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
Special Research Initiatives - Grant ID: SR0354538
Funder
Australian Research Council
Funding Amount
$30,000.00
Summary
Enabling Sciences Education (EnSE) Research Network. The Network aims to ensure the long-term ability of Australians to excel in scientific and technological innovation at all levels of community activity. This will be achieved by establishing significant and ambitious research agendas for improving the teaching and learning of Mathematics, Science and Technology in primary, secondary and tertiary education sectors. Of significance will be the productive synergies flowing from uniting, across ....Enabling Sciences Education (EnSE) Research Network. The Network aims to ensure the long-term ability of Australians to excel in scientific and technological innovation at all levels of community activity. This will be achieved by establishing significant and ambitious research agendas for improving the teaching and learning of Mathematics, Science and Technology in primary, secondary and tertiary education sectors. Of significance will be the productive synergies flowing from uniting, across the three disciplines, Australia's most outstanding, experienced and dedicated researchers with new and mid-career colleagues. Expected outcomes include a diverse but cohesive and collaborative research community that provides international leadership in helping students achieve their full potential. Read moreRead less