Selected Publications: (For a complete list of publications, working papers, current research areas, student supervision, etc., see my CV)
(1) A New-Keynesian DSGE Model for Forecasting the South African Economy (with Dave Liu and Eric Schaling) (Published in Journal of Forecasting, Vol. 28 (5), August, 2009.)
(2) Could We Have Predicted the Recent Downturn in the South African Housing Market? (with Sonali Das and Alain Kabundi) (Published in Journal of Housing Economics, Vol. 18 (4), December, 2009.)
(3) Forecasting Macroeconomic Variables in a Small Open Economy: A Comparison between Small- and Large-Scale Models (with Alain Kabundi) (Published in Journal of Forecasting, Vol. 29 (1-2: Special Issue: Advances in Business Cycle Analysis and Forecasting), January-March, 2010.)
(4) A Dynamic Factor Model for Forecasting Macroeconomic Variables in South Africa (with Alain Kabundi) (Published as: A Dynamic Factor Model for Forecasting Macroeconomic Variables in South Africa in International Journal of Forecasting, Vol. 27 (4), October-December, 2011.)
(5) Forecasting Key Macroeconomic Variables of the South African Economy: A Small Open Economy New Keynesian DSGE-VAR Model (with Rudi Steinbach) (Published in Economic Modelling, Vol. 33 (1), July, 2013.)
(6) Does the Source of Oil Price Shocks Matter for South African Stock Returns? A Structural VAR Approach (with Mampho P. Modise) (Published in Energy Economics, Vol. 40 (1), November, 2013.)
(7) Tax Evasion, Financial Development and Inflation: Theory and Empirical Evidence (with Manoel Bittencourt and Lardo Stander) (Published in Journal of Banking and Finance, Vol. 41 (1), April, 2014.)
(8) Reconsidering the Welfare Cost of Inflation in the US: A Nonparametric Estimation of the Nonlinear Long-Run Money Demand Equation using Projection Pursuit Regressions (with Anandamayee Majumdar) (Published in Empirical Economics, Vol. 46 (4), June, 2014.)
(9) Forecasting South African Macroeconomic Data with a Nonlinear DSGE Model (with Mehmet Balcilar and Kevin Kotze) (Published as: Forecasting Macroeconomic Data for an Emerging Market with a Nonlinear DSGE Model in Economic Modelling, Vol. 44 (1), January, 2015.)
(10) Has Oil Price Predicted Stock Returns for Over a Century? (with Paresh K. Narayan) (Published in Energy Economics, Vol. 48 (1), March, 2015.)
(11) Trends and Cycles in Historical Gold and Silver prices (with Luis A. Gil-Alana and Goodness C. Aye) (Published in Journal of International Money and Finance, Vol. 58 (1), November, 2015.)
(12) Modeling and Forecasting Crude Oil Price Volatility: Evidence from Historical and Recent Data (with Thomas Lux and Mawuli K. Segnon) (Published as: Forecasting Crude Oil Price Volatility and Value-at-Risk: Evidence from Historical and Recent Data in Energy Economics, Vol. 56 (1), May, 2016.)
(13) Testing the Asymmetric Effects of Financial Conditions in South Africa: A Nonlinear Vector Autoregression Approach (with Mehmet Balcilar, Kirsten Thompson and Renee van Eyden) (Published in Journal of International Financial Markets, Institutions and Money, Vol. 43 (1), July, 2016.)
(14) Forecasting the Volatility of the Dow Jones Islamic Stock Market Index: Long-Memory vs. Regime-Switching (with Adnen Ben Nasr, Thomas Lux and Ahdi N. Ajmi) (Published in International Review of Economics and Finance, Vol. 45 (1), September, 2016.)
(15) Stock Price Dynamics and the Business Cycle in an Estimated DSGE Model for South Africa (with Michael Paetz) (Published in Journal of International Financial Markets, Institutions and Money, Vol. 44 (1), September, 2016.)
(16) Common Cycles and Common Trends in the Stock and Oil markets: Evidence from More than 150 Years of Data (with Mehmet Balcilar and Mark E. Wohar) (Published in Energy Economics, Vol. 61 (1), January, 2017.)
