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Gupta, Rangan,Yoon, Seong-Min Elsevier 2018 NORTH AMERICAN JOURNAL OF ECONOMICS AND FINANCE Vol.45 No.-
<P><B>Abstract</B></P> <P>This paper provides a novel perspective to the predictive ability of OPEC meeting dates and production announcements for (Brent Crude and West Texas Intermediate) oil futures market returns and GARCH-based volatility using a nonparametric quantile-based methodology. We show a nonlinear relationship between oil futures returns and OPEC-based predictors; hence, linear Granger causality tests are misspecified and the linear model results of non-predictability are unreliable. When the quantile-causality test is implemented, we observe that the impact of OPEC variables is restricted to Brent Crude futures only (with no effect observed for the WTI market). Specifically, OPEC production announcements, and meeting dates predict only lower quantiles of the conditional distribution of Brent futures market returns. While, predictability of volatility covers the majority of the quantile distribution, barring extreme ends.</P>
Currency Substitution and Financial Repression
Rangan Gupta 한국국제경제학회 2011 International Economic Journal Vol.25 No.1
In this paper, we use a general equilibrium overlapping generations monetary endogenous growth model of a small open economy, to analyze whether financial repression, measured via the 'high' mandatory reserve-deposit requirements of financial intermediaries, is an optimal response of a consolidated government following an increase in the degree of currency substitution. We find that higher currency substitution can yield higher reserve requirements, but the result depends crucially on how the consumer weighs money in the utility function relative to domestic and foreign consumptions, and also the size of the government.
An Endogenous Growth Model of a Financially Repressed Small Open Economy
Samrat Goswami,Rangan Gupta 한국국제경제학회 2009 International Economic Journal Vol.23 No.1
The paper develops a monetary endogenous growth model of a financially repressed small open economy, characterized by curb markets, capital mobility, transaction costs in domestic and foreign capital markets, and a flexible exchange rate system, to analyze the impact of financial liberalization - interest rate deregulation and lower multiple reserve requirements - on growth and inflation. When the model is calibrated to match world figures, we find that interest rate deregulation enhances growth and reduces inflation in steady-state. For relatively smaller transaction costs in the curb market, the above result is, however, reversed. Under such circumstances, lowering the transaction costs in the foreign capital market tends to restore the growth-enhancing (inflation-reducing) capabilities of interest rate deregulation. Lower reserve requirements, though, always ensures lower (higher) steady-state inflation (growth).