Rangan Gupta
YOU?
Author Swipe
View article: Housing market variables and predictability of state-level stock market volatility of the United States: Fundamentals versus sentiments in a mixed-frequency framework
Housing market variables and predictability of state-level stock market volatility of the United States: Fundamentals versus sentiments in a mixed-frequency framework Open
View article: Does mining activity drive crash risks in bitcoin?
Does mining activity drive crash risks in bitcoin? Open
View article: Investment adjustment costs and growth dynamics
Investment adjustment costs and growth dynamics Open
View article: The Effects of Uncertainty on Economic Conditions Across <scp>US</scp> States: The Role of Climate Risks
The Effects of Uncertainty on Economic Conditions Across <span>US</span> States: The Role of Climate Risks Open
We analyze the impact of uncertainty on the Economic Conditions Index (ECI) of the 50 US states in a panel data set‐up, over the weekly period of the 3rd week of April 1987 to the 4th week of March 2023. Using impulse response functions (I…
View article: Political “Color” and the impact of climate risks on output growth: Evidence from a panel of US states
Political “Color” and the impact of climate risks on output growth: Evidence from a panel of US states Open
View article: Forecasting Growth-at-Risk of the United States: Housing Price versus Housing Sentiment or Attention
Forecasting Growth-at-Risk of the United States: Housing Price versus Housing Sentiment or Attention Open
We examine the predictive power of national housing market-related behavioral variables, along with their connectedness at the state level, in forecasting US aggregate economic activity (such as the Chicago Fed National Activity Index (CFN…
View article: Oil consumption and growth: Is there a threshold effect of greenhouse gases emissions
Oil consumption and growth: Is there a threshold effect of greenhouse gases emissions Open
The paper empirically examines the threshold effect of GHG(s) emissions on the oil consumption-growth nexus. Using a nonlinear local projection approach and an extended historical dataset from 1890 to 2022, we find that the impact of oil c…
View article: Energy Market Uncertainties and Gold Return Volatility: A <scp>GARCH</scp>–<scp>MIDAS</scp> Approach
Energy Market Uncertainties and Gold Return Volatility: A <span>GARCH</span>–<span>MIDAS</span> Approach Open
In this study, the GARCH–MIDAS model is utilized to evaluate how predictable oil and energy market uncertainties are in relation to gold return volatility. We examine daily gold returns and monthly energy uncertainty measurements such as o…
View article: Commodity Risk and Forecastability of International Stock Returns: The Role of Oil Returns Skewness
Commodity Risk and Forecastability of International Stock Returns: The Role of Oil Returns Skewness Open
This study examines the out-of-sample predictability of expected skewness of oil price returns, which serves as a metric for global future risks, as we show statistically through the association with crises of different nature, for stock r…
View article: Gasoline Prices and Presidential Approval Ratings of the United States
Gasoline Prices and Presidential Approval Ratings of the United States Open
We use random forests, a machine-learning technique, to formally examine the link between real gasoline prices and presidential approval ratings of the United States (US). Random forests make it possible to study this link in a completely …
View article: The time-varying impact of uncertainty shocks on the co-movement of regional housing prices of the United Kingdom
The time-varying impact of uncertainty shocks on the co-movement of regional housing prices of the United Kingdom Open
The housing markets in districts across the United Kingdom (UK) co-move over time. We use the dynamic factor model to decompose the co-movement in house prices of the smallest possible geographical unit into national, regional, and idiosyn…
View article: Monetary policy shocks and multi-scale positive and negative bubbles in an emerging country: the case of India
Monetary policy shocks and multi-scale positive and negative bubbles in an emerging country: the case of India Open
We employ the Multi-Scale Log-Periodic Power Law Singularity Confidence Indicator (MS-LPPLS-CI) approach to identify positive and negative bubbles in the short-, medium, and long-term for the Indian stock market, using weekly data from Nov…
View article: Unveiling True Connectedness in Us State-Level Stock Markets: The Role of Common Factors
Unveiling True Connectedness in Us State-Level Stock Markets: The Role of Common Factors Open
View article: Climate Risks and Forecastability of US Inflation: Evidence from Dynamic Quantile Model Averaging
Climate Risks and Forecastability of US Inflation: Evidence from Dynamic Quantile Model Averaging Open
View article: Machine Learning and the Forecastability of Cross-Sectional Realized Variance: The Role of Realized Moments
Machine Learning and the Forecastability of Cross-Sectional Realized Variance: The Role of Realized Moments Open
View article: Effect of Temperature on the Spread of Contagious Diseases: Evidence from over 2000 Years of Data
Effect of Temperature on the Spread of Contagious Diseases: Evidence from over 2000 Years of Data Open
The COVID-19 pandemic led to a surge in interest among scholars and public health professionals in identifying the predictors of health shocks and their transmission in the population. With temperature increases becoming a persistent clima…
