New Insights on Modelling Time Trends with Panel Data: Theory and Practice. This project aims to tackle important challenges in time trend modelling by taking advantage of panel data structures. This project expects to propose flexible models in time trend modelling to retrieve reliable inference. The expected outcomes include innovative econometric models and methods that have a wide range of applications, and are particularly suited for empirical problems within large and complex systems. This ....New Insights on Modelling Time Trends with Panel Data: Theory and Practice. This project aims to tackle important challenges in time trend modelling by taking advantage of panel data structures. This project expects to propose flexible models in time trend modelling to retrieve reliable inference. The expected outcomes include innovative econometric models and methods that have a wide range of applications, and are particularly suited for empirical problems within large and complex systems. This will provide significant benefits to all fields in which data displays any form of trending behaviour. The proposed model is used to evaluate the economic consequences of climate change and global housing market contagion, which provide strong evidence-based insights to the environmental and economic policies in Australia.Read moreRead less
Econometric model building and estimation. This project aims to tackle issues in econometric model building and estimation under cross sectional dependence, heterogeneity and nonlinearity. This project will seek to establish flexible econometric models associated with estimation methods and user-friendly computational techniques to try to solve real world problems. The research outcomes are expected to be useful to empirical researchers in evaluating and improving model building and forecasting ....Econometric model building and estimation. This project aims to tackle issues in econometric model building and estimation under cross sectional dependence, heterogeneity and nonlinearity. This project will seek to establish flexible econometric models associated with estimation methods and user-friendly computational techniques to try to solve real world problems. The research outcomes are expected to be useful to empirical researchers in evaluating and improving model building and forecasting from better models in climatology, demography, economics, environment, finance, machine learning and neural networks.Read moreRead less
Discovery Early Career Researcher Award - Grant ID: DE120101130
Funder
Australian Research Council
Funding Amount
$375,000.00
Summary
New models and estimation methods in nonlinear panel data econometrics. This project will develop new econometric models and methods for capturing dynamic and complex relationships within economic and social systems. The outcomes of this project are expected to improve policy making process concerning climate change, economy and financial markets, through providing accurate estimates of relationships of interest.
Forecasting when model stability is uncertain. Forecasts of macroeconomic and financial variables play a crucial role in forward planning undertaken by government and financial institutions, but the predictability of these series is often context and time specific, making standard forecasting techniques unreliable. This project aims to develop new modelling and forecasting techniques that can adapt to structural changes in the model soon after they occur. It aims to derive relevant econometric t ....Forecasting when model stability is uncertain. Forecasts of macroeconomic and financial variables play a crucial role in forward planning undertaken by government and financial institutions, but the predictability of these series is often context and time specific, making standard forecasting techniques unreliable. This project aims to develop new modelling and forecasting techniques that can adapt to structural changes in the model soon after they occur. It aims to derive relevant econometric theory, use simulations to study the properties of the proposed techniques, as well as apply these new techniques to observed data.Read moreRead less
Can green investors drive the transition to a low emissions economy? The project aims to develop a game-theoretical approach to model the impact of climate change on financial markets by studying the interactions between the government, companies and investors. Expected outcomes include novel solution concepts for stochastic games with heterogeneous beliefs, asymmetric information, and model uncertainty, as well as optimal investment and production strategies under climate driven economic transi ....Can green investors drive the transition to a low emissions economy? The project aims to develop a game-theoretical approach to model the impact of climate change on financial markets by studying the interactions between the government, companies and investors. Expected outcomes include novel solution concepts for stochastic games with heterogeneous beliefs, asymmetric information, and model uncertainty, as well as optimal investment and production strategies under climate driven economic transitions. Results will be used to validate and improve the recently launched Australian based climate transition index. The project should yield significant benefits for the financial industry and investors by providing novel insights into financial risks during the transition to a low emissions economy.Read moreRead less