(17) Forecasting Oil and Stock Returns with a Qual VAR using over 150 Years of Data (with Mark E. Wohar) (Published in Energy Economics, Vol. 62 (1), February, 2017.)
(18) Impact of US Uncertainties on Emerging and Mature Markets: Evidence from a Quantile-Vector Autoregressive Approach (with Helena Chuliá, Jorge M. Uribe and Mark E. Wohar) (Published in Journal of International Financial Markets, Institutions and Money, Vol. 48 (1), May, 2017.)
(19) Forecasting South African Macroeconomic Variables with a Markov-Switching Small Open-Economy Dynamic Stochastic General Equilibrium Model (with Mehmet Balcilar and Kevin Kotze) (Published in Empirical Economics, Vol. 53 (1: Special Issue: Forecasting, Use of Survey Data on Expectations, and Panel Data Applications), August, 2017.)
(20) Time-Varying Persistence of Inflation: Evidence from a Wavelet-Based Approach (with Heni Boubaker, Giorgio Canarella and Stephen M. Miller) (Published in Studies in Nonlinear Dynamics and Econometrics, Vol. 21 (4), September-October, 2017.)
(21) Forecasting Key US Macroeconomic Variables with a Factor-Augmented Qual VAR (with Eric Olson and Mark E. Wohar) (Published in Journal of Forecasting, Vol. 36 (6), September, 2017.)
(22) The Role of News-Based Uncertainty Indices in Predicting Oil Markets: A Hybrid Nonparametric Quantile Causality Method (with Mehmet Balcilar and Stelios Bekiros) (Published in Empirical Economics, Vol. 53 (3), November, 2017.)
(23) The Impact of Economic Policy Uncertainty on US Real Housing Returns and their Volatility: A Nonparametric Approach (with Christophe Andre, Lumengo Bonga-Bonga and John W. Muteba Mwamba) (Published in Journal of Real Estate Research, Vol. 39 (4), December, 2017.)
(24) Terror Attacks and Stock-Market Fluctuations: Evidence Based on a Nonparametric Causality-in-Quantiles Test for the G7 Countries (with Mehmet Balcilar, Christian Pierdzioch and Mark E. Wohar) (Published in The European Journal of Finance, Vol. 24 (4), March, 2018.)
(25) Causal Relationships between Economic Policy Uncertainty and Housing Market Returns in China and India: Evidence from Linear and Nonlinear Panel and Time Series Models (with Sheung-Chi Chow, Juncal Cunado and Wing-Keung Wong) (Published in Studies in Nonlinear Dynamics and Econometrics, Vol. 22 (2), April-May, 2018.)
(26) Dynamic Connectedness of Uncertainty across Developed Economies: A Time-Varying Approach (with Nikolaos Antonakakis, David Gabauer and Vasilios Plakandaras) (Published in Economics Letters, Vol. 166 (1), May, 2018.)
(27) Endogenous Fluctuations in an Endogenous Growth Model with Inflation Targeting (with Lardo Stander) (Published in Quarterly Review of Economics and Finance, Vol. 69 (1), August, 2018.)
(28) Common Business Cycles and Volatilities in US States and MSAs: The Role of Economic Uncertainty (with Jun Ma, Marian Risse and Mark E. Wohar) (Published in Journal of Macroeconomics, Vol. 57 (1), September, 2018.)
(29) Time-Varying Rare Disaster Risks, Oil Returns and Volatility (with Riza Demirer, Tahir Suleman and Mark E. Wohar) (Published in Energy Economics, Vol. 75 (1), September, 2018.)
(30) Social Status, Inflation and Endogenous Growth in a Cash-in-Advance Economy: A Reconsideration (with Lardo Stander) (Published in The Manchester School, Vol. 86 (5), September, 2018.)
(31) The Dynamic Impact of Uncertainty in Causing and Forecasting the Distribution of Oil Returns and Risk (with Giovanni Bonaccolto and Massimiliano Caporin) (Published in Physica A: Statistical Mechanics and its Applications, Vol. 507 (1), October, 2018.)
