create a website

Stock Price Dynamics and the Business Cycle in an Estimated DSGE Model for South Africa. (2014). Paetz, Michael ; GUPTA, RANGAN.
In: Working Papers.
RePEc:pre:wpaper:201441.

Full description at Econpapers || Download paper

Cited: 0

Citations received by this document

Cites: 30

References cited by this document

Cocites: 44

Documents which have cited the same bibliography

Coauthors: 0

Authors who have wrote about the same topic

Citations

Citations received by this document

    This document has not been cited yet.

References

References cited by this document

  1. ——— (2010b): “The Role Of The Exchange Rate In A New Keynesian Dsge Model For The South African Economy,” South African Journal of Economics, 78, 170–191.
    Paper not yet in RePEc: Add citation now
  2. ——— (2011): “Forecasting performance of an estimated DSGE model for the South African Economy,” South African Journal of Economics, 79, 50–67.
    Paper not yet in RePEc: Add citation now
  3. ——— (2012): “Equity Prices, Monetary Policy, And Economic Activities In Emerging Market Economies: The Case Of South Africa,” Journal of applied Business Research, 28, 1217–1228.
    Paper not yet in RePEc: Add citation now
  4. ALPANDA, S., K. KOTZE, AND G. WOGLOM (2010a): “Should Central Banks of Small Open Economies Respond to Exchange Rate Fluctuations? The Case of South Africa,” Working Papers 174, Economic Research Southern Africa.

  5. ANDR E, C., R. GUPTA, AND P. T. KANDA (2012): “Do House Prices Impact Consumption and Interest Rate? Evidence from OECD Countries using an Agnostic Identification Procedure,” Applied Economics Quarterly, 58, 19–70.

  6. APERGIS, N., B. D. SIM-KENGNE, AND R. GUPTA (2014): “The Long-Run Relationship between Consumption, House Prices and Stock Prices in South Africa: Evidence from Provincial-Level Data,” Journal of Real Estate Literature, 22, 83– 99.

  7. ARON, J. AND J. MUELLBAUER (2013): “Wealth, Credit Conditions, and Consumption: Evidence from South Africa,” Review of Income and Wealth, 59, 161–196. AYE, G., R. GUPTA, AND M. MODISE (forthcoming): “Do Stock Prices Impact Consumption and Interest Rate in South Africa? Evidence from a Time-Varying Vector Autoregressive Model,” Journal of Emerging Market Finance.

  8. AYE, G. C., R. GUPTA, A. KANINDA, W. NYAKABAWO, AND A. RAZAK (2013): “House Price, Stock Price and Consumption in South Africa: A Structural VAR Approach,” Corporate Ownership and Control, 10, 585–589.

  9. BLANCHARD, O. J. (1985): “Debt, Deficits, and Finite Horizons,” Journal of Political Economy, 93, 223–247.

  10. BLINDER, A. S. AND R. M. SOLOW (1973): “Does fiscal policy matter?” Journal of Public Economics, 2, 319–337.

  11. BONGA-BONGA, L. (2011): “Equity Prices And Inflation In South Africa: An Empirical Analysis,” Journal of applied Business Research, 27, 105–112.
    Paper not yet in RePEc: Add citation now
  12. BURGER, P. (2010): “The South African business cycle: what has changed?” South African Journal of Economic and Management Sciences, 13, 26–49.
    Paper not yet in RePEc: Add citation now
  13. CALVO, G. (1983): “Staggered Prices in Utility-Maximizing Framework,” Journal of Monetary Economics, 12, 983–998.

  14. CASTELNUOVO, E. AND S. NISTIC O (2010): “Stock market conditions and monetary policy in a DSGE model for the U.S,” Journal of Economic Dynamics and Control, 34, 1700–1731.

  15. DIXIT, A. K. AND J. E. STIGLITZ (1977): “Monopolistic Competition and Optimum Product Diversity,” American Economic Review, 67, 297–308.

  16. FINOCCHIARO, D. AND V. Q. HEIDEKEN (2013): “Do Central Banks React to House Prices?” Journal of Money, Credit and Banking, 45, 1659–1683.

  17. FUNKE, M., M. PAETZ, AND E. PYTLARCZYK (2011): “Stock market wealth effects in an estimated DSGE model for Hong Kong,” Economic Modelling, 28, 316– 334.

