Change Detection in Causal Relationships and Measurement of Systemic Risk. Empirical measures of interconnectedness between financial institutions based on tests of Granger causality are currently used in detecting systemic risk. However, researchers need to define periods of calm and stress exogenously in order to implement these tests appropriately. This project aims to develop a new procedure to identify changes in causal relationships and the timing of these changes. The new approach has the ....Change Detection in Causal Relationships and Measurement of Systemic Risk. Empirical measures of interconnectedness between financial institutions based on tests of Granger causality are currently used in detecting systemic risk. However, researchers need to define periods of calm and stress exogenously in order to implement these tests appropriately. This project aims to develop a new procedure to identify changes in causal relationships and the timing of these changes. The new approach has the potential to be a significant improvement in the real-time identification of emerging turmoil in financial markets and provide an improved method for the detection of systemic risk. The new test procedure will be implemented using data for financial and non-financial institutions across Europe, the US and Australia.Read moreRead less
Household mortgage choice: theoretical and empirical evidence. A house is often the largest component of household assets, and financing its purchase involves choosing a mortgage product from many alternatives. Inefficiencies and incompleteness in mortgage markets have important consequences. This project uncovers theoretical and empirical evidence on why Australians choose particular mortgage products.
Capital Offending: Income, Work and Crime in Australia’s Convict Era. At least 60 per cent of Australia’s current prison population has been in prison before. By contrast a mere 18 per cent of transported convicts were re-incarcerated following release. This project aims to use information on the bank accounts maintained for convicts while under sentence to measure the relationship between capital formation and post-sentence marriage, migration and reconviction rates. It will look in particular ....Capital Offending: Income, Work and Crime in Australia’s Convict Era. At least 60 per cent of Australia’s current prison population has been in prison before. By contrast a mere 18 per cent of transported convicts were re-incarcerated following release. This project aims to use information on the bank accounts maintained for convicts while under sentence to measure the relationship between capital formation and post-sentence marriage, migration and reconviction rates. It will look in particular at the extent to which skills, employment opportunities and asset accumulation enabled former transported convicts to go straight. It will also result in improved archival search engines enabling access for members of the public to internationally recognised record groups hitherto held by different institutions.Read moreRead less