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
International linkages between financial and real economy cycles. This project will develop empirical multivariate models of business cycles for different countries, and will study how they are linked via international financial markets. The significance of the project is that the models will integrate previous work done on financial-real economy links in single country settings, and it will explicitly study the effects of disequilibrium in international financial markets (such as overvaluation ....International linkages between financial and real economy cycles. This project will develop empirical multivariate models of business cycles for different countries, and will study how they are linked via international financial markets. The significance of the project is that the models will integrate previous work done on financial-real economy links in single country settings, and it will explicitly study the effects of disequilibrium in international financial markets (such as overvaluation of foreign currency) on individual economies. The project will determine the appropriate domestic monetary policy response to such shocks, and the potential for forecasting both the advent of such shocks and their impact on individual economies.Read moreRead less
Novel econometric techniques for modelling and forecasting electricity prices and price volatility in Australia. Price volatility, particularly price spikes, are of special importance to electricity retailers who, because of retail price regulation, cannot pass them onto final customers and end up bearing the price risk. While state governments may enter into compensation deals with retailers, it is of great interest to both parties to understand why and when these price surges occur and, once t ....Novel econometric techniques for modelling and forecasting electricity prices and price volatility in Australia. Price volatility, particularly price spikes, are of special importance to electricity retailers who, because of retail price regulation, cannot pass them onto final customers and end up bearing the price risk. While state governments may enter into compensation deals with retailers, it is of great interest to both parties to understand why and when these price surges occur and, once they have occurred, how long they will last. A better understanding of the electricity price process will enable more sophisticated plans and strategies to be put in place to hedge against unfavourable, unexpected or extreme price events.Read moreRead less