Our sample is extensive and covers the period from 2/1/2004 to 28/6/2013. Estimates of herding behavior are derived...

Persistent link: https://www.econbiz.de/10011095457

Forecasting the Volatility of the Dow Jones Islamic Stock Market Index: Long Memory vs. Regime Switching

Nasr, Adnen Ben; Lux, Thomas; Ajmi, Ahdi N.; Gupta, Rangan - Department of Economics, Faculty of Economic and … - 2014

The financial crisis has fueled interest in alternatives to traditional asset classes that might be less affected by large market gyrations and, thus, provide for a less volatile development of a portfolio. One attempt at selecting stocks that are less prone to extreme risks, is obeyance of...

Persistent link: https://www.econbiz.de/10011095487

International Stock Return Predictability: Is the Role of U.S. Time-Varying?

Aye, Goodness C.; Balcilar, Mehmet; Gupta, Rangan - Department of Economics, Faculty of Economic and … - 2015

This study investigates the predictability of 11 industrialized stock returns with emphasis on the role of U.S. returns. Using monthly data spanning 1980:2 to 2014:12, we show that there exist multiple structural breaks and nonlinearities in the data. Therefore, we employ methods that are...

Persistent link: https://www.econbiz.de/10011272166

Testing for Multiple Bubbles in the BRICS Stock Markets

Chang, Tsangyao; Ranjbar, Omid; Gil-Alana, Luis A.; … - Department of Economics, Faculty of Economic and … - 2014

multiple bubbles in the BRICS (Brazil, Russia, India, China and South Africa) stock markets, using monthly data on stock price …

Persistent link: https://www.econbiz.de/10011274361

COMPARING SOUTH AFRICAN INFLATION VOLATILITY ACROSS MONETARY POLICY REGIMES: AN APPLICATION OF SAPHE CRACKING

Gupta, Rangan; Uwilingiye, Josine - Department of Economics, Faculty of Economic and … - 2009

Recent empirical evidence on the direct link of inflation targeting and inflation volatility is at best mixed. However, comparing inflation volatility across alternative monetary policy regimes within a country based on conventional ways, used in previous studies, begs the question. The question...

Persistent link: https://www.econbiz.de/10004976936

Oil Price Shocks and China’s Economy: Reactions of the Monetary Policy to Oil Price Shocks

Kim, Won Joong; Hammoudeh, Shawkat; Hyun, Jun Seog; … - Department of Economics, Faculty of Economic and … - 2014

The paper empirically analyzes the effect of oil price shocks on China’s economy with special interest in the response … China’s monetary authority, even though the current main objective of the monetary policy is characterized as “maintaining … results reveal that the oil price shock becomes an increasingly important source in the volatility of China’s interest rate. …

Persistent link: https://www.econbiz.de/10011105515

Interaction of Formal and Informal Financial Markets in Quasi-Emerging Market Economies

Ngalawa, Harold; Viegi, Nicola - Department of Economics, Faculty of Economic and … - 2013

The primary objective of this paper is to investigate the interaction of formal and informal financial markets and their impact on economic activity in quasi-emerging market economies. Using a four-sector dynamic stochastic general equilibrium model with asymmetric information in the formal...

Persistent link: https://www.econbiz.de/10011095425

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

This paper investigates the impact of macroeconomic effects of uncertainty on the conditional volatility of US-listed Real Estate Investment Trusts (REITs). To this end we employ three widely accepted US REITs indices and the two uncertainty indices constructed by Baker et al. (2013). Our sample...

Persistent link: https://www.econbiz.de/10011095443