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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 …

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

Forecasting the US CPI: Does Nonlinearity Matter?

Álvarez-Díaz, Marcos; Gupta, Rangan - Department of Economics, Faculty of Economic and … - 2015

The objective of this paper is to predict, both in-sample and out-of-sample, the consumer price index (CPI) of the United States (US) economy based on monthly data covering the period of 1980:1-2013:12, using a variety of linear (random walk (RW), autoregressive (AR) and seasonally-adjusted...

Persistent link: https://www.econbiz.de/10011196639

Oil Price Forecastability and Economic Uncertainty

Bekiros, Stelios; Gupta, Rangan; Paccagnini, Alessia - Department of Economics, Faculty of Economic and … - 2015

, we compare the forecastability of standard, Bayesian and TVP-VAR models against the random-walk and benchmark AR models …. 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

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

The global financial crisis that began in 2007-08 demonstrated how severe the impact of financial markets’ stress on real economic activity can be. In the wake of the financial crisis policy-makers and decision-makers across the world identified the critical need for a better understanding of...

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

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

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

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

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

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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