Change Detection in Causal Relationships and Measurement of Systemic Risk. Empirical measures of interconnectedness between financial institutions based on tests of Granger causality are currently used in detecting systemic risk. However, researchers need to define periods of calm and stress exogenously in order to implement these tests appropriately. This project aims to develop a new procedure to identify changes in causal relationships and the timing of these changes. The new approach has the ....Change Detection in Causal Relationships and Measurement of Systemic Risk. Empirical measures of interconnectedness between financial institutions based on tests of Granger causality are currently used in detecting systemic risk. However, researchers need to define periods of calm and stress exogenously in order to implement these tests appropriately. This project aims to develop a new procedure to identify changes in causal relationships and the timing of these changes. The new approach has the potential to be a significant improvement in the real-time identification of emerging turmoil in financial markets and provide an improved method for the detection of systemic risk. The new test procedure will be implemented using data for financial and non-financial institutions across Europe, the US and Australia.Read moreRead less
Bayesian Inference for Flexible Parametric Multivariate Econometric Modelling. The anticipated outcomes include the development of enhanced multivariate econometric models and innovative computationally intensive methods for their estimation. These models are used in numerous and diverse applications which are data-intensive and where more complete models will greatly enhance data-based decision-making. Results include improved information use in the wholesale electricity markets, in financial m ....Bayesian Inference for Flexible Parametric Multivariate Econometric Modelling. The anticipated outcomes include the development of enhanced multivariate econometric models and innovative computationally intensive methods for their estimation. These models are used in numerous and diverse applications which are data-intensive and where more complete models will greatly enhance data-based decision-making. Results include improved information use in the wholesale electricity markets, in financial market investment decision-making and for the assessment of the impact of internet advertising.Read moreRead less
Measuring uncertainty in global housing markets and its risk to Australia. This project aims to develop and construct a measure of systemic risk for the national real-estate markets in Australia, and its main trading partners, namely China, Japan, New Zealand, United Kingdom and United States of America. Recently developed methodology will be used to investigate how real estate risks migrate across these countries over time, and during periods of financial turbulence. This methodology is intende ....Measuring uncertainty in global housing markets and its risk to Australia. This project aims to develop and construct a measure of systemic risk for the national real-estate markets in Australia, and its main trading partners, namely China, Japan, New Zealand, United Kingdom and United States of America. Recently developed methodology will be used to investigate how real estate risks migrate across these countries over time, and during periods of financial turbulence. This methodology is intended to be employed as part of a market stability surveillance program and for assessing the impact of real-estate risk on the overall economy. Early detection of the onset of future housing bubble collapses would be of significant benefit to policy makers, Australia’s trading partners, the real estate industry and ultimately home buyers.Read moreRead less
Building flexible multivariate models and their application in Finance. The project will develop methods for analyzing the properties of dependent measurements that may evolve through time. The new methods will significantly improve on current best statistical practice and will be applied to important problems in the financial sector such as asset allocation and risk management. The financial sector is a vital part of the Australian economy and it is important to understand the joint behavior of ....Building flexible multivariate models and their application in Finance. The project will develop methods for analyzing the properties of dependent measurements that may evolve through time. The new methods will significantly improve on current best statistical practice and will be applied to important problems in the financial sector such as asset allocation and risk management. The financial sector is a vital part of the Australian economy and it is important to understand the joint behavior of financial assets in order to understand and allow for risk. The methods will have immediate application in other disciplines such as medicine, engineering and the environmental sciences. The project will train a postdoctoral student and three PhD students in cutting edge financial econometrics. Read moreRead less
Fragmentation, globalization and the architecture of stock markets: How should the ASX be redesigned to ensure its long-term survival? The ASX is only at 10% of its potential relative to world best practice in architectural design. Reforms that we investigate, such as a massive reduction in the minimum tick and greater transparency to reduce asymmetric information, could lift traded value by several fold and by billions of dollars to efficiency levels achieved by South Korea and reduce trading c ....Fragmentation, globalization and the architecture of stock markets: How should the ASX be redesigned to ensure its long-term survival? The ASX is only at 10% of its potential relative to world best practice in architectural design. Reforms that we investigate, such as a massive reduction in the minimum tick and greater transparency to reduce asymmetric information, could lift traded value by several fold and by billions of dollars to efficiency levels achieved by South Korea and reduce trading costs by hundreds of millions pa. For each dollar of actual trading costs saved there is a further saving of 12 dollars in trades currently forgone. The ASX can be preserved from the threat of annihilation by a new global exchange and set up common trading platforms like Euronext in our region. The result will be more successful stocks to replace NewsCorp.Read moreRead less