View article: Financial Uncertainty and Gold Market Volatility: Evidence from a Generalized Autoregressive Conditional Heteroskedasticity Variant of the Mixed-Data Sampling (GARCH-MIDAS) Approach with Variable Selection
Financial Uncertainty and Gold Market Volatility: Evidence from a Generalized Autoregressive Conditional Heteroskedasticity Variant of the Mixed-Data Sampling (GARCH-MIDAS) Approach with Variable Selection Open
We analyze the predictive effect of monthly global, regional, and country-level financial uncertainties on daily gold market volatility using univariate and multivariate GARCH-MIDAS models, with the latter characterized by variable selecti…
View article: Climate Risks and Real Gold Returns over 750 Years
Climate Risks and Real Gold Returns over 750 Years Open
Using data that cover the annual period from 1258 to 2023, we studied the link between real gold returns and climate risks. We documented a positive contemporaneous link and a negative predictive link. Our findings further show that the pr…
View article: Multi-Task Forecasting of the Realized Volatilities of Agricultural Commodity Prices
Multi-Task Forecasting of the Realized Volatilities of Agricultural Commodity Prices Open
Motivated by the comovement of realized volatilities (RVs) of agricultural commodity prices, we study whether multi-task forecasting algorithms improve the accuracy of out-of-sample forecasts of 15 agricultural commodities during the sampl…
View article: Socio-spatial features of neighbourhoods supporting social interaction between locals and migrants in peri-urban China
Socio-spatial features of neighbourhoods supporting social interaction between locals and migrants in peri-urban China Open
View article: Comparing risk profiles of international stock markets as functional data: COVID‐19 versus the global financial crisis
Comparing risk profiles of international stock markets as functional data: COVID‐19 versus the global financial crisis Open
In this article, we aim to provide a detailed econometric analysis of the realized volatility in international stock markets of Brazil, China, Europe, India, the United Kingdom, and the United States, which represent a mix of large develop…
View article: Financial stress and realized volatility: The case of agricultural commodities
Financial stress and realized volatility: The case of agricultural commodities Open
View article: Housing search activity and quantiles-based predictability of housing price movements in the USA
Housing search activity and quantiles-based predictability of housing price movements in the USA Open
Purpose Recent evidence from a linear econometric framework infers that housing search activity, captured from Google Trends data, can predict housing returns for the USA at a national and regional (metropolitan statistical area [MSA]) lev…
View article: Climate Risks and Stock Market Volatility over a Century in an Emerging Market Economy: The Case of South Africa
Climate Risks and Stock Market Volatility over a Century in an Emerging Market Economy: The Case of South Africa Open
Because climate change broadcasts a large aggregate risk to the overall macroeconomy and the global financial system, we investigate how a temperature anomaly and/or its volatility affect the accuracy of forecasts of stock return volatilit…
View article: Energy-related uncertainty and international stock market volatility
Energy-related uncertainty and international stock market volatility Open
This paper predicts the daily return volatility of 28 advanced and developing stock markets using monthly metrics of the corresponding country and global energy-related uncertainty indexes (EUIs) recently proposed in the literature. Using …
View article: Extreme weather shocks and state-level inflation of the United States
Extreme weather shocks and state-level inflation of the United States Open
This study investigates the impact of a metric of extreme weather shocks on 32 state-level inflation rates of the United States (US) over the quarterly period of 1989:01 to 2017:04. In this regard, we first utilize a dynamic factor model w…
View article: Forecasting international financial stress: The role of climate risks
Forecasting international financial stress: The role of climate risks Open
DATA AVAILABILITY : Data will be made available on request.
View article: Forecasting the realized volatility of agricultural commodity prices: Does sentiment matter?
Forecasting the realized volatility of agricultural commodity prices: Does sentiment matter? Open
We analyze the out‐of‐sample predictive power of sentiment for the realized volatility of agricultural commodity price returns. We use high‐frequency intra‐day data covering the period from 2009 to 2020 to estimate realized volatility. Our…
View article: Stock market bubbles and the realized volatility of oil price returns
Stock market bubbles and the realized volatility of oil price returns Open
View article: The Effects of Conventional and Unconventional Monetary Policy Shocks on US REITs Moments: Evidence from VARs with Functional Shocks
The Effects of Conventional and Unconventional Monetary Policy Shocks on US REITs Moments: Evidence from VARs with Functional Shocks Open
We use a vector autoregressive model with functional shocks, capturing the shift of the entire term structure of interest rates on monetary policy announcement dates, to empirically evaluate the effects of conventional and unconventional m…