The predictive, behavioural and economic forecasting performance of alternative credit risk and bankruptcy models: a global study. This study empirically evaluates a range of "new age" credit risk models using a large global sample of failed firms and bond ratings data. The study will provide a substantive body of empirical evidence to assist regulators, creditors, investors and other users assess the merits, strengths and limitations of alternative risk modelling approaches.
Understanding macroeconomic fluctuations with unobserved networks. Whilst empirical evidence suggests that firm-level shocks can have large aggregate effects, via network connections, macroeconomic policies have mostly an aggregate nature. This project aims to build a new framework to disentangle aggregate shocks from shocks to individual units. The major innovations are i) to infer the network from the data and ii) to jointly estimate aggregate factors and network effects. Expected outcomes are ....Understanding macroeconomic fluctuations with unobserved networks. Whilst empirical evidence suggests that firm-level shocks can have large aggregate effects, via network connections, macroeconomic policies have mostly an aggregate nature. This project aims to build a new framework to disentangle aggregate shocks from shocks to individual units. The major innovations are i) to infer the network from the data and ii) to jointly estimate aggregate factors and network effects. Expected outcomes are i) measures of systemic risk and ii) a theoretical framework to study the optimality of aggregate versus sectoral stabilization policies. Benefits include a better understanding of macroeconomic fluctuations in Australia and proposed economic policies to mitigate large and persistent declines in employment and GDP.Read moreRead less
Real economy and financial networks. This project aims to analyse the Australian economy from the network perspective. The network approach’s emphasis on the structure of interactions between firms, banks and consumers is important for understanding the economy. The project intends to develop a model of a production network using the input-output links between sectors, including imports and exports, and focusing on credit-lending relations that may cause economic distortions. It also aims to adv ....Real economy and financial networks. This project aims to analyse the Australian economy from the network perspective. The network approach’s emphasis on the structure of interactions between firms, banks and consumers is important for understanding the economy. The project intends to develop a model of a production network using the input-output links between sectors, including imports and exports, and focusing on credit-lending relations that may cause economic distortions. It also aims to advance a theory and estimation methodology for the network formation models useful for prediction and policy analysis. Anticipated benefits include mitigation of economic risks and improved policies.Read moreRead less
High-frequency Estimation of Term Structure Models at the Zero Lower Bound. This project aims to quantify monetary policy shocks as shifts of the entire term structure of interest rates, when the central bank’s policy rate is constrained at the near-zero level. The proposed method will use a high-dimensional panel of high frequency government bond data. The term structure and resultant policy shocks estimated at intra-day frequencies for major economies including Australia, will be made publicly ....High-frequency Estimation of Term Structure Models at the Zero Lower Bound. This project aims to quantify monetary policy shocks as shifts of the entire term structure of interest rates, when the central bank’s policy rate is constrained at the near-zero level. The proposed method will use a high-dimensional panel of high frequency government bond data. The term structure and resultant policy shocks estimated at intra-day frequencies for major economies including Australia, will be made publicly available. This project expects to deepen our understanding of how monetary policy decisions affect the macroeconomy in a near-zero interest-rate environment. This should provide significant benefits to policymakers for implementing and monitoring monetary policy in achieving desired economic outcomes.Read moreRead less
Deep learning based time series modeling and financial forecasting. This project pursues breakthroughs in time series modelling and develops novel statistical models and inference techniques, with a focus on modelling of financial time series data. The advances will be achieved through interdisciplinary research, combining recent advances in machine learning, Bayesian computation, financial econometrics and the increasing availability of Big Data. The outcomes will provide a new range of proven ....Deep learning based time series modeling and financial forecasting. This project pursues breakthroughs in time series modelling and develops novel statistical models and inference techniques, with a focus on modelling of financial time series data. The advances will be achieved through interdisciplinary research, combining recent advances in machine learning, Bayesian computation, financial econometrics and the increasing availability of Big Data. The outcomes will provide a new range of proven and powerful approaches for analysing time series and understanding time effects. The methodologies developed will lead to a greater accuracy in financial forecasting and risk management, and open up new horizons for the wider scientific community to analyse time series data.Read moreRead less
Diversification failures and improved measures of uncertainty. The project aims to develop new statistical tools, applicable when the conventional paradigm that diversification reduces risk fails and when textbook approaches to risk quantification severely under-report risk. The new tools enhance our capacity to build and manage natural, social and human-made systems in uncertain environments. Our effective response to many threats including financial crises and natural events, depends on this c ....Diversification failures and improved measures of uncertainty. The project aims to develop new statistical tools, applicable when the conventional paradigm that diversification reduces risk fails and when textbook approaches to risk quantification severely under-report risk. The new tools enhance our capacity to build and manage natural, social and human-made systems in uncertain environments. Our effective response to many threats including financial crises and natural events, depends on this capacity. Thus, the expected benefits in the form of more reliable and robust risk analytics will accrue when they are most needed.Read moreRead less
Pooling econometric models for prediction and decision making. The project develops methods for combining econometric models with the goal of improving prediction. It applies these methods to macroeconomic models used to improve monetary policy and to asset return models used to improve financial risk management.
