Information Content of Order Flows in the Foreign Exchange and Commodities Markets. The Australian economy depends heavily on resources and commodities markets. The Australian dollar is the sixth most actively traded currency in the world and is more volatile than all other major currencies except the Japanese yen. The proposed study seeks to improve volatility forecasts and hedging effectiveness for foreign exchange and commodity risks, which will create significant benefits for the Australian ....Information Content of Order Flows in the Foreign Exchange and Commodities Markets. The Australian economy depends heavily on resources and commodities markets. The Australian dollar is the sixth most actively traded currency in the world and is more volatile than all other major currencies except the Japanese yen. The proposed study seeks to improve volatility forecasts and hedging effectiveness for foreign exchange and commodity risks, which will create significant benefits for the Australian economy, corporations, and investors. In addition, the project will enhance investment performance and risk management practice of financial institutions, improving the overall safety of our financial system. It will also foster research culture and increase research capacity of Australian financial institutions.Read moreRead less
Managing the risk of price spikes, dependences and contagion effects in australian electricity markets. Australian electricity markets are more volatile and spike-prone than other comparable markets. Price spikes account for large parts of total price variation, and companies that are unprepared to manage these risks adequately face potentially substantial losses. The economic reality of price spikes in our interconnected electricity markets which are small and geographically isolated, unlike th ....Managing the risk of price spikes, dependences and contagion effects in australian electricity markets. Australian electricity markets are more volatile and spike-prone than other comparable markets. Price spikes account for large parts of total price variation, and companies that are unprepared to manage these risks adequately face potentially substantial losses. The economic reality of price spikes in our interconnected electricity markets which are small and geographically isolated, unlike the proximate markets of Europe and North America, emphasises the imperative of this Australian-focused research. Results will enable forecasting of extreme prices and enable market participants to manage better their risks, in Australia's unique electricity environment, and reduce chances of large losses or default.Read moreRead less
New approaches for testing in nonlinear models. The outcome of this project is a new econometric methodology that will be particularly useful for developing our understanding of Australian (and global) financial markets. Specific benefits are that (i) our value-at-risk models will enhance national and international awareness of issues relating to financial risk management; (ii) our exchange rate pass through model will aid the development of Australian trade and pricing policies and (iii) our du ....New approaches for testing in nonlinear models. The outcome of this project is a new econometric methodology that will be particularly useful for developing our understanding of Australian (and global) financial markets. Specific benefits are that (i) our value-at-risk models will enhance national and international awareness of issues relating to financial risk management; (ii) our exchange rate pass through model will aid the development of Australian trade and pricing policies and (iii) our duration models for trade in Australian stocks will lead to a better understanding of the microstructure of the Australian stock market.Read moreRead less
Why poorer students are less likely to go to university: Theoretical and empirical evidence for Australia with implications for policy. This project will improve our understanding of the factors that lead to the under-representation of low income students in universities in Australia and other countries. The focus of the analysis will be the impact of a student's family and household environment and innate ability on their school performance, an essential pre-requisite for university admission, ....Why poorer students are less likely to go to university: Theoretical and empirical evidence for Australia with implications for policy. This project will improve our understanding of the factors that lead to the under-representation of low income students in universities in Australia and other countries. The focus of the analysis will be the impact of a student's family and household environment and innate ability on their school performance, an essential pre-requisite for university admission, together with the costs of university education. Identifying the relative importance of these factors in determining educational success will enable families, schools, universities and educational policy-makers to improve opportunities for high ability students from all socioeconomic backgrounds. This will in turn enhance economic growth and productivity, benefiting all Australians.Read moreRead less
The training and job decisions of nurses: an integrated approach using panel surveys and dynamic discrete choice experiments. The nursing shortage in Australia is considered to be at crisis stage. The results of this study will lead to improved recruitment and retention of students in nursing, improved retention of new nurses in the health workforce, better design of nursing roles and job structure, and testing of the acceptability of changed health service delivery models. It will also lead to ....The training and job decisions of nurses: an integrated approach using panel surveys and dynamic discrete choice experiments. The nursing shortage in Australia is considered to be at crisis stage. The results of this study will lead to improved recruitment and retention of students in nursing, improved retention of new nurses in the health workforce, better design of nursing roles and job structure, and testing of the acceptability of changed health service delivery models. It will also lead to better health workforce planning. The study directly contributes to filling the gaps in health labour force quantitative studies identified in a recent Productivity Commission Report, and provides a basis for the implementation of the Commission's recommendations.Read moreRead less
