Inference in partially non-stationary time series models. Economic theories typically specify the long-run relationship between economic variables. However, researchers usually examine the long-run features of the data by fitting a restrictive class of models using criteria that have only proven useful for short-term forecasting. In this project we consider alternative models and modelling strategies that are appropriate for the study of the long-run. We also develop computer intensive (bootstra ....Inference in partially non-stationary time series models. Economic theories typically specify the long-run relationship between economic variables. However, researchers usually examine the long-run features of the data by fitting a restrictive class of models using criteria that have only proven useful for short-term forecasting. In this project we consider alternative models and modelling strategies that are appropriate for the study of the long-run. We also develop computer intensive (bootstrap) methods, which will provide a much-needed improvement over the existing (asymptotic) methods for making inference about the long-run. Our research will lead to more reliable models for long-term planning in business, industry and government.Read moreRead less
Vector ARMA Models and Macroeconomic Modelling: Some New Methodology and Algorithms. Economic variables are strongly related to each other, as well as being strongly related to their recent history. As a result, good dynamic multivariate models are crucial for effective policy making and forecasting in areas of vital national importance such as monetary and fiscal policy, environmental policy and tourism. Our project advances the frontiers of knowledge in multivariate time series modelling. The ....Vector ARMA Models and Macroeconomic Modelling: Some New Methodology and Algorithms. Economic variables are strongly related to each other, as well as being strongly related to their recent history. As a result, good dynamic multivariate models are crucial for effective policy making and forecasting in areas of vital national importance such as monetary and fiscal policy, environmental policy and tourism. Our project advances the frontiers of knowledge in multivariate time series modelling. The outcome of this project will be immediately useful for macroeconomic policy makers such as the Reserve Bank of Australia and the Treasury, and for industry bodies such as Tourism Australia. Read moreRead less
Helping Central Banks Measure Unobserved Variables Using Real-time Forecasts. The project addresses structural measurement problems confronted routinely by central bankers. The techniques developed, and the estimates provided, will aid directly the Partner Organisations (the Reserve Bank of Australia, the Reserve Bank of New Zealand and Norges Bank) and other central banks in formulating monetary policy. The analysis will allow interest rates in Australia and elsewhere to be set with greater pre ....Helping Central Banks Measure Unobserved Variables Using Real-time Forecasts. The project addresses structural measurement problems confronted routinely by central bankers. The techniques developed, and the estimates provided, will aid directly the Partner Organisations (the Reserve Bank of Australia, the Reserve Bank of New Zealand and Norges Bank) and other central banks in formulating monetary policy. The analysis will allow interest rates in Australia and elsewhere to be set with greater precision. The techniques developed in this project will facilitate the understanding and communication of monetary policy within the central banks concerned, and enhance communication of monetary policy strategy to the public.Read moreRead less
Macroeconomic and Financial Modelling in an Era of Extremes. This project aims to develop methods to allow workhorse models in economics and finance to better reflect tail events--low probability extreme events, such as the Global Financial Crisis and the COVID-19 pandemic. It intends to address fundamental technical challenges in the estimation of such models, develop a coherent framework for counterfactual analysis of these models and propose methods to apply these models in a big-data environ ....Macroeconomic and Financial Modelling in an Era of Extremes. This project aims to develop methods to allow workhorse models in economics and finance to better reflect tail events--low probability extreme events, such as the Global Financial Crisis and the COVID-19 pandemic. It intends to address fundamental technical challenges in the estimation of such models, develop a coherent framework for counterfactual analysis of these models and propose methods to apply these models in a big-data environment. Expected outcomes include new insights into the transmission of tail risks in the global economic and financial system. This should provide significant benefits, including guidance to Australian and international policymakers charged with maintaining stability in the face of extreme events.Read moreRead less
Financing aged care in Australia: Mitigating fiscal gaps and maintaining intergenerational equity. Aged care has been identified as a significant contributor to the growing fiscal problems predicted for Australian government finances during the next 10 to 20 years. This project will develop the cutting-edge modelling tools needed to allow Australia to make informed decisions about possible reforms in aged care financing. It will create significant national benefits by allowing detailed assessmen ....Financing aged care in Australia: Mitigating fiscal gaps and maintaining intergenerational equity. Aged care has been identified as a significant contributor to the growing fiscal problems predicted for Australian government finances during the next 10 to 20 years. This project will develop the cutting-edge modelling tools needed to allow Australia to make informed decisions about possible reforms in aged care financing. It will create significant national benefits by allowing detailed assessment of the distributional impact of a wide range of possible reforms, including how the outcomes of any policy change will affect disadvantaged sections of our society, whether different generations will be fairly treated, and the impact by gender.Read moreRead less
Nowcasting and Interpreting the Australian Economy. This project aims to investigate methods for nowcasting and interpreting the Australian economy. This is determining the current state of the economy and the factors contributing to it.
This project expects to generate new knowledge on how unconventional, new, data sources and innovative methods can be used to in nowcasting and how the Australian economy can be modelled.
The expected outcomes include timely new indicators of the state of the ec ....Nowcasting and Interpreting the Australian Economy. This project aims to investigate methods for nowcasting and interpreting the Australian economy. This is determining the current state of the economy and the factors contributing to it.
This project expects to generate new knowledge on how unconventional, new, data sources and innovative methods can be used to in nowcasting and how the Australian economy can be modelled.
The expected outcomes include timely new indicators of the state of the economy, and the factors contributing to it. This should provide significant benefits through informing the conduct of Australian macroeconomic policy, as the appropriate policy response depends not only on knowing the current state of the economy but understanding the economic factors underlying it.
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