(32) On the Transmission Mechanism of Country-Specific and International Economic Uncertainty Spillovers: Evidence from a TVP-VAR Connectedness Decomposition (with David Gabauer) (Published in Economics Letters, Vol. 171 (1), October, 2018.)
(33) Predicting Global Temperature Anomaly: A Definitive Investigation Using an Ensemble of Twelve Competing Forecasting Models (with Hossein Hassani, Emmanuel Sirimal Silva and Sonali Das) (Published in Physica A: Statistical Mechanics and its Applications, Vol. 509 (1), November, 2018.)
(34) Predicting Stock Market Movements with a Time-Varying Consumption-Aggregate Wealth Ratio (with Tsangyao Chang, Anandamayee Majumdar and Christian Pierdzioch) (Published in International Review of Economics and Finance, Vol. 59 (1), January, 2019.)
(35) Does Global Economic Uncertainty Matter for the Volatility and Hedging Effectiveness of Bitcoin? (with Libing Fang, Elie Bouri and David Roubaud) (Published in International Review of Financial Analysis, Vol. 61 (1), January, 2019.)
(36) A Time-Varying Approach of the US Welfare Cost of Inflation (with Stephen M. Miller and Luis F. Martins) (Published in Macroeconomic Dynamics, Vol. 23 (2), March, 2019.)
(37) On the Predictability of Stock Market Bubbles: Evidence from LPPLS ConfidenceTM Multi-scale Indicators (with Riza Demirer, Guilherme Demos and Didier Sornette) (Published in Quantitative Finance, Vol. 19 (5), May, 2019.)
(38) The Impact of Oil Shocks in a Small Open Economy New-Keynesian Dynamic Stochastic General Equilibrium Model for South Africa (with Hylton Hollander and Mark E. Wohar) (Published in Emerging Markets Finance and Trade, Vol. 55 (7), May, 2019.)
(39) The Effect of Global Crises on Stock Market Correlations: Evidence from Scalar Regressions via Functional Data Analysis (with Sonali Das, Riza Demirer and Siphumlile Mangisa) (Published in Structural Change and Economic Dynamics, Vol. 50 (1), September, 2019.)
(40) The Term Premium as a Leading Macroeconomic Indicator (with Vasilios Plakandaras, Perikilis Gogas and Theophilos Papadimitriou) (Published in International Review of Economics and Finance, Vol. 64 (1), November, 2019.)
(41) Forecasting Economic Policy Uncertainty of BRIC Countries Using Bayesian VARs (with Xiaojin Sun) (Published in Economics Letters, Vol. 186 (1), January, 2020.)
(42) Forecasting Output Growth using a DSGE-Based Decomposition of the South African Yield Curve (with Hylton Hollander and Rudi Steinbach) (Published in Empirical Economics, Vol. 58 (1), January, 2020.)
(43) Risk Spillover between the US and the Remaining G7 Stock Markets Using Time-Varying Copulas with Markov Switching: Evidence from Over a Century of Data (with Qiang Ji, Bing-Yue Liu and Juncal Cunado) (Published in North American Journal of Economics and Finance, Vol. 51 (1), January, 2020.)
(44) Is the Response of the Bank of England to Exchange Rate Movements Frequency-Dependent? (with Petre Caraiani) (Published in Journal of Macroeconomics, Vol. 63 (1), March, 2020.)
(45) Predicting International Equity Returns: Evidence from Time-Varying Parameter Vector Autoregressive Models (with Florian Huber and Philipp Piribauer) (Published in International Review of Financial Analysis, Vol. 68 (1), March, 2020.)
(46) Do Bivariate Multifractal Models Improve Volatility Forecasting in Financial Time Series? An Application to Foreign Exchange and Stock Markets (with Ruipeng Liu, Riza Demirer and Mark E. Wohar) (Published in Journal of Forecasting, Vol. 39 (2), March, 2020.)
(47) Housing Market Spillovers in South Africa: Evidence from an Estimated Small Open Economy DSGE Model (with Xiaojin Sun) (Published in Empirical Economics, Vol. 58 (5), May, 2020.)
(48) Forecasting Realized Oil-Price Volatility: The Role of Financial Stress and Asymmetric Loss (with Konstantinos Gkillas and Christian Pierdzioch) (Published in Journal of International Money and Finance, Vol. 104 (1), June, 2020.)
