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Can Economic Uncertainty, Financial Stress and Consumer Sentiments Predict U.S. Equity Premium?

Gupta, Rangan; Hammoudeh, Shawkat; Modise, Mampho P.; … - Department of Economics, Faculty of Economic and … - 2013

This article attempts to examine whether the equity premium in the United States can be predicted from a com-prehensive set of 18 economic and financial predictors over a monthly out-of-sample period of 2000:2 to 2011:12, using an in-sample period of 1990:2-2000:1. To do so, we consider, in...

Persistent link: https://www.econbiz.de/10010936606

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

key macroeconomic variables of output growth, inflation and interest rates. We do this by forecasting the aforementioned … forecasting manufacturing production and inflation, while a SP specification proves to be the best for forecasting the interest …

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

Do House Prices Impact Consumption and Interest Rate?: Evidence from OECD Countries Using an Agnostic Identification Procedure

André, Christophe; Gupta, Rangan; Kanda, Patrick T. - Economics Department, Organisation de Coopération et … - 2012

Canada, France, Japan and the UK. A significant positive delayed response of nominal interest rates follows a house price … shock in Germany, Japan, the UK and the US, suggesting that while central banks do not seem to respond instantly and …

Persistent link: https://www.econbiz.de/10011277019

Time-Frequency Relationship between U.S. Output with Commodity and Asset Prices

Tiwari, Aviral K.; Albulescu, Claudiu T.; Gupta, Rangan - Department of Economics, Faculty of Economic and … - 2015

. Finally, when controlling for the influence of the interest rate, inflation and other commodity and asset prices, co …

Persistent link: https://www.econbiz.de/10011267816

Do House Prices Impact Consumption and Interest Rate in South Africa? Evidence from a Time-Varying Vector Autoregressive Model

Peretti, Vittorio; Gupta, Rangan; Inglesi-Lotz, Roula - Department of Economics, Faculty of Economic and … - 2012

liberalization until the South African Reserve Bank (SARB) moved to the official inflation-targeting regime. The effect of house …

Persistent link: https://www.econbiz.de/10010552942

Private and Public Health Expenditures in an Endogenous Growth Model with Inflation Targeting

Gupta, Rangan; Vermeulen, Cobus - In: Annals of Economics and Finance 11 (2010) 1, pp. 139-153

and an inflation targeting monetary authority, and analyzes the growth dynamics that emerges from this framework. Besides …

Persistent link: https://www.econbiz.de/10010554858

Forecasting the South African Economy: A DSGE-VAR Approach

Guangling â€˜Daveâ€™ Liu; Gupta, Rangan; … - Economic Research Southern Africa (ERSA) - 2007

This paper develops an estimable hybrid model that combines the micro-founded DSGE model with the flexibility of the theoretical VAR model. The model is estimated via the maximum likelihood technique based on quarterly data on real Gross National Product (GNP), consumption, investment and hours...

Persistent link: https://www.econbiz.de/10008594417

Housing and the Great Depression

Balcilar, Mehmet; Gupta, Rangan; Miller, Stephen M. - Department of Economics, Faculty of Economic and … - 2013

This paper considers the role of the real housing price in the Great Depression. More specifically, we examine structural stability of the relationship between the real housing price and real GDP per capita. We test for structural change in parameter values, using a sample of annual US data from...

Persistent link: https://www.econbiz.de/10010754109

Can Economic Uncertainty, Financial Stress and Consumer Sentiments Predict U.S. Equity Premium?

Gupta, Rangan; Hammoudeh, Shawkat; Modise, Mampho P.; … - Institut de Préparation à l'Administration et à la … - 2013

This article attempts to examine whether the equity premium in the United States can be predicted from a comprehensive set of 18 economic and financial predictors over a monthly out-of-sample period of 2000:2 to 2011:12, using an in-sample period of 1990:2-2000:1. To do so, we consider, in...

Persistent link: https://www.econbiz.de/10010754801

Do House Prices Impact Consumption and Interest Rate? Evidence from OECD Countries using an Agnostic Identification Procedure

Andre, Christophe; Gupta, Rangan; Kanda, Patrick T. - In: Applied Economics Quarterly (formerly: Konjunkturpolitik) 58 (2012) 1, pp. 19-70

shock in Canada, France, Japan, Spain and, the UK. A significant positive delayed response of nominal interest rates follows … a house price shock in Germany, Japan, the UK and, the US, suggesting that while central banks do not seem to respond …

Persistent link: https://www.econbiz.de/10010639468