Change Detection in Causal Relationships and Measurement of Systemic Risk. Empirical measures of interconnectedness between financial institutions based on tests of Granger causality are currently used in detecting systemic risk. However, researchers need to define periods of calm and stress exogenously in order to implement these tests appropriately. This project aims to develop a new procedure to identify changes in causal relationships and the timing of these changes. The new approach has the ....Change Detection in Causal Relationships and Measurement of Systemic Risk. Empirical measures of interconnectedness between financial institutions based on tests of Granger causality are currently used in detecting systemic risk. However, researchers need to define periods of calm and stress exogenously in order to implement these tests appropriately. This project aims to develop a new procedure to identify changes in causal relationships and the timing of these changes. The new approach has the potential to be a significant improvement in the real-time identification of emerging turmoil in financial markets and provide an improved method for the detection of systemic risk. The new test procedure will be implemented using data for financial and non-financial institutions across Europe, the US and Australia.Read moreRead less
Household mortgage choice: theoretical and empirical evidence. A house is often the largest component of household assets, and financing its purchase involves choosing a mortgage product from many alternatives. Inefficiencies and incompleteness in mortgage markets have important consequences. This project uncovers theoretical and empirical evidence on why Australians choose particular mortgage products.
Detecting financial contagion using high frequency data. Financial crises spread extraordinarily quickly. However, existing tools for measuring this spread use relatively low frequency data. This project develops tools for measuring and detecting periods of stress and the effects of financial contagion in financial markets, using high frequency data based on recorded transaction prices.
Understanding the Behaviour and Impact of Bond Markets. An improved understanding of the way in which the timing of transactions on financial markets interact enables better choices to be made in terms of designing market systems and conventions. The US Treasury market is arguably the most important market in the world, and uses an expandable limit order book. Better understanding of this market will help in choices about new system design, and in how news transmitted through this market may im ....Understanding the Behaviour and Impact of Bond Markets. An improved understanding of the way in which the timing of transactions on financial markets interact enables better choices to be made in terms of designing market systems and conventions. The US Treasury market is arguably the most important market in the world, and uses an expandable limit order book. Better understanding of this market will help in choices about new system design, and in how news transmitted through this market may impact on other markets. In particular this project will consider the role of the microstructure of the US Treasury market in the 2007-2008 financial crisis.Read moreRead less