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Predicting multi-scale positive and negative stock market bubbles in a panel of G7 countries : the role of oil price uncertainty

Van Eyden, Reneé; Gupta, Rangan; Sheng, Xin; Nielsen, … - In: Economies : open access journal 13 (2025) 2, pp. 1-25

important question of how oil market uncertainty affects stock market bubbles remains unanswered. In this paper, we first use … negative bubbles in the short-, medium- and long-term stock markets of the G7 countries. While detecting major crashes and … of oil price uncertainty on the bubbles indicators. After controlling for the impacts of output growth, inflation, and …

Persistent link: https://www.econbiz.de/10015210403

Is there a national housing market bubble brewing in the United States?

Gupta, Rangan; Ma, Jun; Theodoridis, Konstantinos; … - 2020

We use a time-varying parameter dynamic factor model with stochastic volatility (DFM-TV-SV) estimated using Bayesian methods to disentangle the relative importance of the common component in FHFA house price movements from state-specific shocks, over the quarterly period of 1975Q2 to 2017Q4. We...

Persistent link: https://www.econbiz.de/10012229804

Testing the monetary model for exchange rate determination in South Africa : evidence from 101 years of data

De Bruyn, Riané; Gupta, Rangan; Stander, Lardo - In: Contemporary economics 7 (2013) 1, pp. 19-32

Evidence in favor of the monetary model of exchange rate determination for the South African Rand is, at best, mixed. A co-integrating relationship between the nominal exchange rate and monetary fundamentals forms the basis of the monetary model. With the econometric literature suggesting that...

Persistent link: https://www.econbiz.de/10009770376

Date-stamping US housing market explosivity

Balcilar, Mehmet; Katzke, Nico; Gupta, Rangan - 2018

Generalized supADF (GSADF) test procedure developed by Phillips et al. (Testing for multiple bubbles: Historical episodes of …

Persistent link: https://www.econbiz.de/10011812671

Date-stamping US housing market explosivity

Balcilar, Mehmet; Katzke, Nico; Gupta, Rangan - 2017

Generalized sup ADF (GSADF) test procedure developed by Phillips, Shi, and Yu (Testing for Multiple Bubbles: Historical Episodes …

Persistent link: https://www.econbiz.de/10011674010

LPPLS bubble indicators over two centuries of the S&P 500 index

Zhang, Qunzhi; Sornette, Didier; Balcilar, Mehmet; … - 2016

The aim of this paper is to present novel tests for the early causal diagnostic of positive and negative bubbles in the … LPPLS (log-periodic power law singularity) approach successfully diagnoses positive and negative bubbles, constructs … efficient End-of-Bubble signals for all of the well-documented bubbles, and obtains for the first time new statistical evidence …

Persistent link: https://www.econbiz.de/10011514490

Monetary Policy and Speculative Spillovers in Financial Markets

Demirer, Rıza - 2020

This paper examines the role of monetary policy (MP) as a driver of connectedness patterns in speculative activities in financial markets. Examining measures of speculation in four major markets including gold, equities, Treasury bonds and crude oil, we show that speculative activities can spill...

Persistent link: https://www.econbiz.de/10012836728

Stock market bubbles and the realized volatility of oil price returns

Gupta, Rangan; Nielsen, Joshua; Pierdzioch, Christian - In: Energy economics 132 (2024), pp. 1-13

Persistent link: https://www.econbiz.de/10015047521

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

recently by Phillips et al., (2013), to check for bubbles in this ratio. The results obtained suggest the existence of two … bubbles: one has already collapsed and the other is still on course since 2010. Policy implications are also derived. …

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

The Relationship between Healthcare Expenditure and Disposable Personal Income in the US States : A Fractional Integration and Cointegration Analysis

Caporale, Guglielmo Maria; Cuñado Eizaguirre, Juncal; … - 2015

This study examines the relationship between healthcare expenditure and disposable income in the 50 US states over the period 1966-2009 using fractional integration and cointegration techniques. The degree of integration and nonlinearity of both series are found to vary considerably across...

Persistent link: https://www.econbiz.de/10014135216