(49) Conventional and Unconventional Monetary Policy Reaction to Uncertainty in Advanced Economies: Evidence from Quantile Regressions (with Christina Christou and Ruthira Naraidoo) (Published in Studies in Nonlinear Dynamics and Econometrics, Vol. 24 (3), July-August, 2020.)
(50) Forecasting Volatility and Co-volatility of Crude Oil and Gold Futures: Effects of Leverage, Jumps, Spillovers, and Geopolitical Risks (with Manabu Asai and Michael McAleer) (Published in International Journal of Forecasting, Vol. 36 (3), July-September, 2020.)
(51) Uncertainty and Forecasts of U.S. Recessions (with Christian Pierdzioch) (Published in Studies in Nonlinear Dynamics and Econometrics, Vol. 24 (4), September-October, 2020.)
(52) The Role of an Aligned Investor Sentiment Index in Predicting Bond Risk Premia of the United States (with Oguzhan Cepni, I. Ethem Guney and Mark E. Wohar) (Published in Journal of Financial Markets, Vol. 51 (1), November, 2020.)
(53) Cross-Border Capital Flows and Return Dynamics in Emerging Stock Markets: Relative Roles of Equity and Debt Flows (with Deven Bathia, Chris Bouras and Riza Demirer) (Published in Journal of International Money and Finance, Vol. 109 (1), December, 2020.)
(54) Forecasting with Second-Order Approximations and Markov Switching DSGE Models (with Sergey Ivashchenko, Semih Emre Cekin and Kevin Kotze) (Published in in Computational Economics, Vol. 56 (4), December, 2020.)
(55) What can Fifty-Two Collateralizable Wealth Measures tell us about Future Housing Market Returns? Evidence from U.S. State-Level Data (with Mehmet Balcilar, Ricardo M. Sousa and Mark E. Wohar) (Published in The Journal of Real Estate Finance and Economics, Vol. 62 (1), January, 2021.)
(56) Contagion between Real Estate and Financial Markets: A Bayesian Quantile-on-Quantile Approach (with Massimiliano Caporin and Francesco Ravazzolo) (Published in The North American Journal of Economics and Finance, Vol. 55 (1), January, 2021.)
(57) High-Frequency Volatility Forecasting of US Housing Markets (with Mawuli Segnon, Keagile Lesame and Mark E. Wohar) (Published in The Journal of Real Estate Finance and Economics, Vol. 62 (2), February, 2021.)
(58) Income Inequality and Economic Growth: A Re-Examination of Theory and Evidence (with Mehmet Balcilar, Philton Makena and Wei Ma) (Published in Review of Development Economics, Vol. 25 (2), May, 2021.)
(59) Point and Density Forecasting of Macroeconomic and Financial Uncertainties of the United States (with Afees A. Salisu and Ahamuefula E. Ogbonna) (Published in Journal of Forecasting, Vol. 40 (4), July, 2021.)
(60) A Note on the Time-Varying Impact of Global, Region- and Country-Specific Uncertainties on the Volatility of International Trade (with Selcuk Gul) (Published in Contemporary Economic Policy, Vol. 39(4), October, 2021.)
(61) Time-Varying Impact of Monetary Policy Shocks on U.S. Stock Returns: The Role of Investor Sentiment (with Oguzhan Cepni) (Published in The North American Journal of Economics and Finance, Vol. 58(1), November, 2021.)
(62) Long-Memory Modeling and Forecasting: Evidence from the U.S. Historical Series of Inflation (with Heni Boubaker, Giorgio Canarella and Stephen M. Miller) (Published in Studies in Nonlinear Dynamics and Econometrics, Vol. 25(5), December, 2021.)
(63) Income Inequality and Oil Resources: Panel Evidence from the United States (with Edmond Berisha, Carolyn Chisadza and Matthew Clance) (Published in Energy Policy, Vol. 159(1), December, 2021.)
(64) Bitcoin Mining Activity and Volatility Dynamics in the Power Market (with Sayar Karmakar and Riza Demirer) (Published in Economics Letters, Vol. 209(1), December, 2021.)
