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
Understanding and Modelling Weather Derivatives in Australia for the Purpose of their Accurate Pricing: a Statistical and Econometric Investigation. Australia suffers some of the most adverse and extreme weather globally. Its government and industries, especially agriculture and electricity, stand to benefit from improved understanding of weather derivatives and capability to price them accurately. Tailored to Australian weather scenarios, weather derivatives will be tools to manage local risk f ....Understanding and Modelling Weather Derivatives in Australia for the Purpose of their Accurate Pricing: a Statistical and Econometric Investigation. Australia suffers some of the most adverse and extreme weather globally. Its government and industries, especially agriculture and electricity, stand to benefit from improved understanding of weather derivatives and capability to price them accurately. Tailored to Australian weather scenarios, weather derivatives will be tools to manage local risk factors, and increase global competitiveness by hedging against competitors' good weather-related advantage. The US weather derivative market, capitalised at over US$7.5b, began just 7 years ago; there is no organised Australian market. This project's smart techniques for improving pricing accuracy will support the development and vigorous growth of a local market.Read moreRead less
The importance of price and perceived quality to the demand for fresh fruits and vegetables. It is estimated that the direct and indirect cost of diet-related diseases to Australia is between $2-3 billion per annum. One of the most important things that can be done to prevent diet-related disease is to encourage the population to eat more fruits and vegetables. The aim of this project is to examine the effect of price and perceived quality on the type and quantity of fruits and vegetables cons ....The importance of price and perceived quality to the demand for fresh fruits and vegetables. It is estimated that the direct and indirect cost of diet-related diseases to Australia is between $2-3 billion per annum. One of the most important things that can be done to prevent diet-related disease is to encourage the population to eat more fruits and vegetables. The aim of this project is to examine the effect of price and perceived quality on the type and quantity of fruits and vegetables consumed, especially among low-income households. The project will employ modelling techniques that are novel to this product group and that will provide valuable insights to the constraints and opportunities for increasing fruits and vegetables intake, as well as benchmarks for future research.Read moreRead less
Large dynamic time-varying models for structural macroeconomic inference. This project aims to broaden the range of macroeconomic models that have an integrated capacity for both greater realism and efficiency in analysis. This approach will be applied to two contexts at the forefront of current macroeconomic research, the effects of noisy productivity signals on business cycles and the effects of fiscal policy shocks. Flexible macro-econometric models underpin accurate inference by economists ....Large dynamic time-varying models for structural macroeconomic inference. This project aims to broaden the range of macroeconomic models that have an integrated capacity for both greater realism and efficiency in analysis. This approach will be applied to two contexts at the forefront of current macroeconomic research, the effects of noisy productivity signals on business cycles and the effects of fiscal policy shocks. Flexible macro-econometric models underpin accurate inference by economists and policymakers and the project outputs should provide widespread and significant benefits by improving policy and boosting Australia’s comparative advantage.Read moreRead less
Nonlinear Econometric Modelling: A Complex Systems Perspective. It is becoming increasingly accepted that economic systems are both complex and adaptive. However, this introduces a range of problems in constructing, estimating and testing economic models using time series data. In this project, this problem will be addressed through the formulation and implementation of a new methodology and associated techniques. These techniques will allow a researcher to use information obtained from a set o ....Nonlinear Econometric Modelling: A Complex Systems Perspective. It is becoming increasingly accepted that economic systems are both complex and adaptive. However, this introduces a range of problems in constructing, estimating and testing economic models using time series data. In this project, this problem will be addressed through the formulation and implementation of a new methodology and associated techniques. These techniques will allow a researcher to use information obtained from a set of nonlinearity tests to determine which type of nonlinear model provides the best representation of a data generating mechanism. Selected high frequency financial and macroeconomic data (for the US and Australia) will be used in the study. This research is intended to change the direction and emphasis of econometric modelling and promises to have a fundamental impact on forecasting and policy evaluation methods.
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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
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