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
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.
Indicative impacts of population ageing on Australia's States, Territories and Local Communities. Population ageing and its associated shift to zero population growth and/or natural decline is occurring at substantially different rates across and within Australia's States and Territories. The trends, which are perhaps most marked in Tasmania - Australia's fastest ageing State - have significant implications for the economic growth and socio-economic composition of each region. This multi-level ....Indicative impacts of population ageing on Australia's States, Territories and Local Communities. Population ageing and its associated shift to zero population growth and/or natural decline is occurring at substantially different rates across and within Australia's States and Territories. The trends, which are perhaps most marked in Tasmania - Australia's fastest ageing State - have significant implications for the economic growth and socio-economic composition of each region. This multi-level study will project the impact of population ageing on economic welfare at State and Territory level; and on the socio-demographic profile of Local Government regions in Tasmania. The two analyses will then be bought together in developing policy responses.Read moreRead less