Narrow search
Showing 1 - 10 of 111
Cover Image
Causality between Inflation and Inflation Uncertainty in South Africa: Evidence from a Markov-Switching Vector Autoregressive Model
Nasr, Adnen Ben; Balcilar, Mehmet; Ajmi, Ahdi N.; Aye, … - Department of Economics, Faculty of Economic and … - 2014
This study investigates the asymmetric and time-varying causality between inflation and inflation uncertainty in South Africa within a conditional Gaussian Markov switching vector autoregressive (MS-VAR) model framework. The MS-VAR model is capable of determining both the sign and direction of...
Persistent link: https://www.econbiz.de/10011125860
Cover Image
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
Cover Image
Forecasting the US Real Private Residential Fixed Investment Using Large Number of Predictors
Aye, Goodness C.; Miller, Stephen M.; Gupta, Rangan; … - Department of Economics, Faculty of Economic and … - 2013
This paper employs classical bivariate, factor augmented (FA), slab and spike variable selection (SSVS)-based, and Bayesian semiparametric shrinkage (BSS)-based predictive regression models to forecast the US real private residential fixed investment series over an out of sample period of 1983Q1...
Persistent link: https://www.econbiz.de/10011149763
Cover Image
Causal relationship between asset prices and output in the US: Evidence from state-level panel Granger causality test
Emirmahmutoglu, Furkan; Balcilar, Mehmet; Apergis, Nicholas - Department of Economics, Faculty of Economic and … - 2014
This paper investigates the causal relationship between asset prices and per capita output across 50 US states and the District of Columbia over 1975 to 2012. A bootstrap panel Granger causality approach is applied on a trivariate VAR comprising of real house prices, real stock prices and real...
Persistent link: https://www.econbiz.de/10011149765
Cover Image
Causality between exports and economic growth in South Africa: evidence from linear and nonlinear tests
Ajmi, Ahdi N.; Aye, Goodness C.; Balcilar, Mehmet; … - In: Journal of Developing Areas 49 (2015) 2, pp. 163-181
This paper investigates the dynamic causal link between exports and economic growth using both linear and nonlinear Granger causality tests. We use annual South African data on real exports and real gross domestic product from 1911-2011. The linear Granger causality result shows no evidence of...
Persistent link: https://www.econbiz.de/10011213291
Cover Image
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
In this paper we test the forecasting ability of three estimated financial conditions indices (FCIs) with respect to key macroeconomic variables of output growth, inflation and interest rates. We do this by forecasting the aforementioned macroeconomic variables based on the information contained...
Persistent link: https://www.econbiz.de/10011220717
Cover Image
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
Cover Image
Revisiting the Causal Relationship between Energy Consumption and Economic Growth in South Africa: Evidence from a Bootstrap Rolling Window Approach
Dlamini, Janneke; Balcilar, Mehmet; Gupta, Rangan; … - Department of Economics, Faculty of Economic and … - 2013
The paper examines the relationship between energy consumption and economic growth for South Africa for the period 1971 … strong we do however find a sub-period from 1987-1989 where energy consumption has a causal effect on GDP growth. Except for … this brief sub-period, the results show no linkage between economic growth and energy consumption. …
Persistent link: https://www.econbiz.de/10010686084
Cover Image
Time-Varying Causality between Research Output and Economic Growth in the US
Inglesi-Lotz, Roula; Balcilar, Mehmet; Gupta, Rangan - Department of Economics, Faculty of Economic and … - 2013
The main purpose of this paper is to investigate the causal relationship between knowledge (research output) and economic growth in US over 1981 to 2011. To overcome the issues of ignoring possible instability and hence, falsely assuming a constant relationship through the years, we use...
Persistent link: https://www.econbiz.de/10010691282
Cover Image
Causality between US Economic Policy and Equity Market Uncertainties: Evidence from Linear and Nonlinear Tests
Ajmi, Ahdi N.; Aye, Goodness C.; Balcilar, Mehmet; … - Department of Economics, Faculty of Economic and … - 2013
This paper examines the causal relationship between economic policy uncertainty (EPU) and equity market uncertainty (EMU) in the US using linear and nonlinear Granger causality tests. We use daily data on the newly developed indexes by Baker et al. (2013) covering 1985:01:01 to 2013:06:14....
Persistent link: https://www.econbiz.de/10010695848