Sins of the Fathers - The Role of Reputation in Capital Market Integration and the Choice of Exchange Rate Regime. This project investigates, theoretically and empirically, how past and present reputation for monetary policy credibility influences a country's choice of exchange rate regime and its ability to borrow internationally in domestic currency. The inability of emerging market countries to borrow in domestic currency is an important source of global financial instability, and the study c ....Sins of the Fathers - The Role of Reputation in Capital Market Integration and the Choice of Exchange Rate Regime. This project investigates, theoretically and empirically, how past and present reputation for monetary policy credibility influences a country's choice of exchange rate regime and its ability to borrow internationally in domestic currency. The inability of emerging market countries to borrow in domestic currency is an important source of global financial instability, and the study contributes to an understanding of how policymakers can better facilitate the process of international financial integration. By introducing new advances in the theory of reputation into models of exchange rate crises and examining lessons from Australian financial history, the research brings a fresh perspective to existing analyses of financial crises.Read moreRead less
Securitised Real Estate and Private Dwellings: International and Domestic Linkages and Implications for the Macroeconomy. Cycles in the housing market and its interaction with other economic and financial market variables may have enormous effects on the Australian economy. Despite this there is little research on the interactions between housing and the macroeconomy. This project examines these issues. The implications of the research extend to three broad areas. The first is monetary policy by ....Securitised Real Estate and Private Dwellings: International and Domestic Linkages and Implications for the Macroeconomy. Cycles in the housing market and its interaction with other economic and financial market variables may have enormous effects on the Australian economy. Despite this there is little research on the interactions between housing and the macroeconomy. This project examines these issues. The implications of the research extend to three broad areas. The first is monetary policy by understanding housing prices, inflation and interest rates linkages. Second, constructing formal models including housing may provide a means of testing the implications of policies such as the first home owner grant or reductions in housing specific taxes. Finally, financial markets may benefit by understanding of the role of property in a diversified portfolio.Read moreRead less
A Principled Approach to Computer Simulation of Dynamic General Equilibrium Macroeconomic Models. In the last two decades a new generation of computer-intensive
modeling techniques has risen to prominence in macroeconomics. These
methods have broad policy applications, from public finance and
reserve bank operation to analysis of long-run productivity growth,
taxation reform, unemployment, international trade policy and natural
resource conservation. The size and complexity of these model ....A Principled Approach to Computer Simulation of Dynamic General Equilibrium Macroeconomic Models. In the last two decades a new generation of computer-intensive
modeling techniques has risen to prominence in macroeconomics. These
methods have broad policy applications, from public finance and
reserve bank operation to analysis of long-run productivity growth,
taxation reform, unemployment, international trade policy and natural
resource conservation. The size and complexity of these models means
that even computer-based techniques will rely for the foreseeable
future on efficient program design to solve them. The project will
construct a comprehensive set of solution techniques and software for
this class of macroeconomic models, including detailed mathematical
analysis on accuracy of model output.Read moreRead less
IMPROVING THE THEORETICAL COHERENCE OF DATA-DRIVEN VAR MODELS. The project seeks to improve the tradeoff between theoretical and empirical coherence that is often present in empirical macroeconomic models. Using existing Australian models the project examines appropriate means of imposing theoretical restrictions on empirically coherent Vector Autoregression (VAR) models. Building on work by the authors, an improved VAR model of the Australian economy will be developed. This model will be used t ....IMPROVING THE THEORETICAL COHERENCE OF DATA-DRIVEN VAR MODELS. The project seeks to improve the tradeoff between theoretical and empirical coherence that is often present in empirical macroeconomic models. Using existing Australian models the project examines appropriate means of imposing theoretical restrictions on empirically coherent Vector Autoregression (VAR) models. Building on work by the authors, an improved VAR model of the Australian economy will be developed. This model will be used to assess particularly the impact of asset prices on inflation and economic performance over the past two decades. Further attention will be paid to assessing the role of monetary policy in the Australian economy.Read moreRead less
Higher order moment contagion testing: implications of the US subprime mortgage crisis for Australia. Even though crises are usually short lived, the long term implications of changes in asset values may be profound, particularly for superannuation assets. Implications of financial crises are also profound for institutions such as the RBA who change policy to achieve domestic objectives. The understanding of how internationally based financial crises affect Australia is important particularly wh ....Higher order moment contagion testing: implications of the US subprime mortgage crisis for Australia. Even though crises are usually short lived, the long term implications of changes in asset values may be profound, particularly for superannuation assets. Implications of financial crises are also profound for institutions such as the RBA who change policy to achieve domestic objectives. The understanding of how internationally based financial crises affect Australia is important particularly when domestic inflationary pressures would appear to precipitate the need for the RBA to take the opposite policy stance to that prevalent of central banks internationally. This proposal highlights these relationships to provide insights into portfolio allocation decisions and provides information to facilitate well founded decisions by policy makers.Read moreRead less