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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
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Time-Varying Persistence in US Inflation
Caporin, Massimiliano - 2014
The persistence property of inflation is an important issue for not only economists, but, especially for central banks …, given that the degree of inflation persistence determines the extent to which central banks can control inflation. Further …, not only is the level of inflation persistence that is important in economic analyses, but also the question of whether …
Persistent link: https://www.econbiz.de/10013045937
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Revisiting the temporal causality between money and income
Gupta, Rangan - In: The Indian economic journal 52 (2004) 1/2, pp. 33-45
Persistent link: https://www.econbiz.de/10003355675
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Are the Effects of Monetary Policy Asymmetric in India? Evidence from a Nonlinear Vector Autoregression Approach
Aye, Goodness C.; Gupta, Rangan - Department of Economics, Faculty of Economic and … - 2012
This paper uses Indian quarterly data for the period of 1960:Q2-2011:Q2 to test for nonlinearity in a standard monetary vector autoregression (VAR) model comprising of output, price and money, using an estimation strategy that is consistent with wide range of structural models. We find that...
Persistent link: https://www.econbiz.de/10009397137
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Does the South African Reserve Bank (SARB) Respond to Oil Price Movements? Historical Evidence from the Frequency Domain
Aye, Goodness C.; Gadinabokao, Olorato; Gupta, Rangan - Department of Economics, Faculty of Economic and … - 2014
-sample period coinciding with inflation targeting regime, our results highlights that the South African Reserve Bank seems to have … systematically responded to oil price shocks, especially over the inflation targeting period of 2000:2 and onwards. …
Persistent link: https://www.econbiz.de/10010778572
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Volatility spillovers between interest rates and equity markets of developed economies
Donzwa, Wilson; Gupta, Rangan; Wohar, Mark E. - In: Journal of central banking theory and practice 8 (2019) 3, pp. 39-50
This study employs the recently developed Lagrange multiplier-based causality-in-variance test by Hafner and Herwartz (2006), to determine the volatility spillovers between interest rates and stock returns for the US, the euro area, the UK, and Japan. The investigation pays careful attention to...
Persistent link: https://www.econbiz.de/10012101454
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Time-Varying Persistence in US Inflation
Caporin, Massimiliano; Gupta, Rangan - Department of Economics, Faculty of Economic and … - 2014
The persistence property of inflation is an important issue for not only economists, but, especially for central banks …, given that the degree of inflation persistence determines the extent to which central banks can control inflation. Also, not … only is the level of inflation persistence that is important in economic analyses, but also the question of whether the …
Persistent link: https://www.econbiz.de/10011095454
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Is there a national housing market bubble brewing in the United States?
Gupta, Rangan; Ma, Jun; Theodoridis, Konstantinos; … - 2020
detect three regimes corresponding to the periods of "Great Inflation", "Great Moderation", and the zero lower bound (ZLB …
Persistent link: https://www.econbiz.de/10012875998
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Is there a national housing market bubble brewing in the United States?
Gupta, Rangan; Ma, Jun; Theodoridis, Konstantinos; … - 2020
detect three regimes corresponding to the periods of "Great Inflation", "Great Moderation", and the zero lower bound (ZLB …
Persistent link: https://www.econbiz.de/10012229804
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Do house prices impact consumption and interest rate? : evidence from OECD countries using an agnostic identification procedure
André, Christophe; Gupta, Rangan; Kanda, Patrick T. - 2012
This paper investigates the existence of significant spillovers from the housing sector onto the wider economy for the seven major OECD countries using Uhlig's (2005) agnostic identification procedure. This method allows a housing demand shock to be identified in a six-variable VAR model by...
Persistent link: https://www.econbiz.de/10009690177