Analysis of Fiscal Policy Responses to Macroeconomic Conditions in Australia and the US using Real Time Data. This project investigates the evolution of Australian and US fiscal policy responses to macroeconomic conditions and examines the implications for future levels of public debt. A real time database of fiscal indicators will be constructed to capture information available to policymakers when making decisions. Econometric analysis of the data will involve a flexible approach that captures ....Analysis of Fiscal Policy Responses to Macroeconomic Conditions in Australia and the US using Real Time Data. This project investigates the evolution of Australian and US fiscal policy responses to macroeconomic conditions and examines the implications for future levels of public debt. A real time database of fiscal indicators will be constructed to capture information available to policymakers when making decisions. Econometric analysis of the data will involve a flexible approach that captures how policy has changed in its focus on economic stabilisation and fiscal sustainability. The analysis also allows for forecasts of public debt that take into account the interaction between policy and the economy. The results and methods will be useful in evaluating the stance of fiscal policy and its implications for the sustainability of public debt.Read moreRead less
Discovery Early Career Researcher Award - Grant ID: DE200100693
Funder
Australian Research Council
Funding Amount
$405,458.00
Summary
Financial Cycles and the Macroeconomy. The project aims to measure and understand the drivers of the financial cycle. As unsustainable financial conditions, such as excess credit, tend to precede financial cycle busts, which often eventuate into recessions, the project aims to also shed light on the interaction between the financial cycle and macroeconomy. These aims are expected to be achieved through the application of a new set of econometric tools to estimate and interpret financial cycles. ....Financial Cycles and the Macroeconomy. The project aims to measure and understand the drivers of the financial cycle. As unsustainable financial conditions, such as excess credit, tend to precede financial cycle busts, which often eventuate into recessions, the project aims to also shed light on the interaction between the financial cycle and macroeconomy. These aims are expected to be achieved through the application of a new set of econometric tools to estimate and interpret financial cycles. The expected outcomes of this project include new insights for institutions such as the Reserve Bank of Australia and should provide significant benefit through the appropriate design of macroeconomic policy.Read moreRead less
Macroeconomic forecasting in a 'Big Data' world. This project will develop methods for forecasting important macroeconomic variables where a large set of predictors is available. As well as raw variables and composite indices such as principal components. This project will also include various lags and nonlinear functions of potential predictors. The project will adapt Bayesian statistical methods for selecting these predictors so that they can be applied to time series data, thus developing inn ....Macroeconomic forecasting in a 'Big Data' world. This project will develop methods for forecasting important macroeconomic variables where a large set of predictors is available. As well as raw variables and composite indices such as principal components. This project will also include various lags and nonlinear functions of potential predictors. The project will adapt Bayesian statistical methods for selecting these predictors so that they can be applied to time series data, thus developing innovative forecasting methods that can be used on a range of important problems involving 'Big Data'. The project will compare forecasts from different methods using simulated and empirical data from the US and Australia. For the latter an outcome will be an online handbook of available Australian economic data for public use.Read moreRead less
The validation of approximate Bayesian computation. This project aims to establish the theoretical validity of approximate Bayesian computation (ABC) and to develop diagnostic methods for assessing its reliability in empirical applications. Given the increased complexity of modern statistical models, new ways of conducting statistical inference are needed. Approximate Bayesian computation is a new statistical tool. This project expects its findings will be useful in all fields where complex phen ....The validation of approximate Bayesian computation. This project aims to establish the theoretical validity of approximate Bayesian computation (ABC) and to develop diagnostic methods for assessing its reliability in empirical applications. Given the increased complexity of modern statistical models, new ways of conducting statistical inference are needed. Approximate Bayesian computation is a new statistical tool. This project expects its findings will be useful in all fields where complex phenomena feature and approximate methods are the only feasible way of understanding those phenomena.Read moreRead less
Uncertainty, financial frictions, and the Australian business cycle. This project aims to investigate the macroeconomic consequences of disruptions in financial markets and heightened uncertainty about the future. Key components of the project include new measures of uncertainty and development of new tools to estimate flexible empirical and structural models of uncertainty and financial frictions. The project expects to provide policymakers with tools to design effective policies to counteract ....Uncertainty, financial frictions, and the Australian business cycle. This project aims to investigate the macroeconomic consequences of disruptions in financial markets and heightened uncertainty about the future. Key components of the project include new measures of uncertainty and development of new tools to estimate flexible empirical and structural models of uncertainty and financial frictions. The project expects to provide policymakers with tools to design effective policies to counteract the effects of heightened uncertainty and financial disruptions. The results of this project are expected to put Australia at the frontier of the international scientific research on the macroeconomic effects of uncertainty and financial frictions.Read moreRead less