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On exchange-rate movements and gold-price fluctuations : evidence for gold-producing countries from a nonparametric causality-in-quantiles test
Balcilar, Mehmet; Gupta, Rangan; Pierdzioch, Christian - In: International economics and economic policy : IEEP 14 (2017) 4, pp. 691-700
Persistent link: https://www.econbiz.de/10011878130
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Testing the Monetary Model for Exchange Rate Determination in South Africa: Evidence from 101 Years of Data
Bruyn, Riane de; Gupta, Rangan; stander, Lardo - Department of Economics, Faculty of Economic and … - 2011
Evidence in favour 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 fundamentals forms the basis of the monetary model. With the econometric literature suggesting that it is the...
Persistent link: https://www.econbiz.de/10009370795
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Dutch Disease Effect of Oil Rents on Agriculture Value Added in MENA Countries
Apergis, Nicholas; Montasser, Ghassen El; … - Department of Economics, Faculty of Economic and … - 2014
This paper investigates the effect of oil rents on agriculture value added in oil producing Middle Eastern and North African (MENA) countries. Annual data from 1970 to 2011, panel cointegration tests by Pedroni (1999), long ran panel causality tests by Canning and Pedroni (2008), and two-step...
Persistent link: https://www.econbiz.de/10010748378
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The out-of-sample forecasting performance of non-linear models of real exchange rate behaviour: The case of the South African Rand
Aye, Goodness C.; Balcilar, Mehmet; Bosch, Adel; Gupta, … - Department of Economics, Faculty of Economic and … - 2013
This paper analyses the out-of-sample forecasting performance of non-linear vs. linear models for the South African Rand against the United States dollar and the British Pound, in real terms. We compare the forecasting performance of point, interval and density forecasts for non-linear Band- TAR...
Persistent link: https://www.econbiz.de/10010636769
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The out-of-sample forecasting performance of non-linear models of real exchange rate behaviour: The case of the South African Rand
Aye, Goodness C.; Balcilar, Mehmet; Bosch, Adél; … - In: European Journal of Comparative Economics 10 (2013) 1, pp. 121-148
This paper analyses the out-of-sample forecasting performance of non-linear vs. linear models for the South African rand against the United States dollar and the British pound, in real terms. We compare the forecasting performance of point, interval and density forecasts for non-linear Band-TAR...
Persistent link: https://www.econbiz.de/10010643614
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Dutch disease effect of oil rents on agriculture value added in Middle East and North African (MENA) countries
Apergis, Nicholas; El-Montasser, Ghassen; Sekyere, Emmanuel - In: Energy Economics 45 (2014) C, pp. 485-490
This paper investigates the effect of oil rents on agriculture value added in oil producing Middle East and North African (MENA) countries. Annual data from 1970 to 2011, panel cointegration tests by Pedroni (1999), long ran panel causality tests by Canning and Pedroni (2008), and two-step...
Persistent link: https://www.econbiz.de/10010939462
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SHOULD THE SOUTH AFRICAN RESERVE BANK RESPOND TO EXCHANGE RATE FLUCTUATIONS? EVIDENCE FROM THE COSINE-SQUARED CEPSTRUM
Gupta, Rangan - Department of Economics, Faculty of Economic and … - 2012
exchange rate fluctuations, however, we also warn against the cost of increased volatility in output that is likely to result …
Persistent link: https://www.econbiz.de/10009401048
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Time-varying risk aversion and the profitability of carry trades: Evidence from the cross-quantilogram
Demirer, Rıza; Gupta, Rangan; Hassani, Hossein; Huang, Xu - In: Economies 8 (2020) 1, pp. 1-12
This paper examines the predictive power of time-varying risk aversion over payoffs to the carry trade strategy via the … daily carry trade returns tracked by the Deutsche Bank G10 Currency Future Harvest Total Return Index. The predictive power … extreme fluctuations in carry trade returns. While large crashes in carry trade returns are associated with significant rises …
Persistent link: https://www.econbiz.de/10013199647
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Testing for PPP Using SADC Real Exchange Rates
Mokoena, Thabo; Gupta, Rangan; Eyden, Renee van - Department of Economics, Faculty of Economic and … - 2008
This paper attempts to provide evidence indicating that the Purchasing Power Parity (PPP) puzzle is becoming less of a puzzle. It present the results of Augmented Dickey-Fuller (ADF) test, nonlinear tests of nonstationarity, and Bayesian unit root tests, applied to ten SADC countries. The...
Persistent link: https://www.econbiz.de/10005004679
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Half-Life Deviations from PPP in the SADC
Mokoena, Thabo; Gupta, Rangan; Eyden, Renee van - Department of Economics, Faculty of Economic and … - 2008
This paper utilises various recently developed econometric methods to obtain better approximations to the half-life for real exchange rates of ten South African Development Community (SADC) countries and to generate confidence intervals for half-life deviations from the purchasing power parity...
Persistent link: https://www.econbiz.de/10005773182