  18. GAL I, J. (2003): “New Perspectives on Monetary Policy, Inflation, and the Business Cycle,” in Advances in Economic Theory, Vol. III, ed. by M. Dewatripont, L. Hansen, and S. Turnovsky, Cambridge, University Press, 151–197.
    Paper not yet in RePEc: Add citation now
  19. GAL I, J. AND T. MONACELLI (2005): “Monetary Policy and Exchange Rate Volatility in a Small Open Economy,” Review of Economic Studies, 72, 707–734.

  20. GUPTA, R. AND R. STEINBACH (2013): “A DSGE-VAR model for forecasting key South African macroeconomic variables,” Economic Modelling, 33, 19–33.

  21. LUCAS, R. J. (1976): “Econometric policy evaluation: A critique,” CarnegieRochester Conference Series on Public Policy, 1, 19–46.

  22. MOOLMAN, E. (2004): “A Markov switching regime model of the South African business cycle,” Economic Modelling, 21, 631–646.

  23. MOOLMAN, E. AND J. JORDAAN (2005): “Can Leading Business Cycle Indicators Predict The Direction Of The South African Commercial Share Price Index?” South African Journal of Economics, 73, 68–78.

  24. MUROYIWA, B. (2011): “Identifying the interdependence between South Africa’s Monetary Policy and the Stock Market,” Masters dissertation, Department Of Economics and Economic History Rhodes University, Grahamstown.
    Paper not yet in RePEc: Add citation now
  25. ODHIAMBO, N. (2010): “Stock market development and economic growth in South Africa: An ARDL-Bounds,” Tech. rep., Department of Economics, University of South Africa.

  26. PARI ES, M. D. AND A. NOTARPIETRO (2008): “Monetary policy and housing prices in an estimated DSGE model for the US and the euro area,” European Central Bank Working Paper Series.

  27. References 26 AN, S. AND F. SCHORFHEIDE (2007): “Bayesian Analysis of DSGE Models,” Econometric Reviews, 26, 113–172.

  28. References 27 DAS, S., R. GUPTA, AND P. T. KANDA (2011): “Bubbles in South African House Prices and their Impact on Consumption,” Journal of Real Estate Literature, 19, 69–91.

  29. References 28 STEINBACH, M., P. MATHULOE, AND B. SMIT (2009): “An Open Economy New Keynesian Dsge Model Of The South African Economy,” South African Journal of Economics, 77, 207–227.

  30. SMETS, F. AND R. WOUTERS (2007): “Shocks and Frictions in US Business Cycles: A Bayesian DSGE Approach,” American Economic Review, 97, 586–606.

Cocites

Documents in RePEc which have cited the same bibliography

  1. FINANCIAL FRICTIONS AND MONETARY POLICY SHOCKS IN SIERRA LEONE: DYNAMIC STOCHASTIC GENERAL EQUILIBRIUM MODEL. (2022). Johnson, Leroy N.
    In: Ilorin Journal of Economic Policy.
    RePEc:ris:ilojep:0063.

    Full description at Econpapers || Download paper

  2. Big data forecasting of South African inflation. (2022). Steenkamp, Daan ; Rankin, Neil ; Kotze, Kevin ; Burger, Rulof ; Botha, Byron.
    In: Working Papers.
    RePEc:rbz:wpaper:11022.

    Full description at Econpapers || Download paper

  3. Monetary policy and financial frictions in a small open-economy model for Uganda. (2020). Kotze, Kevin ; GUPTA, RANGAN ; Anguyo, Francis Leni.
    In: Empirical Economics.
    RePEc:spr:empeco:v:59:y:2020:i:3:d:10.1007_s00181-019-01728-y.

    Full description at Econpapers || Download paper

  4. Housing market spillovers in South Africa: evidence from an estimated small open economy DSGE model. (2020). Sun, Xiaojin ; GUPTA, RANGAN.
    In: Empirical Economics.
    RePEc:spr:empeco:v:58:y:2020:i:5:d:10.1007_s00181-018-1613-6.

    Full description at Econpapers || Download paper

  5. Time-varying role of macroeconomic shocks on house prices in the US and UK: evidence from over 150 years of data. (2020). Wohar, Mark ; Plakandaras, Vasilios ; Katrakilidis, Constantinos ; GUPTA, RANGAN.
    In: Empirical Economics.
    RePEc:spr:empeco:v:58:y:2020:i:5:d:10.1007_s00181-018-1581-x.

