Website
http://dataportal.arc.gov.au/NCGP/API/grants/DP150101716
Funding Status
Closed
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Funded Activity Summary
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.Funded Activity Details
Start Date: 06-2015
End Date: 12-2018
Funding Scheme: Discovery Projects
Funding Amount: $404,700.00
Funder: Australian Research Council
Research Topics
ANZSRC Field of Research (FoR)
Time-Series Analysis | Econometrics | Financial Econometrics |
ANZSRC Socio-Economic Objective (SEO)
Finance Services | Investment Services (excl. Superannuation) | Savings and Investments
