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Is the Rand Really Decoupled from Economic Fundamentals?

Balcilar, Mehmet; Gupta, Rangan; Jooste, Charl - Department of Economics, Faculty of Economic and … - 2014

We analyse the relationship between the South African real exchange rate and economic fundamentals - demand, supply and nominal shocks. Using a time-varying parameter VAR we study the coherence, conditional volatility and impulse responses of the exchange rate over specific periods and policy...

Persistent link: https://www.econbiz.de/10011011766

FORECASTING THE RAND-DOLLAR AND RAND-POUND EXCHANGE RATES USING DYNAMIC MODEL AVERAGING

Bruyn, Riane de; Gupta, Rangan; Eyden, Renee van - Department of Economics, Faculty of Economic and … - 2013

outperform the random walk model, we show that when accounting for model uncertainty over and above parameter uncertainty through …

Persistent link: https://www.econbiz.de/10010640711

Are there Multiple Bubbles in the Ethanol-Gasoline Price Ratio of Brazil?

Montasser, Ghassen El; Gupta, Rangan; Martins, Andre Luis; … - Department of Economics, Faculty of Economic and … - 2014

This paper presents an analysis of ethanol-gasoline price ratio in Brazil from 2000 to 2012. Since 2008 Brazilian … annual inflation in Brazil is around 5% per year and increase in costs is transferred to ethanol prices this explain why … ethanol consumption decays while gasoline consumption boosts. In Brazil, consumers are often told that ethanol is more …

Persistent link: https://www.econbiz.de/10011098712

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

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

Can Economic Uncertainty, Financial Stress and Consumer Senti-ments Predict U.S. Equity Premium?

Gupta, Rangan; Hammoudeh, Shawkat; Modise, Mampho P.; … - Institut de Préparation à l'Administration et à la … - 2014

This article attempts to examine whether the equity premium in the United States can be predicted from a comprehensive

Persistent link: https://www.econbiz.de/10010799075

Does Debt Ceiling and Government Shutdown Help in Forecasting the US Equity Risk Premium?

Aye, Goodness C.; Deale, Frederick W.; Gupta, Rangan - Department of Economics, Faculty of Economic and … - 2014

This article evaluates the predictability of the equity risk premium in the United States by comparing the individual and complementary predictive power of macroeconomic variables which are popular in academia and technical indicators which are widely used by practitioners in the market using a...

Persistent link: https://www.econbiz.de/10010775490

Can economic uncertainty, financial stress and consumer sentiments predict U.S. equity premium?

Gupta, Rangan; Hammoudeh, Shawkat; Modise, Mampho P.; … - In: Journal of International Financial Markets, … 33 (2014) C, pp. 367-378

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 2000:2–2011:12, using an in-sample period of 1990:2–2000:1. To do so, we consider, in...

Persistent link: https://www.econbiz.de/10011189456

The causal relationship between house prices and growth in the nine provinces of South Africa: evidence from panel - Granger causality tests

Chang, Tsangyao; Simo-Kengne, Beatrice D.; Gupta, Rangan - In: International Journal of Sustainable Economy 6 (2014) 4, pp. 345-358

This paper analyses the causal relationship between housing activity and growth in nine provinces of South Africa for the period 1995-2011, using panel causality analysis, which accounts for cross-section dependency and heterogeneity across provinces. Our empirical results support unidirectional...

Persistent link: https://www.econbiz.de/10010944792

The Nexus between Military Expenditures and Economic Growth in the BRICS and the US: A Bootstrap Panel Causality Test

Zhong, Ming; Chang, Tsangyao; Goswami, Samrat; Gupta, Rangan - Department of Economics, Faculty of Economic and … - 2014

(Brazil, Russia, India, China, and South Africa) and that for the USA for the period 1988-2012. Panel causality was examined … expenditures influence economic growth in the United States, economic growth influence military expenditures in both Brazil and …

Persistent link: https://www.econbiz.de/10011011767