    Full description at Econpapers || Download paper

  6. Does monetary policy react asymmetrically to exchange rate misalignments? Evidence for South Africa. (2020). Proaño, Christian ; Mateane, Lebogang ; Proao, Christian R.
    In: Empirical Economics.
    RePEc:spr:empeco:v:58:y:2020:i:4:d:10.1007_s00181-018-1595-4.

    Full description at Econpapers || Download paper

  7. The Dynamics of Tourism—Refugeeism on House Prices in Cyprus and Malta. (2019). Alola, Andrew.
    In: Journal of International Migration and Integration.
    RePEc:spr:joimai:v:20:y:2019:i:2:d:10.1007_s12134-018-0621-x.

    Full description at Econpapers || Download paper

  8. Analiza međuovisnosti stambenog tržišta i makroekonomskog sustava u Hrvatskoj. (2018). Slikovi, Tamara.
    In: EFZG Occasional Publications (Department of Macroeconomics).
    RePEc:zag:chaptr:18-11.

    Full description at Econpapers || Download paper

  9. Time-varying correlations between trade balance and stock prices in the United States over the period 1792 to 2013. (2018). Tiwari, Aviral ; GUPTA, RANGAN ; Antonakakis, Nikolaos.
    In: Journal of Economics and Finance.
    RePEc:spr:jecfin:v:42:y:2018:i:4:d:10.1007_s12197-018-9428-z.

    Full description at Econpapers || Download paper

  10. Does Inequality Really Matter in Forecasting Real Housing Returns of the United Kingdom?. (2018). GUPTA, RANGAN ; Yeganegi, Mohammad Reza ; Hassani, Hossein.
    In: Working Papers.
    RePEc:pre:wpaper:201859.

    Full description at Econpapers || Download paper

  11. Comparing the forecasting ability of financial conditions indices: The case of South Africa. (2018). Majumdar, Anandamayee ; GUPTA, RANGAN ; van Eyden, Renee ; Balcilar, Mehmet ; Thompson, Kirsten.
    In: The Quarterly Review of Economics and Finance.
    RePEc:eee:quaeco:v:69:y:2018:i:c:p:245-259.

    Full description at Econpapers || Download paper

  12. The global financial cycle, bank capital flows and monetary policy. Evidence from Norway. (2018). Alstadheim, Ragna ; Blandhol, Christine.
    In: Working Paper.
    RePEc:bno:worpap:2018_02.

    Full description at Econpapers || Download paper

  13. Time-Varying Role of Macroeconomic Shocks on House Prices in the US and UK: Evidence from Over 150 Years of Data. (2017). Wohar, Mark ; Plakandaras, Vasilios ; Katrakilidis, Constantinos ; GUPTA, RANGAN.
    In: Working Papers.
    RePEc:pre:wpaper:201765.

    Full description at Econpapers || Download paper

  14. Asymmetric Behaviour in Nominal and Real Housing Prices: Evidence from Advanced and Emerging Economies. (2017). Zerihun, Mulatu ; GUPTA, RANGAN ; Antonakakis, Nikolaos ; André, Christophe ; Andre, Christophe.
    In: Working Papers.
    RePEc:pre:wpaper:201711.

    Full description at Econpapers || Download paper

  15. Monetary Policy and Financial Frictions in a Small Open-Economy Model for Uganda. (2017). Kotze, Kevin ; GUPTA, RANGAN ; Anguyo, Francis Leni.
    In: Working Papers.
    RePEc:pre:wpaper:201710.

    Full description at Econpapers || Download paper

  16. Has the correlation of inflation and stock prices changed in the United States over the last two centuries?. (2017). Tiwari, Aviral ; GUPTA, RANGAN ; Antonakakis, Nikolaos.
    In: Research in International Business and Finance.
    RePEc:eee:riibaf:v:42:y:2017:i:c:p:1-8.

    Full description at Econpapers || Download paper

  17. Dynamic Spillovers in the United States: Stock Market, Housing, Uncertainty, and the Macroeconomy. (2016). GUPTA, RANGAN ; Antonakakis, Nikolaos ; André, Christophe.
    In: Southern Economic Journal.
    RePEc:wly:soecon:v:83:y:2016:i:2:p:609-624.

    Full description at Econpapers || Download paper

  18. Housing Market Spillovers in South Africa: Evidence from an Estimated Small Open Economy DSGE Model. (2016). Sun, Xiaojin ; GUPTA, RANGAN.
    In: Working Papers.
    RePEc:pre:wpaper:201641.