(65) Forecasting Oil and Gold Volatilities with Sentiment Indicators Under Structural Breaks (with Jiawen Luo, Riza Demirer and Qiang Ji) (Published in Energy Economics, Vol. 105(1), January, 2022.)
(66) Exchange Rate Predictability with Nine Alternative Models for BRICS Countries (with Afees A. Salisu and Won Joong Kim) (Published in Journal of Macroeconomics, Vol. 71(1), March, 2022.)
(67) The Effects of Climate Risks on Economic Activity in a Panel of US States: The Role of Uncertainty (with Xin Sheng and Oguzhan Cepni) (Published in Economics Letters, Vol. 213(1), April, 2022.)
(68) Machine Learning Predictions of Housing Market Synchronization across US States: The Role of Uncertainty (with Hardik A. Marfatia, Christian Pierdzioch and Afees A. Salisu) (Published in The Journal of Real Estate Finance and Economics, Vol. 64(4), May, 2022.)
(69) Persistence of State-Level Uncertainty of the United States: The Role of Climate Risks (with Xin Sheng and Oguzhan Cepni) (Published in Economics Letters, Vol. 215(1), June, 2022.)
(70) Forecasting Changes of Economic Inequality: A Boosting Approach (with Christian Pierdzioch, Hossein Hassani and Emmanuel Silva) (Published in The Social Science Journal, Vol. 59(2), June, 2022.)
(71) Information Entropy, Continuous Improvement, and US Energy Performance: A Novel Stochastic-Entropic Analysis for Ideal Solutions (SEA-IS) (with Jorge Antunes, Zinnia Mukherjee and Peter Wanke) (Published in Annals of Operations Research, Vol. 313(1), June, 2022.)
(72) Climate Uncertainty and Carbon Emissions Prices: The Relative Roles of Transition and Physical Climate Risks (with Serda Selin Ozturk and Riza Demirer) (Published in Economics Letters, Vol. 217(1), August, 2022.)
(73) Risk Aversion and the Predictability of Crude Oil Market Volatility: A Forecasting Experiment with Random Forests (with Riza Demirer, Konstantinos Gkillas and Christian Pierdzioch) (Published in Journal of the Operational Research Society, Vol. 73(8), August, 2022.)
(74) Socio-Political Instability and Growth Dynamics (with Manoel Bittencourt, Philton Makena and Lardo Stander) (Published in Economic Systems, Vol. 46(4), December, 2022.)
(75) Climate Risks and Realized Volatility of Major Commodity Currency Exchange Rates (with Matteo Bonato, Oguzhan Cepni and Christian Pierdzioch) (Published in Journal of Financial Markets, Vol. 62(1), January, 2023.)
(76) Forecasting National Recessions of the United States with State-Level Climate Risks: Evidence from Model Averaging in Markov-Switching Models (with Oguzhan Cepni and Christina Christou) (Published in Economics Letters, Vol. 227(1), June, 2023.)
(77) Openness and Growth: Is the Relationship Non-Linear? (with Lardo Stander and Andrea Vaona) (Published in International Journal of Finance and Economics, Vol. 28(3), July, 2023.)
(78) Climate Risks and State-Level Stock-Market Realized Volatility (with Matteo Bonato, Oguzhan Cepni and Christian Pierdzioch) (Published in Journal of Financial Markets, Vol. 66(1), November, 2023.)
(79) Is there a National Housing Market Bubble Brewing in the United States? (with Jun Ma, Konstantinos Theodoridis and Mark E. Wohar) (Published in Macroeconomic Dynamics, Vol. 27(8), December, 2023.)
(80) Forecasting Stock Market Volatility with Regime-Switching GARCH-MIDAS: The Role of Geopolitical Risks (with Mawuli Segnon and Bernd Wilfling) (Published in International Journal of Forecasting, Vol. 40(1), January-March, 2024.)
(81) Forecasting International Financial Stress: The Role of Climate Risks (with Santino Del Fava, Christian Pierdzioch and Lavinia Rognone) (Published in Journal of International Financial Markets, Institutions and Money, Vol. 92(1), April, 2024.)
