Information on economic policy uncertainty (EPU) does matter in predicting oil returns especially when accounting for omitted nonlinearities in the relationship between these two variables via a time-varying coefficient approach. In this work, we compare the forecastability of standard, Bayesian...

There exists a huge international literature on the, so-called, Environmental Kuznets Curve (EKC) hypothesis, which in turn, postulates an inverted u-shaped relationship between environmental pollutants and output. The empirical literature on EKC has mainly used test for cointegration, based on...

In this paper, we test for the structural stability of both bivariate and multivariate predictive regression models for equity premium in South Africa over the period of 1990:01 to 2010:12, based on 23 financial and macroeconomic variables. We employ a wide range of methodologies, namely, the...

This paper uses a predictive regression framework to examine the out-of-sample predictability of South Africa’s equity premium, using a host of financial and macroeconomic variables. Past studies tend to suggest that the predictors on their own fail to deliver consistent out-of-sample forecast...