    Full description at Econpapers || Download paper

  19. Components of Economic Policy Uncertainty and Predictability of US Stock Returns and Volatility: Evidence from a Nonparametric Causality-in-Quantile Approach. (2016). Kyei, Clement ; GUPTA, RANGAN ; Balcilar, Mehmet ; Antonakakis, Nikolaos ; Sun, Xiaojin.
    In: Working Papers.
    RePEc:pre:wpaper:201639.

    Full description at Econpapers || Download paper

  20. Time-Varying Correlations between Inflation and Stock Prices in the United States over the Last Two Centuries. (2016). Tiwari, Aviral ; GUPTA, RANGAN ; Antonakakis, Nikolaos.
    In: Working Papers.
    RePEc:pre:wpaper:201605.

    Full description at Econpapers || Download paper

  21. Assessing the Effects of Housing Market Shocks on Output: The Case of South Africa. (2016). .
    In: MPRA Paper.
    RePEc:pra:mprapa:69610.

    Full description at Econpapers || Download paper

  22. Household debt in OECD countries: Stylised facts and policy issues. (2016). André, Christophe ; Andre, Christophe.
    In: OECD Economics Department Working Papers.
    RePEc:oec:ecoaaa:1277-en.

    Full description at Econpapers || Download paper

  23. Stock price dynamics and the business cycle in an estimated DSGE model for South Africa. (2016). Paetz, Michael ; GUPTA, RANGAN.
    In: Journal of International Financial Markets, Institutions and Money.
    RePEc:eee:intfin:v:44:y:2016:i:c:p:166-182.

    Full description at Econpapers || Download paper

  24. Dynamic interdependencies among the housing market, stock market, policy uncertainty and the macroeconomy in the United Kingdom. (2016). Floros, Christos ; Antonakakis, Nikolaos.
    In: International Review of Financial Analysis.
    RePEc:eee:finana:v:44:y:2016:i:c:p:111-122.

    Full description at Econpapers || Download paper

  25. DSGE model-based forecasting of modelled and nonmodelled inflation variables in South Africa. (2015). Paccagnini, Alessia ; Kanda, Patrick ; GUPTA, RANGAN ; Modise, Mampho P.
    In: Open Access publications.
    RePEc:ucn:oapubs:10197/7351.

    Full description at Econpapers || Download paper

  26. Comovement in Euro area housing prices: A fractional cointegration approach. (2015). GUPTA, RANGAN ; Gil-Alana, Luis ; André, Christophe.
    In: Urban Studies.
    RePEc:sae:urbstu:v:52:y:2015:i:16:p:3123-3143.

    Full description at Econpapers || Download paper

  27. Macroeconomic Effects of a Decline in Housing Prices in Sweden. (2015). Österholm, Pär ; Gustafsson, Peter ; Stockhammar, Par ; Osterholm, Par.
    In: Working Papers.
    RePEc:hhs:nierwp:0138.

    Full description at Econpapers || Download paper

  28. Forecasting macroeconomic data for an emerging market with a nonlinear DSGE model. (2015). Kotze, Kevin ; GUPTA, RANGAN ; Balcilar, Mehmet.
    In: Economic Modelling.
    RePEc:eee:ecmode:v:44:y:2015:i:c:p:215-228.

    Full description at Econpapers || Download paper

  29. Stock Price Dynamics and the Business Cycle in an Estimated DSGE Model for South Africa. (2014). GUPTA, RANGAN ; Paetz, Michael.
    In: WiSo-HH Working Paper Series.
    RePEc:zbw:uhhwps:18.

    Full description at Econpapers || Download paper

  30. Monetary Regime Switches and Central Bank Preferences. (2014). Nunes, Ricardo ; Debortoli, Davide.
    In: Journal of Money, Credit and Banking.
    RePEc:wly:jmoncb:v:46:y:2014:i:8:p:1591-1626.

    Full description at Econpapers || Download paper

  31. Fiscal Policy Shocks and the Dynamics of Asset Prices. (2014). Ozdemir, Zeynel ; Miller, Stephen ; Jooste, Charl ; GUPTA, RANGAN ; Balcilar, Mehmet.
    In: Public Finance Review.
    RePEc:sae:pubfin:v:42:y:2014:i:4:p:511-531.

    Full description at Econpapers || Download paper

  32. A mediumsized open economy DSGE model of South Africa. (2014). Steinbach, Max ; Smit, Ben ; Du Plessis, Stan.
    In: Working Papers.
    RePEc:rbz:wpaper:6319.