(82) Real-Time Forecast of DSGE Models with Time-Varying Volatility in GARCH Form (with Sergey Ivashchenko, Semih Emre Cekin and Chien-Chiang Lee) (Published in International Review of Financial Analysis, Vol. 93(1), May, 2024.)
(83) Extreme Weather Shocks and State-Level Inflation of the United States (with Wenting Liao, Xin Sheng and Sayar Karmakar) (Published in Economics Letters, Vol. 238(1), May, 2024.)
(84) Safe Havens, Machine Learning, and the Sources of Geopolitical Risk: A Forecasting Analysis Using Over a Century of Data (with Sayar Karmakar and Christian Pierdzioch) (Published in Computational Economics, Vol. 64(1), July, 2024.)
(85) High-Frequency Contagion between Aggregate and Regional Housing Markets of the United States with Financial Assets: Evidence from Multichannel Tests (with Goodness C. Aye, Christina Christou and Christis Hassapis) (Published in The Journal of Real Estate Finance and Economics, Vol. 69(2), August, 2024.)
(86) Modeling the Presidential Approval Ratings of the United States using Machine-Learning: Does Climate Policy Uncertainty Matter? (with Elie Bouri and Christian Pierdzioch) (Published in European Journal of Political Economy, Vol. 85(1), December, 2024.)
(87) Technological Shocks and Stock Market Volatility Over a Century: A GARCH-MIDAS Approach (with Afees A. Salisu and Riza Demirer) (Published in Journal of Empirical Finance, Vol. 79(1), December, 2024.)
(88) Climate Change and Growth Dynamics (with Sarah Nandnaba and Wei Jiang) (Published in Sustainable Futures, Vol. 8(1), December, 2024.)
(89) Supply Chain Constraints and the Predictability of the Conditional Distribution of International Stock Market Returns and Volatility (with Elie Bouri, Oguzhan Cepni and Ruipeng Liu) (Published in Economics Letters, Vol. 247(1), February, 2025.)
(90) The Time-Varying Impact of Uncertainty Shocks on the Comovement of Regional Housing Prices of the United Kingdom (with Hardik A. Marfatia and Oguzhan Cepni) (Published in Nature: Humanities and Social Sciences Communications, Vol. 12(1), February, 2025.)
(91) Forecasting Multivariate Volatilities with Exogenous Predictors: An Application to Industry Diversification Strategies (with Jiawen Luo, Oguzhan Cepni and Riza Demirer) (Published in Journal of Empirical Finance, Vol. 81(1), March, 2025.)
(92) Time-Varying Parameter Four-Equation DSGE Model (with Xiaojin Sun) (Published in Studies in Nonlinear Dynamics and Econometrics, Vol. 29(2), April, 2025.)
(93) The Effects of Conventional and Unconventional Monetary Policy Shocks on US REITs Moments: Evidence from VARs with Functional Shocks (with Shixuan Wang, Matteo Bonato and Oguzhan Cepni) (Forthcoming in The Journal of Real Estate Finance and Economics.)
(94) Forecasting Growth-at-Risk of the United States: Housing Price versus Housing Sentiment or Attention (with Oguzhan Cepni and Christian Pierdzioch) (Forthcoming in The Journal of Real Estate Finance and Economics.)
(95) Gasoline Prices and Presidential Approval Ratings of the United States (with Christian Pierdzioch and Aviral K. Tiwari) (Forthcoming in American Politics Research.)
(96) Conventional and Unconventional Monetary Policy Rate Uncertainty and Stock Market Volatility: A Forecasting Perspective (with Ruipeng Liu, Mawuli Segnon and Elie Bouri) (Forthcoming in Studies in Nonlinear Dynamics and Econometrics.)
(97) Do Shortages Forecast Aggregate and Sectoral U.S. Stock Market Realized Variance? Evidence from a Century of Data (with Matteo Bonato and Christian Pierdzioch) (Forthcoming in Journal of Empirical Finance.)
For my recent working papers, visit my profile at IDEAS.
Contact Details:
Room 2-04, Tukkiewerf Building, Department of Economics,
University of Pretoria,
Pretoria 0002, South Africa.
Tel: +27 12 420 3460, E-mail: Rangan dot Gupta () up () ac () za.