Inequality of opportunity in Australia. This project aims to develop econometric approaches for identifying opportunity gaps in Australia and other developed countries. Inequality of opportunity arises when the birth lottery or external factors in later life, rather than personal efforts, determine a person’s chances of economic success. A high level of inequality of opportunity holds people back from realising their potential and from contributing productively to society. The project will focus ....Inequality of opportunity in Australia. This project aims to develop econometric approaches for identifying opportunity gaps in Australia and other developed countries. Inequality of opportunity arises when the birth lottery or external factors in later life, rather than personal efforts, determine a person’s chances of economic success. A high level of inequality of opportunity holds people back from realising their potential and from contributing productively to society. The project will focus on the effect of inequality of opportunity on income, health and education with special emphasis placed on Indigenous and migrant populations. The findings should help formulate cost-efficient policy interventions aimed at levelling the economic playing field.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
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
New approaches to the statistical modelling of financial risk: combining structural information with flexible, computationally-intensive non-parametric methods. The aims of this project are to provide a range of novel, rigorous, flexible, statistical methods to assess portfolio risk, with due attention to behaviour of its constituent components; to obtain greater understanding of the complexities of risk; and to give students research training in the nexus of statistics and finance. The anticip ....New approaches to the statistical modelling of financial risk: combining structural information with flexible, computationally-intensive non-parametric methods. The aims of this project are to provide a range of novel, rigorous, flexible, statistical methods to assess portfolio risk, with due attention to behaviour of its constituent components; to obtain greater understanding of the complexities of risk; and to give students research training in the nexus of statistics and finance. The anticipated outcomes of this project will be detailed knowledge of extremal behaviour in portfolios, improved methods for calibrating risk, advances in non-parametric methods in finance, a prototype practitioner toolkit for assessing risk, and high-calibre graduates to contribute to Australia's research capacity.Read moreRead less
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
Understanding Dynamic Aspects of Economic Inequality. This project aims to study dynamic aspects of inequality in Australia by exploring the changes in labour and housing market conditions and their relation to the changes in the distribution of income and wealth over the last decade. The project also aims to develop new econometric techniques to examine the factors that are responsible for the changes in the distribution of income and wealth and a range of labour and housing market outcomes. Pa ....Understanding Dynamic Aspects of Economic Inequality. This project aims to study dynamic aspects of inequality in Australia by exploring the changes in labour and housing market conditions and their relation to the changes in the distribution of income and wealth over the last decade. The project also aims to develop new econometric techniques to examine the factors that are responsible for the changes in the distribution of income and wealth and a range of labour and housing market outcomes. Particular attention will be paid to the role of the changes in individual-specific characteristics (such as education, age, employment status, and occupation) and neighbourhood-specific characteristics (such as house prices and population ageing) in producing inequality.Read moreRead less
Nonlinear Econometric Modelling: A Complex Systems Perspective. It is becoming increasingly accepted that economic systems are both complex and adaptive. However, this introduces a range of problems in constructing, estimating and testing economic models using time series data. In this project, this problem will be addressed through the formulation and implementation of a new methodology and associated techniques. These techniques will allow a researcher to use information obtained from a set o ....Nonlinear Econometric Modelling: A Complex Systems Perspective. It is becoming increasingly accepted that economic systems are both complex and adaptive. However, this introduces a range of problems in constructing, estimating and testing economic models using time series data. In this project, this problem will be addressed through the formulation and implementation of a new methodology and associated techniques. These techniques will allow a researcher to use information obtained from a set of nonlinearity tests to determine which type of nonlinear model provides the best representation of a data generating mechanism. Selected high frequency financial and macroeconomic data (for the US and Australia) will be used in the study. This research is intended to change the direction and emphasis of econometric modelling and promises to have a fundamental impact on forecasting and policy evaluation methods.
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The importance of price and perceived quality to the demand for fresh fruits and vegetables. It is estimated that the direct and indirect cost of diet-related diseases to Australia is between $2-3 billion per annum. One of the most important things that can be done to prevent diet-related disease is to encourage the population to eat more fruits and vegetables. The aim of this project is to examine the effect of price and perceived quality on the type and quantity of fruits and vegetables cons ....The importance of price and perceived quality to the demand for fresh fruits and vegetables. It is estimated that the direct and indirect cost of diet-related diseases to Australia is between $2-3 billion per annum. One of the most important things that can be done to prevent diet-related disease is to encourage the population to eat more fruits and vegetables. The aim of this project is to examine the effect of price and perceived quality on the type and quantity of fruits and vegetables consumed, especially among low-income households. The project will employ modelling techniques that are novel to this product group and that will provide valuable insights to the constraints and opportunities for increasing fruits and vegetables intake, as well as benchmarks for future research.Read moreRead less
Large dynamic time-varying models for structural macroeconomic inference. This project aims to broaden the range of macroeconomic models that have an integrated capacity for both greater realism and efficiency in analysis. This approach will be applied to two contexts at the forefront of current macroeconomic research, the effects of noisy productivity signals on business cycles and the effects of fiscal policy shocks. Flexible macro-econometric models underpin accurate inference by economists ....Large dynamic time-varying models for structural macroeconomic inference. This project aims to broaden the range of macroeconomic models that have an integrated capacity for both greater realism and efficiency in analysis. This approach will be applied to two contexts at the forefront of current macroeconomic research, the effects of noisy productivity signals on business cycles and the effects of fiscal policy shocks. Flexible macro-econometric models underpin accurate inference by economists and policymakers and the project outputs should provide widespread and significant benefits by improving policy and boosting Australia’s comparative advantage.Read moreRead less
Closing the Gap Between Theory and Data in Macroeconometrics. This project aims to bring econometric models (the empirical vehicle for inference) and economic models (the theory) closer together. A new model is intended to be proposed that will address a significant issue with the interpretation of the outputs of the econometric models. As a first contribution, the project is expected to develop the model and an inferential framework for this model using probability theory on manifolds. In a sec ....Closing the Gap Between Theory and Data in Macroeconometrics. This project aims to bring econometric models (the empirical vehicle for inference) and economic models (the theory) closer together. A new model is intended to be proposed that will address a significant issue with the interpretation of the outputs of the econometric models. As a first contribution, the project is expected to develop the model and an inferential framework for this model using probability theory on manifolds. In a second contribution, it is expected to construct an algorithm to permit inference leading to outputs useful to policy analysts. The model is intended to be parsimonious, which facilitates the development of a time-varying version to allow the model to evolve with the economy and provide better policy guidance.Read moreRead less