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Modelling Hidden Processes which Drive Economic and Financial Systems. The ability to forecast complex economic systems is crucial to benefit from peak performance, and to prepare for and safeguard against downturn. This project aims to make significant discoveries concerning hidden processes which drive such systems, using rigorous, cutting-edge, flexible econometric methods. Resulting outcomes will be improved understanding of - and ability to forecast - important economic phenomena such as vo ....Modelling Hidden Processes which Drive Economic and Financial Systems. The ability to forecast complex economic systems is crucial to benefit from peak performance, and to prepare for and safeguard against downturn. This project aims to make significant discoveries concerning hidden processes which drive such systems, using rigorous, cutting-edge, flexible econometric methods. Resulting outcomes will be improved understanding of - and ability to forecast - important economic phenomena such as volatility in price series, extremal (risky) behaviour of financial systems, and turning points of the business cycle. Discoveries will be disseminated through published papers and presentations at a major international conference. Ongoing e-research links with France will also be established.Read moreRead less
Forecasting with single source of randomness state space models. The framework developed in this project, for identifying and
extrapolating trends, seasonal patterns and economic cycles in time
series, has a large and diverse range of useful applications in
Australia. Some examples include its potential use in the
development of appropriate monetary policy, its use to better inform
finance markets of risk levels associated with shares, its use to
forecast demand in supply chains to provide ....Forecasting with single source of randomness state space models. The framework developed in this project, for identifying and
extrapolating trends, seasonal patterns and economic cycles in time
series, has a large and diverse range of useful applications in
Australia. Some examples include its potential use in the
development of appropriate monetary policy, its use to better inform
finance markets of risk levels associated with shares, its use to
forecast demand in supply chains to provide a better service to
customers, and its use in call centres to better tailor staff
schedules to meet customer calls.Read moreRead less
Quantifying Country Credit Risk Ratings and Volatility, and Measuring the Impact of Fundamentals. National/community benefits include developing a superior quantifiable ratings method to the qualitative rankings produced by leading international country credit risk ratings agencies, measuring the impact of economic/financial fundamentals on risk ratings, and analysing their fluctuations across countries and risk categories over time. The project provides a solution to the major problems underlyi ....Quantifying Country Credit Risk Ratings and Volatility, and Measuring the Impact of Fundamentals. National/community benefits include developing a superior quantifiable ratings method to the qualitative rankings produced by leading international country credit risk ratings agencies, measuring the impact of economic/financial fundamentals on risk ratings, and analysing their fluctuations across countries and risk categories over time. The project provides a solution to the major problems underlying qualitative country risk ratings, namely the irregularity and infrequency of their measurement, and emphasizes the practicality of the results. Expected outcomes include a clearer understanding of how to quantify qualitative rankings and their fluctuations, using information intelligently, and promoting an innovation and knowledge culture.Read moreRead less
Computing probabilities of theories where these probabilities vary over time with applications in macroeconomics. This project will present a method to produce empirically based policy advice that accounts for the changing economic environment and that allows for a range of assumptions about how the economy works. The research and training will place Australia at the forefront of empirical macroeconomic research and strengthen international research networks. Policy making will be improved as: i ....Computing probabilities of theories where these probabilities vary over time with applications in macroeconomics. This project will present a method to produce empirically based policy advice that accounts for the changing economic environment and that allows for a range of assumptions about how the economy works. The research and training will place Australia at the forefront of empirical macroeconomic research and strengthen international research networks. Policy making will be improved as: it will use information that is more robust to false assumptions; it will quickly incorporate new information; and we will understand better why certain policies did or did not work at different times in the past. The research will impact upon other sciences such as physics and engineering that use the same underlying tools far more than do economists.Read moreRead less
The US Interest Rate Conundrum and its Implications for Australia. The project generalises existing factor models of interest rates. The project will result in several benefits nationally as well as internationally. As U.S. interest rates and U.S. monetary policy in general are important determinants of interest rates in Australia, the project will lead to an improved understanding of the international mechanism linking interest rates. This will also provide a better framework in which to unders ....The US Interest Rate Conundrum and its Implications for Australia. The project generalises existing factor models of interest rates. The project will result in several benefits nationally as well as internationally. As U.S. interest rates and U.S. monetary policy in general are important determinants of interest rates in Australia, the project will lead to an improved understanding of the international mechanism linking interest rates. This will also provide a better framework in which to understand and monitor monetary policy in Australia. An important aspect of the project is the development of new testing procedures that improve upon existing nonparametric methods.Read moreRead less
MONETARY POLICY WITH LIQUIDITY CONSTRAINED GOVERNMENT DEBT MARKETS. Modern monetary policy seeks to influence domestic macroeconomic outcomes, using actions in official Government debt markets. The effectiveness of this route is being challenged by reductions in the level of Government debt outstanding. Monetary policy is faced with the possibility of operating in alternative financial markets. The project will:
* Examine alternative markets for monetary policy operation.
