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.
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
The Economic Measurement of Property Markets: Prices, Bubbles, Economic Growth and Productivity. In collaboration with property fund manager and investor CorVal, and with the participation of the industry leader in benchmarking, property research and metrics, IPD Australia and New Zealand, this project aims to examine the economic measurement of property markets. Mathematical and statistical models aim to be developed for exploiting a large quantity of data made available at aggregate (economy w ....The Economic Measurement of Property Markets: Prices, Bubbles, Economic Growth and Productivity. In collaboration with property fund manager and investor CorVal, and with the participation of the industry leader in benchmarking, property research and metrics, IPD Australia and New Zealand, this project aims to examine the economic measurement of property markets. Mathematical and statistical models aim to be developed for exploiting a large quantity of data made available at aggregate (economy wide) and disaggregate (local area government) levels. The findings aim to contribute to an improved understanding of property price bubbles, concepts of market disequilibrium, and the role of the property market as a source of economic growth and productivity.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
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
Understanding macroeconomic fluctuations with unobserved networks. Whilst empirical evidence suggests that firm-level shocks can have large aggregate effects, via network connections, macroeconomic policies have mostly an aggregate nature. This project aims to build a new framework to disentangle aggregate shocks from shocks to individual units. The major innovations are i) to infer the network from the data and ii) to jointly estimate aggregate factors and network effects. Expected outcomes are ....Understanding macroeconomic fluctuations with unobserved networks. Whilst empirical evidence suggests that firm-level shocks can have large aggregate effects, via network connections, macroeconomic policies have mostly an aggregate nature. This project aims to build a new framework to disentangle aggregate shocks from shocks to individual units. The major innovations are i) to infer the network from the data and ii) to jointly estimate aggregate factors and network effects. Expected outcomes are i) measures of systemic risk and ii) a theoretical framework to study the optimality of aggregate versus sectoral stabilization policies. Benefits include a better understanding of macroeconomic fluctuations in Australia and proposed economic policies to mitigate large and persistent declines in employment and GDP.Read moreRead less
Reliability of purchasing power parities from the World Bank. This project aims to provide an econometric framework to estimate purchasing power parities (PPPs) and a method to compute standard errors associated with the World Bank’s International Comparison Programme (ICP)’s PPPs. The ICP regularly compiles and publishes estimates of PPPs of currencies and real incomes. These results are used for study of global inequality and poverty; macroeconomic analysis; the Human Development Index; and cr ....Reliability of purchasing power parities from the World Bank. This project aims to provide an econometric framework to estimate purchasing power parities (PPPs) and a method to compute standard errors associated with the World Bank’s International Comparison Programme (ICP)’s PPPs. The ICP regularly compiles and publishes estimates of PPPs of currencies and real incomes. These results are used for study of global inequality and poverty; macroeconomic analysis; the Human Development Index; and cross-country productivity comparisons. However, no estimates of ICP PPPs’ reliability are available. Results from this project are likely to improve the quality of widely used data sets including the Penn World Tables and the University of Queensland International Comparison Database relevant to banking.Read moreRead less
Reliability of purchasing power parities from the World Bank. This project aims to provide an econometric framework to estimate purchasing power parities (PPPs) and a method to compute standard errors associated with the World Bank’s International Comparison Programme (ICP)’s PPPs. The ICP regularly compiles and publishes estimates of PPPs of currencies and real incomes. These results are used for study of global inequality and poverty; macroeconomic analysis; the Human Development Index; and cr ....Reliability of purchasing power parities from the World Bank. This project aims to provide an econometric framework to estimate purchasing power parities (PPPs) and a method to compute standard errors associated with the World Bank’s International Comparison Programme (ICP)’s PPPs. The ICP regularly compiles and publishes estimates of PPPs of currencies and real incomes. These results are used for study of global inequality and poverty; macroeconomic analysis; the Human Development Index; and cross-country productivity comparisons. However, no estimates of ICP PPPs’ reliability are available. Results from this project are likely to improve the quality of widely used data sets including the Penn World Tables and the University of Queensland International Comparison Database relevant to banking.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
Real economy and financial networks. This project aims to analyse the Australian economy from the network perspective. The network approach’s emphasis on the structure of interactions between firms, banks and consumers is important for understanding the economy. The project intends to develop a model of a production network using the input-output links between sectors, including imports and exports, and focusing on credit-lending relations that may cause economic distortions. It also aims to adv ....Real economy and financial networks. This project aims to analyse the Australian economy from the network perspective. The network approach’s emphasis on the structure of interactions between firms, banks and consumers is important for understanding the economy. The project intends to develop a model of a production network using the input-output links between sectors, including imports and exports, and focusing on credit-lending relations that may cause economic distortions. It also aims to advance a theory and estimation methodology for the network formation models useful for prediction and policy analysis. Anticipated benefits include mitigation of economic risks and improved policies.Read moreRead less