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Assessment of Monetary Union in SADC: Evidence from Cointegration and Panel Unit Root Tests
Zehirun, Mulatu F.; Breitenbach, Marthinus C.; Kemegue, … - Department of Economics, Faculty of Economic and … - 2015
area (OCA) theory. We apply Johansen’s multivariate co-integration technique, panel unit root tests, Pedroni’s residual … cointegration test and error correction based panel cointegration tests. The findings from this study confirm that GPPP holds among … SADC member countries included in this study on account of cointegration and stationarity in real exchange rate series. The …
Persistent link: https://www.econbiz.de/10011165590
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Temporal Causality between Taxes and Public Expenditures: The Case of South Africa
Ndahiriwe, Kasai; Gupta, Rangan - Department of Economics, Faculty of Economic and … - 2007
This paper investigates the direction of causal relationship between taxes and expenditure in South Africa, using quarterly data for the period 1960:1-2006:2, and annual data for 1960 to 2005. For both frequencies, gross domestic product and government debt are included in the VAR system as...
Persistent link: https://www.econbiz.de/10005773175
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Time Aggregation, Long-Run Money Demand and the Welfare Cost of Inflation
Gupta, Rangan; Uwilingiye, Josine - Department of Economics, Faculty of Economic and … - 2008
through the estimation of long-run money demand relationships using cointegration and long-horizon approaches. Realizing that … of the two estimation procedures under temporal aggregation and systematic sampling. Our results indicate that the long …
Persistent link: https://www.econbiz.de/10005773177
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Time Aggregation and the Contradictions with Causal Relationships: Can Economic Theory Come to the Rescue?
Gupta, Rangan; Komen, Kibii - Department of Economics, Faculty of Economic and … - 2008
perspective of economic theory, not only as a source of second opinion to econometric theories and Monte Carlo simulations, but …
Persistent link: https://www.econbiz.de/10005076200
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The Relationship between Oil and Agricultural Commodity Prices: A Quantile Causality Approach
Balcilar, Mehmet; Chang, Shinhye; Gupta, Rangan; … - Department of Economics, Faculty of Economic and … - 2014
This paper investigates causality between oil prices and the prices of agricultural commodities in South Africa. We use daily data covering the period April 19, 2005 to July 31, 2014 for oil prices and the prices of soya beans, wheat, sunflower and corn. The test for Granger causality in...
Persistent link: https://www.econbiz.de/10011095434
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Forecasting the Price of Gold Using Dynamic Model Averaging
Aye, Goodness C.; Gupta, Rangan; Hammoudeh, Shawkat; … - Department of Economics, Faculty of Economic and … - 2014
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...
Persistent link: https://www.econbiz.de/10010891726
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Trends and Cycles in Historical Gold and Silver Prices
Gil-Alana, Luis A.; Aye, Goodness C.; Gupta, Rangan - Department of Economics, Faculty of Economic and … - 2015
The study proposes an alternative modelling specification for the real prices of gold and silver that allows the long run trend and cyclical behaviour to be modelled simultaneously by incorporating two differencing parameter in a fractional integration framework. However, we also consider the...
Persistent link: https://www.econbiz.de/10011272165
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Does Debt Ceiling and Government Shutdown Help in Forecasting the US Equity Risk Premium?
Aye, Goodness C.; Deale, Frederick W.; Gupta, Rangan - Department of Economics, Faculty of Economic and … - 2014
This article evaluates the predictability of the equity risk premium in the United States by comparing the individual and complementary predictive power of macroeconomic variables which are popular in academia and technical indicators which are widely used by practitioners in the market using a...
Persistent link: https://www.econbiz.de/10010775490
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Can Economic Uncertainty, Financial Stress and Consumer Sentiments Predict U.S. Equity Premium?
Gupta, Rangan; Hammoudeh, Shawkat; Modise, Mampho P.; … - Department of Economics, Faculty of Economic and … - 2013
This article attempts to examine whether the equity premium in the United States can be predicted from a com-prehensive set of 18 economic and financial predictors over a monthly out-of-sample period of 2000:2 to 2011:12, using an in-sample period of 1990:2-2000:1. To do so, we consider, in...
Persistent link: https://www.econbiz.de/10010936606
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Tobacco Substitution and the Poor
Koch, Steven F.; Tshiswaka-Kashalala, Gauthier - Department of Economics, Faculty of Economic and … - 2008
Tobacco control policies have effectively raised the price of cigarettes and other tobacco products. However, these price increases have been shown to disproportionately fall upon poorer households, with fewer resources. In this analysis, we provide an initial indication of the effect increased...
Persistent link: https://www.econbiz.de/10005828375