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Causal Link between Oil Price and Uncertainty in India

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

This paper investigates the causality between oil price and economic uncertainty in India. In order to test for this 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...

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

Volatility Transmission between Islamic and Conventional Equity Markets: Evidence from Causality-in-Variance Test

Nazlioglu, Saban; Hammoudeh, Shawkat; Gupta, Rangan - Department of Economics, Faculty of Economic and … - 2013

This paper examines whether a volatility/risk transmission exists between the Dow Jones Islamic stock and three conventional stock markets for the U.S., Europe, and Asia during the pre- and the in- and post-2008 crisis periods. It also explores the volatility spillover dynamics between those...

Persistent link: https://www.econbiz.de/10011220716

Comparing the Forecasting Ability of Financial Conditions Indices: The Case of South Africa

Balcilar, Mehmet; Gupta, Rangan; Eyden, Renee van; … - Department of Economics, Faculty of Economic and … - 2015

macroeconomic variables based on the information contained in the three alternative FCIs using a Bayesian VAR (BVAR), nonlinear … compare the results with the standard benchmarks of random-walk, univariate autoregressive and classical VAR models. The three … autoregressive (TVP-VAR) model with constant factor loadings. Our results suggest that the VSTAR model performs best in the case of …

Persistent link: https://www.econbiz.de/10011220717

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

This paper examines the time series properties of sea level rise and the surface temperature data along the Barrier Coast of Nigeria. In particular, we focus on the seasonality and the degree of persistence of the series, measured in terms of seasonal and non-seasonal unit roots along with...

Persistent link: https://www.econbiz.de/10011220718

Was the Recent Downturn in US GDP Predictable?

Balcilar, Mehmet; Gupta, Rangan; Majumdar, Anandamayee; … - Department of Economics, Faculty of Economic and … - 2012

This paper uses small set of variables-- real GDP, the inflation rate, and the short-term interest rate -- and a rich set of models -- athoeretical and theoretical, linear and nonlinear, as well as classical and Bayesian models -- to consider whether we could have predicted the recent downturn...

Persistent link: https://www.econbiz.de/10011201327

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

Real Estate Returns Predictability Revisited: Novel Evidence from the US REITs Market

Akinsomi, Kola; Aye, Goodness C.; Babalos, Vassilios; … - Department of Economics, Faculty of Economic and … - 2014

In this paper we examine the real estate returns predictability employing US REITs and a set of possible predictors for … predictability under a flexible framework that captures parameter instability. Apart from the traditional factors examined in …

Persistent link: https://www.econbiz.de/10011206177

The Time-Series Linkages between US Fiscal Policy and Asset Prices

Montasser, Ghassen El; Gupta, Rangan; Jooste, Charl; … - Department of Economics, Faculty of Economic and … - 2015

This paper studies the interplay of fiscal policy and asset price returns of the United States in a time-varying-parameter vector autoregressive model. Using annual data from 1890 to 2013, we study the effects of dynamic shocks to both fiscal policy and asset returns on asset returns and fiscal...

Persistent link: https://www.econbiz.de/10011212744

Dynamic Co-movements between Economic Policy Uncertainty and Housing Market Returns

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

We examine dynamic correlations between housing market returns and economic policy uncertainty in the United States. Our findings suggest that correlations are time-varying and sensitive to economic fundamentals and US recessions.

Persistent link: https://www.econbiz.de/10011185238

Predicting Stock Returns and Volatility Using Consumption-Aggregate Wealth Ratios: A Nonlinear Approach

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

Recent empirical evidence based on a linear framework tends to suggest that a Markov-switching version of the consumption-aggregate wealth ratio (cayMS), developed to account for structural breaks, is a better predictor of stock returns than the conventional measure (cay) – a finding we...

Persistent link: https://www.econbiz.de/10011188121