Understanding and Modelling Weather Derivatives in Australia for the Purpose of their Accurate Pricing: a Statistical and Econometric Investigation. Australia suffers some of the most adverse and extreme weather globally. Its government and industries, especially agriculture and electricity, stand to benefit from improved understanding of weather derivatives and capability to price them accurately. Tailored to Australian weather scenarios, weather derivatives will be tools to manage local risk f ....Understanding and Modelling Weather Derivatives in Australia for the Purpose of their Accurate Pricing: a Statistical and Econometric Investigation. Australia suffers some of the most adverse and extreme weather globally. Its government and industries, especially agriculture and electricity, stand to benefit from improved understanding of weather derivatives and capability to price them accurately. Tailored to Australian weather scenarios, weather derivatives will be tools to manage local risk factors, and increase global competitiveness by hedging against competitors' good weather-related advantage. The US weather derivative market, capitalised at over US$7.5b, began just 7 years ago; there is no organised Australian market. This project's smart techniques for improving pricing accuracy will support the development and vigorous growth of a local market.Read moreRead less
Entropic Analysis of Financial Risk and Uncertainty. The recent financial crisis has shown that the financial markets are not as stable as expected, and are at risk from a lack of knowledge about new financial products and their risks. This research provides a framework to better measure and forecast financial risks by applying a set of techniques known collectively as entropic analysis as a novel way to measure the amount of information that can be extracted from historical data. The research w ....Entropic Analysis of Financial Risk and Uncertainty. The recent financial crisis has shown that the financial markets are not as stable as expected, and are at risk from a lack of knowledge about new financial products and their risks. This research provides a framework to better measure and forecast financial risks by applying a set of techniques known collectively as entropic analysis as a novel way to measure the amount of information that can be extracted from historical data. The research will facilitate the design of policies and regulations by regulatory authorities that need to evaluate new financial products, their associated risks and their impacts on the financial markets.Read moreRead less
Bayesian Inference for Flexible Parametric Multivariate Econometric Modelling. The anticipated outcomes include the development of enhanced multivariate econometric models and innovative computationally intensive methods for their estimation. These models are used in numerous and diverse applications which are data-intensive and where more complete models will greatly enhance data-based decision-making. Results include improved information use in the wholesale electricity markets, in financial m ....Bayesian Inference for Flexible Parametric Multivariate Econometric Modelling. The anticipated outcomes include the development of enhanced multivariate econometric models and innovative computationally intensive methods for their estimation. These models are used in numerous and diverse applications which are data-intensive and where more complete models will greatly enhance data-based decision-making. Results include improved information use in the wholesale electricity markets, in financial market investment decision-making and for the assessment of the impact of internet advertising.Read moreRead less
Modelling a portfolio of financial assets: structure, estimation, testing and forecasting. Information regarding financial returns and risk is essential for optimal portfolio selection and asset management. Returns and risk have typically been analysed for individual assets. The project provides a theoretical solution to the important practical problem of modelling a portfolio of financial assets in realistic situations. The significance of the research is the development of a new approach to an ....Modelling a portfolio of financial assets: structure, estimation, testing and forecasting. Information regarding financial returns and risk is essential for optimal portfolio selection and asset management. Returns and risk have typically been analysed for individual assets. The project provides a theoretical solution to the important practical problem of modelling a portfolio of financial assets in realistic situations. The significance of the research is the development of a new approach to analyse a portfolio of returns and risk, and the determination of its applicability using numerical simulation techniques. The expected outcomes are an optimal practical method for analysing a portfolio of assets, a scientific monograph, and publications in leading international journals.Read moreRead less
Robust Empirical Analysis of Consumption Poverty in Australia. Australia currently sends $47billion on income support programs, assisting 5.1 million people facing economic hardship. The aims of the project are to improve our understanding of economic poverty in Australia and contribute new methods to the field of poverty analysis. The analysis will include an assessment of the effectiveness of public programs targeted to the poor, and an evaluation of recent reforms to income support programs. ....Robust Empirical Analysis of Consumption Poverty in Australia. Australia currently sends $47billion on income support programs, assisting 5.1 million people facing economic hardship. The aims of the project are to improve our understanding of economic poverty in Australia and contribute new methods to the field of poverty analysis. The analysis will include an assessment of the effectiveness of public programs targeted to the poor, and an evaluation of recent reforms to income support programs. The project will also reveal the critical methodological assumptions underlying our current perceptions of poverty. This research will ultimately contribute to more effective poverty alleviation and income support programs in Australia.Read moreRead less