* Examine the effect ....MONETARY POLICY WITH LIQUIDITY CONSTRAINED GOVERNMENT DEBT MARKETS. Modern monetary policy seeks to influence domestic macroeconomic outcomes, using actions in official Government debt markets. The effectiveness of this route is being challenged by reductions in the level of Government debt outstanding. Monetary policy is faced with the possibility of operating in alternative financial markets. The project will:
* Examine alternative markets for monetary policy operation.
* Examine the effects of alternatives on real economy outcomes.
* Develop a model of the economy which controls for global financial conditions - which has not been done before.
* Combine modern econometric techniques.
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Nonlinear and Nonstationary Time Series Econometrics: Theory and Applications. The outcomes of this project will not only complement but also enhance the existing research strengths of Australian researchers in time series econometrics. Such a research goal falls within the National Research Priority 3 (PG1). In addition, our models will be applicable in stablizing the national financial market for more accurate forecasts. This falls within the National Research Priority 3 (PG5). The research ou ....Nonlinear and Nonstationary Time Series Econometrics: Theory and Applications. The outcomes of this project will not only complement but also enhance the existing research strengths of Australian researchers in time series econometrics. Such a research goal falls within the National Research Priority 3 (PG1). In addition, our models will be applicable in stablizing the national financial market for more accurate forecasts. This falls within the National Research Priority 3 (PG5). The research outcomes will also provide novel models to respond to climate change and variability and to provide accurate warming estimates for improving the policy making process. This falls within the National Research Priority 1 (PG7) Read moreRead less
Estimation and Inference in Weakly Identified Models. Economic and social systems are made up of interacting components leading to complex structures that are difficult to predict and manage. Consequently policy analysis and decision-making must be informed by statistical analysis of data. In many situations the informational content of observations is minimal; examples of such situations are found in the areas of education, health, finance and various aspects of macroeconomic analysis. This pro ....Estimation and Inference in Weakly Identified Models. Economic and social systems are made up of interacting components leading to complex structures that are difficult to predict and manage. Consequently policy analysis and decision-making must be informed by statistical analysis of data. In many situations the informational content of observations is minimal; examples of such situations are found in the areas of education, health, finance and various aspects of macroeconomic analysis. This project aims to develop methods of estimation and inference that make more efficient use of the information available in data. This will lead to more precise statistical analyses, resulting in a clearer understanding of economic and social systems, and better informed policy analysis and decision-making.Read moreRead less
Economic Reform and Australian Electoral Decision Making. Australia has undergone dramatic economic, demographic and social change in the past twenty years. This project will investigate how these changes have impacted upon elector behaviour. With compulsory voting, comprehensive census data and the Australian Election Study an uniquely detailed dataset can be constructed. This dataset and the application of ?cutting edge? statistical techniques from the fields of cohort analysis and discrete ch ....Economic Reform and Australian Electoral Decision Making. Australia has undergone dramatic economic, demographic and social change in the past twenty years. This project will investigate how these changes have impacted upon elector behaviour. With compulsory voting, comprehensive census data and the Australian Election Study an uniquely detailed dataset can be constructed. This dataset and the application of ?cutting edge? statistical techniques from the fields of cohort analysis and discrete choice modelling will allow for the untangling of various influences on voter behaviour. With compulsory voting many biases due to voter turnout issues will be avoided making this project an unbiased test, with international interest and significance, of voter behaviour.Read moreRead less
Nonparametric and Semiparametric Approaches in Nonlinear Time Series Econometrics and Financial Econometrics. This research proposal involves new theoretical investigations using nonparametric and semiparametric approaches in high dimensional nonlinear economic and financial dynamical systems.
The main aims of this proposal are
(i) to make new theoretical investigations of high dimensional nonlinear economic and financial dynamical models which incorporate to varying degrees, nonlinearit ....Nonparametric and Semiparametric Approaches in Nonlinear Time Series Econometrics and Financial Econometrics. This research proposal involves new theoretical investigations using nonparametric and semiparametric approaches in high dimensional nonlinear economic and financial dynamical systems.
The main aims of this proposal are
(i) to make new theoretical investigations of high dimensional nonlinear economic and financial dynamical models which incorporate to varying degrees, nonlinearity, and additivity;
(ii) to develop novel computational procedures and programmes for the necessary statistical inference associated with new high dimensional nonlinear dynamical models; and
(iii) to apply the techniques and programmes to improve economic and financial model building and forecasts from better models.
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