Diversification failures and improved measures of uncertainty. The project aims to develop new statistical tools, applicable when the conventional paradigm that diversification reduces risk fails and when textbook approaches to risk quantification severely under-report risk. The new tools enhance our capacity to build and manage natural, social and human-made systems in uncertain environments. Our effective response to many threats including financial crises and natural events, depends on this c ....Diversification failures and improved measures of uncertainty. The project aims to develop new statistical tools, applicable when the conventional paradigm that diversification reduces risk fails and when textbook approaches to risk quantification severely under-report risk. The new tools enhance our capacity to build and manage natural, social and human-made systems in uncertain environments. Our effective response to many threats including financial crises and natural events, depends on this capacity. Thus, the expected benefits in the form of more reliable and robust risk analytics will accrue when they are most needed.Read moreRead less
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
Australia's Resilience to Recession. This project aims to study why Australia differs from its OECD peers in that it has not had a recession for 27 years. It intends to generate knowledge by using economic models to solve 3 puzzles relating to Australia’s success: (i) why did foreign financial market shocks not spill over to the economy?; (ii) how has the resource curse that affects economies with a booming resource sector been avoided?; and (iii) what makes Australia special? Expected outcomes ....Australia's Resilience to Recession. This project aims to study why Australia differs from its OECD peers in that it has not had a recession for 27 years. It intends to generate knowledge by using economic models to solve 3 puzzles relating to Australia’s success: (i) why did foreign financial market shocks not spill over to the economy?; (ii) how has the resource curse that affects economies with a booming resource sector been avoided?; and (iii) what makes Australia special? Expected outcomes include the development of theoretical and empirical models that reflect the unique features of the Australian economy. This should provide significant benefits, including guidance to Australian and international policymakers on macroeconomic policies for resource-rich countries.Read moreRead less
Deep learning based time series modeling and financial forecasting. This project pursues breakthroughs in time series modelling and develops novel statistical models and inference techniques, with a focus on modelling of financial time series data. The advances will be achieved through interdisciplinary research, combining recent advances in machine learning, Bayesian computation, financial econometrics and the increasing availability of Big Data. The outcomes will provide a new range of proven ....Deep learning based time series modeling and financial forecasting. This project pursues breakthroughs in time series modelling and develops novel statistical models and inference techniques, with a focus on modelling of financial time series data. The advances will be achieved through interdisciplinary research, combining recent advances in machine learning, Bayesian computation, financial econometrics and the increasing availability of Big Data. The outcomes will provide a new range of proven and powerful approaches for analysing time series and understanding time effects. The methodologies developed will lead to a greater accuracy in financial forecasting and risk management, and open up new horizons for the wider scientific community to analyse time series data.Read moreRead less