Econometric model building and estimation. This project aims to tackle issues in econometric model building and estimation under cross sectional dependence, heterogeneity and nonlinearity. This project will seek to establish flexible econometric models associated with estimation methods and user-friendly computational techniques to try to solve real world problems. The research outcomes are expected to be useful to empirical researchers in evaluating and improving model building and forecasting ....Econometric model building and estimation. This project aims to tackle issues in econometric model building and estimation under cross sectional dependence, heterogeneity and nonlinearity. This project will seek to establish flexible econometric models associated with estimation methods and user-friendly computational techniques to try to solve real world problems. The research outcomes are expected to be useful to empirical researchers in evaluating and improving model building and forecasting from better models in climatology, demography, economics, environment, finance, machine learning and neural networks.Read moreRead less
Discovery Early Career Researcher Award - Grant ID: DE200100693
Funder
Australian Research Council
Funding Amount
$405,458.00
Summary
Financial Cycles and the Macroeconomy. The project aims to measure and understand the drivers of the financial cycle. As unsustainable financial conditions, such as excess credit, tend to precede financial cycle busts, which often eventuate into recessions, the project aims to also shed light on the interaction between the financial cycle and macroeconomy. These aims are expected to be achieved through the application of a new set of econometric tools to estimate and interpret financial cycles. ....Financial Cycles and the Macroeconomy. The project aims to measure and understand the drivers of the financial cycle. As unsustainable financial conditions, such as excess credit, tend to precede financial cycle busts, which often eventuate into recessions, the project aims to also shed light on the interaction between the financial cycle and macroeconomy. These aims are expected to be achieved through the application of a new set of econometric tools to estimate and interpret financial cycles. The expected outcomes of this project include new insights for institutions such as the Reserve Bank of Australia and should provide significant benefit through the appropriate design of macroeconomic policy.Read moreRead less
Uncertainty, financial frictions, and the Australian business cycle. This project aims to investigate the macroeconomic consequences of disruptions in financial markets and heightened uncertainty about the future. Key components of the project include new measures of uncertainty and development of new tools to estimate flexible empirical and structural models of uncertainty and financial frictions. The project expects to provide policymakers with tools to design effective policies to counteract ....Uncertainty, financial frictions, and the Australian business cycle. This project aims to investigate the macroeconomic consequences of disruptions in financial markets and heightened uncertainty about the future. Key components of the project include new measures of uncertainty and development of new tools to estimate flexible empirical and structural models of uncertainty and financial frictions. The project expects to provide policymakers with tools to design effective policies to counteract the effects of heightened uncertainty and financial disruptions. The results of this project are expected to put Australia at the frontier of the international scientific research on the macroeconomic effects of uncertainty and financial frictions.Read moreRead less
A new approach to stability analysis for economic systems. This project will provide a new methodology for analysing stability in economic systems. By enhancing our understanding of stability and instability in markets for assets, credit, commodities and natural resources, this project will help economists forecast likely outcomes and improve the formulation of related economic policy.
Forecasting when model stability is uncertain. Forecasts of macroeconomic and financial variables play a crucial role in forward planning undertaken by government and financial institutions, but the predictability of these series is often context and time specific, making standard forecasting techniques unreliable. This project aims to develop new modelling and forecasting techniques that can adapt to structural changes in the model soon after they occur. It aims to derive relevant econometric t ....Forecasting when model stability is uncertain. Forecasts of macroeconomic and financial variables play a crucial role in forward planning undertaken by government and financial institutions, but the predictability of these series is often context and time specific, making standard forecasting techniques unreliable. This project aims to develop new modelling and forecasting techniques that can adapt to structural changes in the model soon after they occur. It aims to derive relevant econometric theory, use simulations to study the properties of the proposed techniques, as well as apply these new techniques to observed data.Read moreRead less
Estimating the effects of fiscal policy. This project will develop highly flexible models for estimating the effects of fiscal policy, as well as providing insight into how economic assumptions affect these estimates and which assumptions are supported by historical experience. The models and estimates will be useful for researchers, policymakers and businesses.
Analysis of Fiscal Policy Responses to Macroeconomic Conditions in Australia and the US using Real Time Data. This project investigates the evolution of Australian and US fiscal policy responses to macroeconomic conditions and examines the implications for future levels of public debt. A real time database of fiscal indicators will be constructed to capture information available to policymakers when making decisions. Econometric analysis of the data will involve a flexible approach that captures ....Analysis of Fiscal Policy Responses to Macroeconomic Conditions in Australia and the US using Real Time Data. This project investigates the evolution of Australian and US fiscal policy responses to macroeconomic conditions and examines the implications for future levels of public debt. A real time database of fiscal indicators will be constructed to capture information available to policymakers when making decisions. Econometric analysis of the data will involve a flexible approach that captures how policy has changed in its focus on economic stabilisation and fiscal sustainability. The analysis also allows for forecasts of public debt that take into account the interaction between policy and the economy. The results and methods will be useful in evaluating the stance of fiscal policy and its implications for the sustainability of public debt.Read moreRead less
Macroeconomic forecasting in a 'Big Data' world. This project will develop methods for forecasting important macroeconomic variables where a large set of predictors is available. As well as raw variables and composite indices such as principal components. This project will also include various lags and nonlinear functions of potential predictors. The project will adapt Bayesian statistical methods for selecting these predictors so that they can be applied to time series data, thus developing inn ....Macroeconomic forecasting in a 'Big Data' world. This project will develop methods for forecasting important macroeconomic variables where a large set of predictors is available. As well as raw variables and composite indices such as principal components. This project will also include various lags and nonlinear functions of potential predictors. The project will adapt Bayesian statistical methods for selecting these predictors so that they can be applied to time series data, thus developing innovative forecasting methods that can be used on a range of important problems involving 'Big Data'. The project will compare forecasts from different methods using simulated and empirical data from the US and Australia. For the latter an outcome will be an online handbook of available Australian economic data for public use.Read moreRead less
The econometrics of gravity models of trade: a re-assessment. This research will lead a much greater understanding of the empirical determinants of trade flows between countries. This project will apply cutting-edge data econometric techniques to the popular Gravity model of international trade flows. These more appropriate techniques will shed more light on some previous puzzling findings, such that regional trade agreements had little, or no, affect on trade.
Semi-parametric bootstrap-based inference in long-memory models. Given the long lead times involved in implementing economic decisions, a clear understanding of the long-term dynamics driving key variables is crucial. This project will produce significant advances in the analysis of long-range dependence, with decisions underpinned by more accurate and robust statistical information as a consequence.