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.
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
Large dynamic time-varying models for structural macroeconomic inference. This project aims to broaden the range of macroeconomic models that have an integrated capacity for both greater realism and efficiency in analysis. This approach will be applied to two contexts at the forefront of current macroeconomic research, the effects of noisy productivity signals on business cycles and the effects of fiscal policy shocks. Flexible macro-econometric models underpin accurate inference by economists ....Large dynamic time-varying models for structural macroeconomic inference. This project aims to broaden the range of macroeconomic models that have an integrated capacity for both greater realism and efficiency in analysis. This approach will be applied to two contexts at the forefront of current macroeconomic research, the effects of noisy productivity signals on business cycles and the effects of fiscal policy shocks. Flexible macro-econometric models underpin accurate inference by economists and policymakers and the project outputs should provide widespread and significant benefits by improving policy and boosting Australia’s comparative advantage.Read moreRead less
Measuring the effect of monetary policy on the economy. This project aims to measure the effect of monetary policy on the economy, notably consumption and investment, in Australia and the US. This research intends to fill a gap in the empirical macroeconomic literature, which focuses on the supply side of the economy. This project will account for unstable economic conditions caused by institutional or behavioural changes, such as financial development / liberalisation and preference shocks, in ....Measuring the effect of monetary policy on the economy. This project aims to measure the effect of monetary policy on the economy, notably consumption and investment, in Australia and the US. This research intends to fill a gap in the empirical macroeconomic literature, which focuses on the supply side of the economy. This project will account for unstable economic conditions caused by institutional or behavioural changes, such as financial development / liberalisation and preference shocks, in the analysis; and develop econometric methods tailored for application to models with time varying parameters. This project expects to contribute to understanding the economy’s recent unresponsiveness to monetary policy.Read moreRead less
Macroeconomic and Financial Modelling in an Era of Extremes. This project aims to develop methods to allow workhorse models in economics and finance to better reflect tail events--low probability extreme events, such as the Global Financial Crisis and the COVID-19 pandemic. It intends to address fundamental technical challenges in the estimation of such models, develop a coherent framework for counterfactual analysis of these models and propose methods to apply these models in a big-data environ ....Macroeconomic and Financial Modelling in an Era of Extremes. This project aims to develop methods to allow workhorse models in economics and finance to better reflect tail events--low probability extreme events, such as the Global Financial Crisis and the COVID-19 pandemic. It intends to address fundamental technical challenges in the estimation of such models, develop a coherent framework for counterfactual analysis of these models and propose methods to apply these models in a big-data environment. Expected outcomes include new insights into the transmission of tail risks in the global economic and financial system. This should provide significant benefits, including guidance to Australian and international policymakers charged with maintaining stability in the face of extreme events.Read moreRead less
Estimation of the continuous piecewise linear model and macroeconomic applications. Relationships between economic variables are often characterised by non-linearities. This project develops a method to analyse a type of non-linearity that is frequently encountered in economics and uses this method to study four specific applications concerning the dynamics of inflation, growth, and the exchange rate.
Productivity, growth and unemployment in economies with frictions. This project aims to examine decisions driving productivity, growth, and unemployment in macroeconomies with frictions. It examines how government (fiscal, monetary, and education) policies determine these decisions, and identifies the best configurations of these policies. It will construct dynamic general equilibrium models of economies to analyse the causal structure behind productivity changes, growth and unemployment. It wil ....Productivity, growth and unemployment in economies with frictions. This project aims to examine decisions driving productivity, growth, and unemployment in macroeconomies with frictions. It examines how government (fiscal, monetary, and education) policies determine these decisions, and identifies the best configurations of these policies. It will construct dynamic general equilibrium models of economies to analyse the causal structure behind productivity changes, growth and unemployment. It will conduct quantitative experiments using simulations, to estimate optimal government policy design settings. This project expects to identify policies that promote productivity, growth and employment.Read moreRead less
Discovery Early Career Researcher Award - Grant ID: DE150100795
Funder
Australian Research Council
Funding Amount
$365,000.00
Summary
New approaches to estimating nonlinear time-varying macroeconometric models. Quantitative models are essential for formulating good policies. In a changing world, the analysis should be based on models that allow the behaviour of the economy to change over time. Due to computational limitations, however, one is often restricted to linear models, even when nonlinear ones are more appropriate. This project aims to develop new methods for estimating time-varying nonlinear models. Two important appl ....New approaches to estimating nonlinear time-varying macroeconometric models. Quantitative models are essential for formulating good policies. In a changing world, the analysis should be based on models that allow the behaviour of the economy to change over time. Due to computational limitations, however, one is often restricted to linear models, even when nonlinear ones are more appropriate. This project aims to develop new methods for estimating time-varying nonlinear models. Two important applications are also considered: one investigates how the zero lower bound on interest rates affects the monetary policy transmission mechanism; and, the other examines how uncertainties about monetary and fiscal policy affect economic growth and inflation. This project will have strong practical significance for conducting macroeconomic policy.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
Banking System Competition and the Macro-economy. Australia has one of the most concentrated banking sectors in the world, generating concerns regarding its efficiency. This project aims to develop unified frameworks to understand and evaluate quantitatively how the structure of the banking industry affects the macro-economy and provide policy recommendations for establishing a healthy and efficient banking industry. This project expects to improve understanding of the welfare trade-off between ....Banking System Competition and the Macro-economy. Australia has one of the most concentrated banking sectors in the world, generating concerns regarding its efficiency. This project aims to develop unified frameworks to understand and evaluate quantitatively how the structure of the banking industry affects the macro-economy and provide policy recommendations for establishing a healthy and efficient banking industry. This project expects to improve understanding of the welfare trade-off between bank competition and economic well-being to enable policymakers to better determine the optimal concentration of banking sector in Australia. This will enhance the productivity and international competitiveness of Australia’s financial system and the broader economy.Read moreRead less