We develop models for examining possible predictors of the return on gold that embrace six global factors (business cycle, nominal, interest rate, commodity, exchange rate and stock price factors) and two uncertainty indices (the Kansas City Fed’s financial stress index and the U.S. Economic...

This study determines whether the global vector autoregressive (GVAR) approach provides better forecasts of key South African variables than a vector error correction model (VECM) and a Bayesian vector autoregressive (BVAR) model augmented with foreign variables. The paper considers both a small...

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...

This paper examines the causal relationships between the real house price index and real GDP per capita in the U.S., using the bootstrap Granger (temporal) non-causality test and a fixed-size rolling-window estimation approach. We use quarterly time-series data on the real house price index and...

This paper conducts an empirical analysis to establish whether a causal relationship exists between oil prices and interest rate in South Africa. We employ a causality testing procedure in the frequency domain to analyse the relationship between these two variables. We use monthly data on the...

This paper investigates the in-sample predictability of debt ceiling and government shutdown for real stock returns in the U.S, using rolling window Granger non-causality estimation. Causal links often evolve over time so the use of the bootstrap rolling window approach will account for...

The causal link between tourism receipts and GDP has recently become a major focus in the tourism economics literature. Results obtained in recent studies about the causal link appear to be sensitive with respect to the countries analysed, sample period and methodology employed. Considering the...

This paper applies several causality tests to analyze whether sunspot numbers (used as an approximate proxy for the solar activity) cause global temperatures, using monthly data covering the time period 1880:1-2013:9. Both parametric and non-parametric causality tests are performed, which...

This study applies the Sequential Panel Selection Method (SPSM) to investigate the time-series properties of provincial house prices for entire, large, medium, and small middle-segments of South Africa. Quarterly time-series data were collected from nine provinces in South Africa for different...

This paper investigates the long-run and short-term dynamics of 351 US metropolitan statistical area housing prices in relation to personal income. We apply a panel cointegration approach on annual data from 1993 to 2011 and find a long-run relationship between local house prices and per capita...