Economic policy when interest rates are zero. This Project studies economic policy when interest rates are zero. Low interest rate environments constrain monetary policy because central banks cannot lower rates to raise demand. We exploit recent international experience with zero rates to understand why new policies have had mixed success. We argue different outcomes across countries arise because of different degrees of credibility and familiarity with new policy initiatives. We provide empiric ....Economic policy when interest rates are zero. This Project studies economic policy when interest rates are zero. Low interest rate environments constrain monetary policy because central banks cannot lower rates to raise demand. We exploit recent international experience with zero rates to understand why new policies have had mixed success. We argue different outcomes across countries arise because of different degrees of credibility and familiarity with new policy initiatives. We provide empirical support for this view and study the consequences of imperfectly credible policy. We characterize how monetary policy (conventional and unconventional) and fiscal policy can be used to greatest effect in low interest rate environments and quantify the welfare implications for Australia. Read moreRead less
Time-consistent macroeconomic policy in nonlinear models. Efforts to use fiscal policy for macro-stabilisation have led to elevated debt levels and possible default in many countries. This project examines the appropriate design of fiscal policy and its implications for debt over the business cycle.
Monetary and Fiscal Policy under Imperfect Knowledge. This project lays out an agenda exploring the consequences of imperfect knowledge for macroeconomic dynamics and stabilisation policy. Learning dynamics are central to understanding aggregate fluctuations in periods during which agents have limited information about their environment, as has been the case during and after the Global Financial Crisis. The agenda comprises two lines of inquiry. The first develops theoretical issues relating to ....Monetary and Fiscal Policy under Imperfect Knowledge. This project lays out an agenda exploring the consequences of imperfect knowledge for macroeconomic dynamics and stabilisation policy. Learning dynamics are central to understanding aggregate fluctuations in periods during which agents have limited information about their environment, as has been the case during and after the Global Financial Crisis. The agenda comprises two lines of inquiry. The first develops theoretical issues relating to the design and implementation of monetary and fiscal policy under imperfect knowledge. The second adduces empirical evidence on the classes of possible beliefs that any macroeconomic model should account for.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
Optimal policy in the global liquidity trap. The recent global financial crisis has led most central banks in developed economies to reduce their policy interest rates to unprecedentedly low levels. As a result, the liquidity trap has now become a serious concern internationally. This project will derive the optimal monetary and fiscal policy in the global liquidity trap. It will also show how a shock in one country affects other countries and propose tools for improving the empirical fit of the ....Optimal policy in the global liquidity trap. The recent global financial crisis has led most central banks in developed economies to reduce their policy interest rates to unprecedentedly low levels. As a result, the liquidity trap has now become a serious concern internationally. This project will derive the optimal monetary and fiscal policy in the global liquidity trap. It will also show how a shock in one country affects other countries and propose tools for improving the empirical fit of the models in a liquidity trap. This project will become the foundation for the discussion of policy options in the global liquidity trap.Read moreRead less
Discovery Early Career Researcher Award - Grant ID: DE150100708
Funder
Australian Research Council
Funding Amount
$352,000.00
Summary
Understanding the Linkage of Public and Private Risk in the Global Economy. This project aims to develop a richly detailed model of the global financial system including both public and private institutions. By treating the system as a network of interconnected entities, this project aims to introduce new techniques to map and to trace the evolution of risk in the financial system, to forecast the spillover of risk between entities in the system, and to conduct counterfactual analysis of potenti ....Understanding the Linkage of Public and Private Risk in the Global Economy. This project aims to develop a richly detailed model of the global financial system including both public and private institutions. By treating the system as a network of interconnected entities, this project aims to introduce new techniques to map and to trace the evolution of risk in the financial system, to forecast the spillover of risk between entities in the system, and to conduct counterfactual analysis of potential policy measures. This project will investigate the link between spillover intensity and the existing research on extreme events in financial data. By studying how the recent crisis spread through the global financial system, this project aims to enhance our ability to foresee future crises and to mitigate their impact and costs.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
Nowcasting and Interpreting the Australian Economy. This project aims to investigate methods for nowcasting and interpreting the Australian economy. This is determining the current state of the economy and the factors contributing to it.
This project expects to generate new knowledge on how unconventional, new, data sources and innovative methods can be used to in nowcasting and how the Australian economy can be modelled.
The expected outcomes include timely new indicators of the state of the ec ....Nowcasting and Interpreting the Australian Economy. This project aims to investigate methods for nowcasting and interpreting the Australian economy. This is determining the current state of the economy and the factors contributing to it.
This project expects to generate new knowledge on how unconventional, new, data sources and innovative methods can be used to in nowcasting and how the Australian economy can be modelled.
The expected outcomes include timely new indicators of the state of the economy, and the factors contributing to it. This should provide significant benefits through informing the conduct of Australian macroeconomic policy, as the appropriate policy response depends not only on knowing the current state of the economy but understanding the economic factors underlying it.
Read moreRead less
Discovery Early Career Researcher Award - Grant ID: DE190100840
Funder
Australian Research Council
Funding Amount
$375,000.00
Summary
Monitoring financial bubbles using high-frequency data. This project aims to develop an econometric procedure for monitoring speculative behaviour, often labelled as bubbles, in financial markets. There has been widespread recognition that financial speculation can inflict harm on the real economy. Crises or recessions are often preceded by excessive asset market speculation. This project will utilise intraday information for bubble detection and address major technical challenges arising from h ....Monitoring financial bubbles using high-frequency data. This project aims to develop an econometric procedure for monitoring speculative behaviour, often labelled as bubbles, in financial markets. There has been widespread recognition that financial speculation can inflict harm on the real economy. Crises or recessions are often preceded by excessive asset market speculation. This project will utilise intraday information for bubble detection and address major technical challenges arising from high-frequency financial data. It is expected to significantly improve the speed and accuracy of bubble detection, thereby providing more timely and precise warning alerts for investment decisions, market surveillance and policy action.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.