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Browsing by Author "Gupta, R"

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Forecasting regional house price inflation: a comparison between dynamic factor models and vector autoregressive models

Author: Das, Sonali ; Gupta, R ; Kabundi, A Date: 2010 This paper uses the dynamic factor model framework, which accommodates a large cross-section of macroeconomic time series, for forecasting regional house price inflation. In this study, the authors forecast house price inflation for five ... Read more
Predicting downturns in the US housing market: a Bayesian approach

Author: Gupta, R ; Das, Sonali Date: Oct 2010 This paper estimates Bayesian Vector Autoregressive (BVAR) models, both spatial and non-spatial (univariate and multivariate), for the twenty largest states of the US economy, using quarterly data over the period 1976:Q1–1994:Q4; and then ... Read more
Predicting downturns in the US housing market: a Bayesian approach

Author: Gupta, R ; Das, Sonali Date: Mar 2008 This paper estimates Bayesian Vector Autoregressive (BVAR) models, both spatial and non-spatial (univariate and multivariate), for the twenty largest states of the US economy, using quarterly data over the period 1976:Q1 to 1994:Q4; and then ... Read more
Predicting downturns in the US housing market: a Bayesian approach [Conference presentation]

Author: Gupta, R ; Das, Sonali Date: Oct 2008 Bayesian methods are influenced by choice of prior. None-the-less, their importance cannot be disregarded in light of current exercise and existing other literature . The way forward is to try other large scale Bayesian models that incorporate ... Read more
Real interest rate persistence in South Africa: Evidence and implications

Author: Das, Sonali ; Gupta, R ; Kanda, PT ; Reid, M ; Tipoy, CK ; Zerihun, MF Date: Dec 2012 The real interest rate is a very important variable in the transmission of monetary policy. It features in vast majority of financial and macroeconomic models. Though the theoretical importance of the real interest rate has generated a sizable ... Read more
Spatial Bayesian methods of forecasting house prices in six metropolitan areas of South Africa

Author: Gupta, R ; Das, Sonali Date: Jun 2008 This paper estimates Spatial Bayesian Vector Autoregressive models (SBVAR), based on the First-Order Spatial Contiguity and the Random Walk Averaging priors, for six metropolitan areas of South Africa, using monthly data over the period of ... Read more
Temporal causality between house prices and output in the U.S.: a bootstrap rolling-window approach

Author: Nyakabawo, W ; Miller, SM ; Balcilar, M ; Das, Sonali ; Gupta, R Date: Jul 2015 This paper examines the causal relationships between the real house price index and real GDP per capita in the US, using the bootstrap Granger (temporal) non-causality test and a fixed-size rolling-window estimation approach. We use quarterly ... Read more
Time-varying causality between equity and currency returns in the United Kingdom: Evidence from over two centuries of data

Author: Kanda, P ; Burke, Michael G ; Gupta, R Date: Sep 2018 We analyse the dynamics of the causal interaction between the stock and foreign exchange markets for the United Kingdom using monthly data going as far back as 1791. First, we consider static causality tests, yielding mixed results. Given the ... Read more

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Browsing by Author "Gupta, R"

Browsing by Author "Gupta, R"

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