    Full description at Econpapers || Download paper

  33. Stock Price Dynamics and the Business Cycle in an Estimated DSGE Model for South Africa. (2014). Paetz, Michael ; GUPTA, RANGAN.
    In: Working Papers.
    RePEc:pre:wpaper:201441.

    Full description at Econpapers || Download paper

  34. DSGE Model-Based Forecasting of Modeled and Non-Modeled Ination Variables in South Africa. (2014). Kanda, Tunda P. ; Modise, Mampho P. ; Paccagnini, Alessia.
    In: Working Papers.
    RePEc:ipg:wpaper:2014-562.

    Full description at Econpapers || Download paper

  35. Monetary policy and financial shocks in an empirical small open-economy DSGE model. (2014). Steinbach, Max ; Smit, Ben ; Du Plessis, Stan.
    In: EcoMod2014.
    RePEc:ekd:006356:7194.

    Full description at Econpapers || Download paper

  36. DSGE Model-Based Forecasting of Modeled and Non-Modeled Inflation Variables in South Africa. (2013). Paccagnini, Alessia ; Kanda, Tunda P. ; GUPTA, RANGAN ; Modise, Mampho P..
    In: Working Papers.
    RePEc:pre:wpaper:201374.

    Full description at Econpapers || Download paper

  37. Comovement in Euro Area Housing Prices: A Fractional Cointegration Approach. (2013). GUPTA, RANGAN ; Gil-Alana, Luis ; André, Christophe ; Andre, Christophe.
    In: Working Papers.
    RePEc:pre:wpaper:201359.

    Full description at Econpapers || Download paper

  38. Forecasting South African Macroeconomic Data with a Nonlinear DSGE Model. (2013). Kotze, Kevin ; GUPTA, RANGAN ; Balcilar, Mehmet.
    In: Working Papers.
    RePEc:pre:wpaper:201313.

    Full description at Econpapers || Download paper

  39. Housing Cycles and Macroeconomic Fluctuations: A Global Perspective. (2012). Cesa-Bianchi, Ambrogio.
    In: IDB Publications (Working Papers).
    RePEc:idb:brikps:4085.

    Full description at Econpapers || Download paper

  40. Is the relationship between monetary policy and house prices asymmetric in South Africa? Evidence from a Markov-Switching Vector Autoregressive mode. (2012). Simo-Kengne, Beatrice Desiree ; Reid, Monique ; GUPTA, RANGAN ; Balcilar, Mehmet ; Aye, Goodness C.
    In: Working Papers.
    RePEc:emu:wpaper:15-26.pdf.

    Full description at Econpapers || Download paper

  41. Re-examining the Decline in the US Saving Rate: The Impact of Mortgage Equity Withdrawal. (2012). Paradiso, Antonio ; Costantini, Mauro ; Caporale, Guglielmo Maria.
    In: Discussion Papers of DIW Berlin.
    RePEc:diw:diwwpp:dp1232.

    Full description at Econpapers || Download paper

  42. Re-examining the Decline in the US Saving Rate: The Impact of Mortgage Equity Withdrawal. (2012). Paradiso, Antonio ; Costantini, Mauro ; Caporale, Guglielmo Maria.
    In: CESifo Working Paper Series.
    RePEc:ces:ceswps:_3897.

    Full description at Econpapers || Download paper

  43. Exchange Rate Pass-through and Monetary Policy in South Africa. (2010). muellbauer, john ; Farrell, Greg ; Aron, Janine ; Sinclair, Peter.
    In: CEPR Discussion Papers.
    RePEc:cpr:ceprdp:8153.

    Full description at Econpapers || Download paper

  44. THE ROLE OF THE EXCHANGE RATE IN A NEW KEYNESIAN DSGE MODEL FOR THE SOUTH AFRICAN ECONOMY. (2010). Woglom, Geoffrey ; Kotze, Kevin ; Alpanda, Sami.
    In: South African Journal of Economics.
    RePEc:bla:sajeco:v:78:y:2010:i:2:p:170-191.

    Full description at Econpapers || Download paper

Coauthors

Authors registered in RePEc who have wrote about the same topic

Report date: 2025-09-23 15:59:37 || Missing content? Let us know

CitEc is a RePEc service, providing citation data for Economics since 2001. Last updated August, 3 2024. Contact: Jose Manuel Barrueco.