Financial Instability and Risk Management: New Statistical Treatment of the Occurrence and Persistence of Shocks in International Markets. Global economies are complex systems: their complexity is increasing due to market connectivity, borderless trading and rapid electronic transactions. This collaboration will improve understanding of market interdependence, important because of its profound macroeconomic influence on individual consumersf decisions and corporate investment. A novel combinati ....Financial Instability and Risk Management: New Statistical Treatment of the Occurrence and Persistence of Shocks in International Markets. Global economies are complex systems: their complexity is increasing due to market connectivity, borderless trading and rapid electronic transactions. This collaboration will improve understanding of market interdependence, important because of its profound macroeconomic influence on individual consumersf decisions and corporate investment. A novel combination of nonlinear time series and dynamical systems theories will be used to describe propagation and persistence of market shocks. Focusing on smart information use and innovation economies, this project will deliver publications on new practical econometric methodologies, training for early career researchers, and a strong sustainable research relationship between Australia and France.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
Computing probabilities of theories where these probabilities vary over time with applications in macroeconomics. This project will present a method to produce empirically based policy advice that accounts for the changing economic environment and that allows for a range of assumptions about how the economy works. The research and training will place Australia at the forefront of empirical macroeconomic research and strengthen international research networks. Policy making will be improved as: i ....Computing probabilities of theories where these probabilities vary over time with applications in macroeconomics. This project will present a method to produce empirically based policy advice that accounts for the changing economic environment and that allows for a range of assumptions about how the economy works. The research and training will place Australia at the forefront of empirical macroeconomic research and strengthen international research networks. Policy making will be improved as: it will use information that is more robust to false assumptions; it will quickly incorporate new information; and we will understand better why certain policies did or did not work at different times in the past. The research will impact upon other sciences such as physics and engineering that use the same underlying tools far more than do economists.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