Modelling stock market liquidity in Australia and the Asia Pacific Region. This project will develop new methods of assessing stock market liquidity in Australia and the Asia-Pacific region. These methods will use high frequency transactions-based data provided by the industry partner, SIRCA. The data will be the basis of smart information real time algorithms for measuring market liquidity. They will incorporate generalizations and extensions of recent developments in time series econometrics, ....Modelling stock market liquidity in Australia and the Asia Pacific Region. This project will develop new methods of assessing stock market liquidity in Australia and the Asia-Pacific region. These methods will use high frequency transactions-based data provided by the industry partner, SIRCA. The data will be the basis of smart information real time algorithms for measuring market liquidity. They will incorporate generalizations and extensions of recent developments in time series econometrics, and will be calibrated and evaluated statistically. The novel methods will be crucial to market participants and to regulators, who will be able to apply them to assess market depth and liquidity, and reduce trading costs substantially.Read moreRead less
Seasonal adjustment using disaggregated short time span data. Seasonally adjusted economic and social times series are vital information used by governments and businesses in decision making. This project will develop statistical methods to estimate and remove seasonal factors from economic and social time series using finely disaggregated data for a relatively small number of time periods. This will enable better and quicker estimation of seasonal factors when new series are introduced or there ....Seasonal adjustment using disaggregated short time span data. Seasonally adjusted economic and social times series are vital information used by governments and businesses in decision making. This project will develop statistical methods to estimate and remove seasonal factors from economic and social time series using finely disaggregated data for a relatively small number of time periods. This will enable better and quicker estimation of seasonal factors when new series are introduced or there a major changes to existing series, improving the analysis of such series and the decisions based on them.Read moreRead less
FINANCIAL (IN)SECURITY IN LATER LIFE: WOMEN, WORK , SUPERANNUATION AND AUSTRALIA'S RETIREMENT INCOME SYSTEM. An ageing population is expected to contribute to significant demographic, social and labour market shifts, which, together with fiscal stresses, will affect the future mix of state and private retirement income provisions. However, gender-based issues associated with these changes remain under-researched. Using a life-course approach qualitative methodologies will be used to explore inte ....FINANCIAL (IN)SECURITY IN LATER LIFE: WOMEN, WORK , SUPERANNUATION AND AUSTRALIA'S RETIREMENT INCOME SYSTEM. An ageing population is expected to contribute to significant demographic, social and labour market shifts, which, together with fiscal stresses, will affect the future mix of state and private retirement income provisions. However, gender-based issues associated with these changes remain under-researched. Using a life-course approach qualitative methodologies will be used to explore inter-relationships between: women's workforce participation, education, marital status, fertility, financial literacy; retirement incomes;concessions, benefits; and women's economic security in later years. The research will make a significant contribution to the development and implementation of retirement income policy and the debate on gender equity in the labour market. Read moreRead less
The Future of Australian Mineral Exports. Australia is among the world's largest exporters of steelmaking raw materials, specifically iron ore, coking coal and manganese. This project will develop an integrated econometric model of the global steel industry to forecast future trends in global steel production and the associated demand for raw materials. The results of this research will not only assist Australian mineral exporters in achieving better outcomes in annual pricing negotiations by im ....The Future of Australian Mineral Exports. Australia is among the world's largest exporters of steelmaking raw materials, specifically iron ore, coking coal and manganese. This project will develop an integrated econometric model of the global steel industry to forecast future trends in global steel production and the associated demand for raw materials. The results of this research will not only assist Australian mineral exporters in achieving better outcomes in annual pricing negotiations by improving market knowledge, but also help focus their longer term marketing strategies. The extensive global mine database to be assembled as part of the network flow component of this model will also allow Australian mineral exporters to assess their competitive position relative to foreign producers.Read moreRead less
Forecasting Risk Thresholds for Portfolio Management and Regulation. The project will develop new models and methods for dynamic risk modelling, assessment of portfolio risk, and forecasting of portfolio risk thresholds. These novel methods will have extensive applications across investment portfolios for banks and financial institutions globally. The techniques will feature a dynamic updating of risk estimates, and more accurate forecasting of portfolio risk, the correlations of portfolio asset ....Forecasting Risk Thresholds for Portfolio Management and Regulation. The project will develop new models and methods for dynamic risk modelling, assessment of portfolio risk, and forecasting of portfolio risk thresholds. These novel methods will have extensive applications across investment portfolios for banks and financial institutions globally. The techniques will feature a dynamic updating of risk estimates, and more accurate forecasting of portfolio risk, the correlations of portfolio asset classes, and Value at Risk (VaR) thresholds. The innovative methods and models will permit both financial institutions and regulatory authorities to model VaR thresholds more accurately, and enable investment managers to regulate and benchmark their portfolios more effectively against international best practice.
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Economic Aspects of Wool in Western Australia. Over the past 15 years, the wool industry in WA has gone from bust to boom.. This project develops a general equilibrium model to analyse the impact of the world economic conditions on the wool industry and the WA economy in general. We will also investigate the reasons for the systematically lower wool prices in Fremantle and the interactions between Australian wool prices and exchange rates. The results will enhance understanding of the industry, ....Economic Aspects of Wool in Western Australia. Over the past 15 years, the wool industry in WA has gone from bust to boom.. This project develops a general equilibrium model to analyse the impact of the world economic conditions on the wool industry and the WA economy in general. We will also investigate the reasons for the systematically lower wool prices in Fremantle and the interactions between Australian wool prices and exchange rates. The results will enhance understanding of the industry, and offer insights as to how it might be made less volatile in the future by providing valuable information to woolgrowers and policy makers.Read moreRead less
Exchange Rates and Commodity Prices in a Volatile Business Environment. In recent years, many Australian companies have been hurt by the large movements in the value of the Australian dollar, by their inability to forecast these movements, and by deficiencies of their hedging strategies to deal with foreign-exchange risk. This project will develop an alternative way of forecasting the $A in real time using a new methodology, based on purchasing power parity, that shows much promise. Additional ....Exchange Rates and Commodity Prices in a Volatile Business Environment. In recent years, many Australian companies have been hurt by the large movements in the value of the Australian dollar, by their inability to forecast these movements, and by deficiencies of their hedging strategies to deal with foreign-exchange risk. This project will develop an alternative way of forecasting the $A in real time using a new methodology, based on purchasing power parity, that shows much promise. Additionally, an innovative way to analyse gold prices will be further developed, which when combined with the $A forecasts, offers a potentially valuable method of hedging foreign exchange and commodity price risk faced by Australian gold producers.Read moreRead less