Measuring inflation expectations and inflation expectations uncertainty. This project aims to construct model-based measures of inflation expectations and inflation expectations uncertainty. Inflation expectations can determine economic outcomes. This project will develop non-linear time-varying models to combine information from noisy and possibly biased measures of inflation expectations from surveys and financial markets. These model-based measures are expected to be better calibrated and to ....Measuring inflation expectations and inflation expectations uncertainty. This project aims to construct model-based measures of inflation expectations and inflation expectations uncertainty. Inflation expectations can determine economic outcomes. This project will develop non-linear time-varying models to combine information from noisy and possibly biased measures of inflation expectations from surveys and financial markets. These model-based measures are expected to be better calibrated and to provide valuable information for policymakers for formulating macroeconomic policies. They can be used to better assess the credibility of monetary policy and shed light on the causes of low inflation rate in developed economies.Read moreRead less
The Modelling and Assessment of Credit Default Risk. This project will deliver an enhanced set of methodologies for the quantification and management of credit default risk. These outcomes will benefit researchers both in academia and in Australian financial institutions as research into credit risk has been active in recent years, due to the impending adoption by financial institutions of the Basel II accord on risk assessment. The outcomes will provide a strong academic methodology applied to ....The Modelling and Assessment of Credit Default Risk. This project will deliver an enhanced set of methodologies for the quantification and management of credit default risk. These outcomes will benefit researchers both in academia and in Australian financial institutions as research into credit risk has been active in recent years, due to the impending adoption by financial institutions of the Basel II accord on risk assessment. The outcomes will provide a strong academic methodology applied to credit default risk by Australian financial institutions and the Australian financial regulator. This research has the potential to enhance the competitivemess of Australia's financial sector.Read moreRead less
Economic analysis of inter-relationships between private health insurance and health expenditures. Health care services involve a complex mix of private and public funding and provision. The links between policy initiatives, such as private health insurance incentives, and outcomes are often unclear. This project involves a detailed economic and econometric investigation of individual health insurance and health care consumption decisions and their interaction, and the resulting impact on health ....Economic analysis of inter-relationships between private health insurance and health expenditures. Health care services involve a complex mix of private and public funding and provision. The links between policy initiatives, such as private health insurance incentives, and outcomes are often unclear. This project involves a detailed economic and econometric investigation of individual health insurance and health care consumption decisions and their interaction, and the resulting impact on health care utilisation and expenditure across public and private sectors. The significance of the project lies in its use of innovative methods to combine several data sources, and in the potential for the resulting models to predict the impact of future health policy initiatives.
Read moreRead less
Robust Empirical Analysis of Poverty and Inequality in Australia. The project aims to improve our understanding of economic poverty and inequality in Australia, and contribute new method to the field of distributional analysis. The empirical analysis of consumption poverty and inequality will highlight the critical methodological assumptions underlying our perceptions of poverty, and provide an evaluation of the effectiveness of a range of programs targeted to the poor. The analysis of economic ....Robust Empirical Analysis of Poverty and Inequality in Australia. The project aims to improve our understanding of economic poverty and inequality in Australia, and contribute new method to the field of distributional analysis. The empirical analysis of consumption poverty and inequality will highlight the critical methodological assumptions underlying our perceptions of poverty, and provide an evaluation of the effectiveness of a range of programs targeted to the poor. The analysis of economic inequality in Australia will determine if recent trends are due to increasing globalisation, and whether national programs were effective in ameliorating international influences. This research will ultimately contribute to more effective poverty alleviation and income support programs.Read moreRead less
High-dimensional models with a change point. This project aims to provide a set of estimation and inference procedures for high dimensional quantile regression. Statistical models of threshold regression with change or tipping points are used to explore social issues, including changes in oil and gas prices, effective dosage of drugs and the racial mix in neighbourhoods. To date, using low numbers of variables, the findings have been limited. Big data makes it possible and desirable to solve mor ....High-dimensional models with a change point. This project aims to provide a set of estimation and inference procedures for high dimensional quantile regression. Statistical models of threshold regression with change or tipping points are used to explore social issues, including changes in oil and gas prices, effective dosage of drugs and the racial mix in neighbourhoods. To date, using low numbers of variables, the findings have been limited. Big data makes it possible and desirable to solve more detailed models to provide more accurate results. The quality and accuracy of the project’s results are expected to help governments devise well informed and appropriate policies for social issues.Read moreRead less