Bayesian analysis of individual decisions in health and labour economics. This project aims to exploit emerging Bayesian Markov chain Monte Carlo methods to develop new approaches to modelling economic decision making. These methods will generate insights into two current and important policy debates. This includes (i) marijuana, alcohol and tobacco use and legalisation of marijuana use; and (ii) parental leave policies, maternity leave decisions and mothers' labour market dynamics. Although p ....Bayesian analysis of individual decisions in health and labour economics. This project aims to exploit emerging Bayesian Markov chain Monte Carlo methods to develop new approaches to modelling economic decision making. These methods will generate insights into two current and important policy debates. This includes (i) marijuana, alcohol and tobacco use and legalisation of marijuana use; and (ii) parental leave policies, maternity leave decisions and mothers' labour market dynamics. Although policies play an important role in observed health and labour market behaviours, their exact effects on individuals' decisions and outcomes are often difficult to quantify due to the complex nature of the decision process. Outcomes from the project will include new evidence of changes in substance uses under different legal scenarios and provide benefits such as yielding vital evidence on labour market and health behaviour impacts to support policy makers and strengthen Australia's research capacity in Bayesian analysis.Read moreRead less
Human Capital, Cognitive Skills and Labour Market Outcomes. As Australia competes in the ‘educational race,’ this project will generate new knowledge on the relationship between education, skill attainment and economic outcomes in Australia. The research will provide new empirical evidence on cognitive and non-cognitive skills formation over the life-cycle, and the relationship between these skills and labour market outcomes in Australia within the broader international context. The research wil ....Human Capital, Cognitive Skills and Labour Market Outcomes. As Australia competes in the ‘educational race,’ this project will generate new knowledge on the relationship between education, skill attainment and economic outcomes in Australia. The research will provide new empirical evidence on cognitive and non-cognitive skills formation over the life-cycle, and the relationship between these skills and labour market outcomes in Australia within the broader international context. The research will advance methodological techniques for the economic analysis of cognitive skills and their economic impacts. The research will inform public policy formulation relating to educational attainment, skill development, and strategies to encourage longer workforce engagement over the life-cycle.Read moreRead less
Physician Preferences for Medical Innovation. This project aims to identify the causes and consequences of medical practice variations by providing new evidence on the process through which physicians adopt and use new medical technology. This project expects to generate new knowledge on how physicians' human and social capital determine their preferences for taking up new medical technology and the economic consequences of such decisions. Expected outcomes of this project include a greater unde ....Physician Preferences for Medical Innovation. This project aims to identify the causes and consequences of medical practice variations by providing new evidence on the process through which physicians adopt and use new medical technology. This project expects to generate new knowledge on how physicians' human and social capital determine their preferences for taking up new medical technology and the economic consequences of such decisions. Expected outcomes of this project include a greater understanding of the sources for and costs of inappropriate use of healthcare, such as low-value care. This should provide significant benefits, such as contributing to the construction of effective policies for improving efficiency and equity of the healthcare system.Read moreRead less