Search Results - "Wohar, Mark E."

Measuring the response of gold prices to uncertainty: An analysis beyond the mean by Bouoiyour, Jamal, Selmi, Refk, Wohar, Mark E.

“…This paper provides an innovative perspective on the role of gold as a hedge and safe haven. We use a quantile-on-quantile regression approach to capture the…”
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Does Economic Policy Uncertainty Predict Exchange Rate Returns and Volatility? Evidence from a Nonparametric Causality-in-Quantiles Test by Balcilar, Mehmet, Gupta, Rangan, Kyei, Clement, Wohar, Mark E.

“…Recent studies have analysed the ability of measures of uncertainty to predict movements in macroeconomic and financial variables. The objective of this paper…”
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Inflation, inflation uncertainty, and economic growth in emerging and developing countries: Panel data evidence by Baharumshah, Ahmad Zubaidi, Slesman, Ly, Wohar, Mark E.

“…•We examine growth effects of inflation and its uncertainty in emerging and developing countries.•Inflation harms growth, while inflation uncertainty promotes…”
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Is COVID-19 Related Anxiety an Accelerator for Responsible and Sustainable Investing ? A Sentiment Analysis by Selmi, Refk, Hammoudeh, Shawkat, Errami, Youssef, Wohar, Mark E.

“…The excessive volatility generated by the COVID-19 pandemic highlights that environmental and social issues are potential elements that businesses and…”
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High-Frequency Volatility Forecasting of US Housing Markets by Segnon, Mawuli, Gupta, Rangan, Lesame, Keagile, Wohar, Mark E.

“…We propose a logistic smooth transition autoregressive fractionally integrated [STARFI ( p , d )] process for modeling and forecasting US housing price…”
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Time-varying role of macroeconomic shocks on house prices in the US and UK: evidence from over 150 years of data by Plakandaras, Vasilios, Gupta, Rangan, Katrakilidis, Constantinos, Wohar, Mark E.

“…In this paper, we study the effect of macroeconomic shocks in the determination of house prices. Focusing on the US and the UK housing market, we employ…”
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What Can Fifty-Two Collateralizable Wealth Measures Tell Us About Future Housing Market Returns? Evidence from U.S. State-Level Data by Balcilar, Mehmet, Gupta, Rangan, Sousa, Ricardo M., Wohar, Mark E.

“…We use a novel U.S. state-level database to evaluate the role of housing wealth as a provider of collateral services. First, we estimate the cointegrating…”
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The contribution of economic fundamentals to movements in exchange rates by Balke, Nathan S., Ma, Jun, Wohar, Mark E.

“…Starting from the asset pricing approach of Engel and West, we examine the degree to which fundamentals can explain exchange rate fluctuations. We show that it…”
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Impact of oil price volatility on state-level consumption of the United States: The role of oil dependence by van Eyden, Reneé, Gupta, Rangan, Sheng, Xin, Wohar, Mark E

“…In this study, we analyse the impact of oil price uncertainty (as measured by an observable measure of oil price volatility, i.e. realised volatility) on…”
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What Trump's China Tariffs Have Cost U.S. Companies? by Selmi, Refk, Errami, Youssef, Wohar, Mark E.

“…For decades, the two economic superpowers—the U.S and China—have converged on seemingly contentious issues. However, the U.S. administration under Donald…”
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Oil price volatility and economic growth: Evidence from advanced economies using more than a century’s data by van Eyden, Reneé, Difeto, Mamothoana, Gupta, Rangan, Wohar, Mark E.

“…•The impact of oil price uncertainty on economic growth in OECD countries is studied.•Taking a historic perspective, the sample covers a 144-year period…”
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What are the categories of geopolitical risks that could drive oil prices higher? Acts or threats? by Bouoiyour, Jamal, Selmi, Refk, Hammoudeh, Shawkat, Wohar, Mark E.

“…[Display omitted] •We evaluate the dynamic dependence between oil prices and geopolitical risks.•We separate shocks due to geopolitical acts from those due to…”
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Macro variables and international stock return predictability by Rapach, David E., Wohar, Mark E., Rangvid, Jesper

“…In this paper, we examine the predictability of stock returns using macroeconomic variables in 12 industrialized countries. We consider both in-sample and…”
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Safe havens in the face of Presidential election uncertainty: A comparison between Bitcoin, oil and precious metals by Bouoiyour, Jamal, Selmi, Refk, Wohar, Mark E.

“…Even though the empirical literature on safe haven properties of different assets with respect to financial risks is increasing, their abilities to safeguard…”
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Volatility spillovers across global asset classes: Evidence from time and frequency domains by Tiwari, Aviral Kumar, Cunado, Juncal, Gupta, Rangan, Wohar, Mark E.

“…•Volatility spillovers across four (stock, sovereign bonds, CDS and currency) global asset classes analysed.•Diebold and Yilmaz (2012) methodology estimated…”
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On the prevalence of trends in primary commodity prices by Kellard, Neil, Wohar, Mark E.

“…This paper applies new time series procedures to examine the Prebisch–Singer hypothesis of a secular deterioration in relative primary commodity prices…”
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Time-varying rare disaster risks, oil returns and volatility by Demirer, Riza, Gupta, Rangan, Suleman, Tahir, Wohar, Mark E.

“…This paper provides a novel perspective to the predictive ability of rare disaster risks for West Texas Intermediate (WTI) oil market returns and volatility…”
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In-sample vs. out-of-sample tests of stock return predictability in the context of data mining by Rapach, David E., Wohar, Mark E.

“…We undertake an extensive analysis of in-sample and out-of-sample tests of stock return predictability in an effort to better understand the nature of the…”
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Testing the monetary model of exchange rate determination: new evidence from a century of data by Rapach, David E., Wohar, Mark E.

“…We test the long-run monetary model of exchange rate determination for a collection of 14 industrialized countries using data spanning the late nineteenth or…”
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“Digital Gold” and geopolitics by Selmi, Refk, Bouoiyour, Jamal, Wohar, Mark E.

“…[Display omitted] •We compare the safe haven properties of Bitcoin and gold against geopolitical risks.•We develop a geopolitical composite index based on…”
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