Solving and estimating dynamic models of strategic interaction. This project aims to investigate how firms interact with each other through time and how these interactions drive both the operation of, and value created in, economic markets. While recent theoretical models predominantly capture the complexity of these dynamic interactions, the methods for testing these models’ predictions against observed data do not. Instead, they are based on a range of simplifying assumptions that undermine th ....Solving and estimating dynamic models of strategic interaction. This project aims to investigate how firms interact with each other through time and how these interactions drive both the operation of, and value created in, economic markets. While recent theoretical models predominantly capture the complexity of these dynamic interactions, the methods for testing these models’ predictions against observed data do not. Instead, they are based on a range of simplifying assumptions that undermine the reliability of their analysis. This project will develop statistical and computational methods to better understand observed economic behaviour. By allowing the effects of proposed economic interventions and regulations ex ante, this project will support the development of more efficient and better-targeted policies in every area of the economy.Read moreRead less
Closing the Gap Between Theory and Data in Macroeconometrics. This project aims to bring econometric models (the empirical vehicle for inference) and economic models (the theory) closer together. A new model is intended to be proposed that will address a significant issue with the interpretation of the outputs of the econometric models. As a first contribution, the project is expected to develop the model and an inferential framework for this model using probability theory on manifolds. In a sec ....Closing the Gap Between Theory and Data in Macroeconometrics. This project aims to bring econometric models (the empirical vehicle for inference) and economic models (the theory) closer together. A new model is intended to be proposed that will address a significant issue with the interpretation of the outputs of the econometric models. As a first contribution, the project is expected to develop the model and an inferential framework for this model using probability theory on manifolds. In a second contribution, it is expected to construct an algorithm to permit inference leading to outputs useful to policy analysts. The model is intended to be parsimonious, which facilitates the development of a time-varying version to allow the model to evolve with the economy and provide better policy guidance.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
Micro-panel data with non-linear error components. This project aims to develop methods for panel data models with heterogeneous marginal effects and discrete choice outcomes, controlling for unobserved common factors and nonlinear error components; and apply the methodologies to analyse alcohol-fuelled violence and drug-related harm in Australia. The project lies at the forefront of advances in econometrics, and the outcomes are expected to broaden and deepen Australia’s knowledge base. Empiric ....Micro-panel data with non-linear error components. This project aims to develop methods for panel data models with heterogeneous marginal effects and discrete choice outcomes, controlling for unobserved common factors and nonlinear error components; and apply the methodologies to analyse alcohol-fuelled violence and drug-related harm in Australia. The project lies at the forefront of advances in econometrics, and the outcomes are expected to broaden and deepen Australia’s knowledge base. Empirical outcomes should inform and evaluate evidence-based policy interventions for crime prevention, and influence policy making about public transport and economic growth.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
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.
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Discovery Early Career Researcher Award - Grant ID: DE230100029
Funder
Australian Research Council
Funding Amount
$345,197.00
Summary
Variational Inference for Intractable and Misspecified State Space Models. State space models (SSMs) are popularly used to model economic variables such as inflation and financial volatility. Variational inference is a technique that allows for fast implementation of SSMs, but whose properties are yet to be understood. This project aims to study the properties of variational inference for SSMs used in economics.
This research will develop new variational inference techniques to improve inferent ....Variational Inference for Intractable and Misspecified State Space Models. State space models (SSMs) are popularly used to model economic variables such as inflation and financial volatility. Variational inference is a technique that allows for fast implementation of SSMs, but whose properties are yet to be understood. This project aims to study the properties of variational inference for SSMs used in economics.
This research will develop new variational inference techniques to improve inferential and predictive accuracy from SSMs. An expected implication of this project is that it will expand the ability of economic institutions to employ larger SSMs, which will allow for more accurate models for economic variables. This will provide significant social benefits by leading to better informed economic policy.
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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
New methods for modelling complex trends in climate and energy time series. The project aims to contribute to Australian and international efforts on emission control by advancing the methods for quantifying the relationships between energy production, emission and climate, and assessing the real and financial risks associated with changing the ways in which economies produce and use energy. The project is interdisciplinary and expects to develop new knowledge in the areas of energy and climate ....New methods for modelling complex trends in climate and energy time series. The project aims to contribute to Australian and international efforts on emission control by advancing the methods for quantifying the relationships between energy production, emission and climate, and assessing the real and financial risks associated with changing the ways in which economies produce and use energy. The project is interdisciplinary and expects to develop new knowledge in the areas of energy and climate econometrics. The anticipated outcomes of this project are new methods for modelling variables with complex trends, and an innovative data-driven approach for learning from policy experiences of other countries. This should provide significant benefits by enabling evidence-based policy making in the era of climate change. Read moreRead less
Bayesian inference for psychological theories with intractable likelihood. This project pursues breakthroughs which allow important questions of basic and applied science to be addressed using mathematical theories from cognitive psychology. Advances are made through an interdisciplinary effort, combining recent developments in econometric and statistical methods and cognitive science. The outcomes will advance knowledge and open up new avenues for applied research in important aspects of psych .... Bayesian inference for psychological theories with intractable likelihood. This project pursues breakthroughs which allow important questions of basic and applied science to be addressed using mathematical theories from cognitive psychology. Advances are made through an interdisciplinary effort, combining recent developments in econometric and statistical methods and cognitive science. The outcomes will advance knowledge and open up new avenues for applied research in important aspects of psychology. This research will result in new methods available to the wider scientific community which open up new horizons for understanding basic cognition, and human behavior in many domains. Read moreRead less