Understanding the sources of secular stagnation. This project aims to examine why long-run projections of output, inflation, and interest rates have become lower for many economies in recent years resulting in a phenomenon often referred to as secular stagnation. The project intends to develop new econometric tools to account for sources of structural breaks and stochastic trends in order to quantify the roles of productivity growth, financial shocks, demographics, and inflation expectations in ....Understanding the sources of secular stagnation. This project aims to examine why long-run projections of output, inflation, and interest rates have become lower for many economies in recent years resulting in a phenomenon often referred to as secular stagnation. The project intends to develop new econometric tools to account for sources of structural breaks and stochastic trends in order to quantify the roles of productivity growth, financial shocks, demographics, and inflation expectations in driving secular stagnation. Expected outcomes include findings that will help guide macroeconomic policy responses to stagnation and new econometric tools that will support future applied research on changes in the behaviour of macroeconomic variables.Read moreRead less
New Approaches to the Analysis of Count Time Series. The focus of this proposal is on the analysis of data that enumerate events over time. Occurrences of such count data abound in economics and business, examples being observations on insurance claims, loan defaults and individual product demand. This project develops a suite of innovative methods for modelling and predicting event counts. The methods explicitly accommodate both the discreteness of the data and possible complexities in its evo ....New Approaches to the Analysis of Count Time Series. The focus of this proposal is on the analysis of data that enumerate events over time. Occurrences of such count data abound in economics and business, examples being observations on insurance claims, loan defaults and individual product demand. This project develops a suite of innovative methods for modelling and predicting event counts. The methods explicitly accommodate both the discreteness of the data and possible complexities in its evolution over time. In so doing, they enable both accurate inferences regarding the dynamic structure of the data to be drawn and accurate forecasts of future event counts to be produced.Read moreRead less
New estimation and testing issues in nonlinear time series econometrics. The outcomes of this project will not only complement but also enhance the existing strengths of Australian researchers in the field of econometrics. The outcomes are also expected to help stabilise the national financial market for more accurate forecasts. It is also expected that the outcomes will provide novel models to respond to climate change and variability and to provide accurate warming estimates for improving the ....New estimation and testing issues in nonlinear time series econometrics. The outcomes of this project will not only complement but also enhance the existing strengths of Australian researchers in the field of econometrics. The outcomes are also expected to help stabilise the national financial market for more accurate forecasts. It is also expected that the outcomes will provide novel models to respond to climate change and variability and to provide accurate warming estimates for improving the policy making process.Read moreRead less
Uncertainty, financial frictions, and the Australian business cycle. This project aims to investigate the macroeconomic consequences of disruptions in financial markets and heightened uncertainty about the future. Key components of the project include new measures of uncertainty and development of new tools to estimate flexible empirical and structural models of uncertainty and financial frictions. The project expects to provide policymakers with tools to design effective policies to counteract ....Uncertainty, financial frictions, and the Australian business cycle. This project aims to investigate the macroeconomic consequences of disruptions in financial markets and heightened uncertainty about the future. Key components of the project include new measures of uncertainty and development of new tools to estimate flexible empirical and structural models of uncertainty and financial frictions. The project expects to provide policymakers with tools to design effective policies to counteract the effects of heightened uncertainty and financial disruptions. The results of this project are expected to put Australia at the frontier of the international scientific research on the macroeconomic effects of uncertainty and financial frictions.Read moreRead less
A new class of statistical methods for analysing long memory time series models with heteroskedasticity. This project will result in a class of statistical methods that will aid policy makers and financial analysts when examining and predicting key international and Australian macroeconomic and financial variables that exhibit long memory. Leading applications of long memory modelling in the literature include GDP, CPI, asset pricing models, stock returns, exchange rates and interest rates. It w ....A new class of statistical methods for analysing long memory time series models with heteroskedasticity. This project will result in a class of statistical methods that will aid policy makers and financial analysts when examining and predicting key international and Australian macroeconomic and financial variables that exhibit long memory. Leading applications of long memory modelling in the literature include GDP, CPI, asset pricing models, stock returns, exchange rates and interest rates. It will be possible to robustly and efficiently analyse such series in the presence of changes in variability, such as the overall reduction in variability that has occurred since the 1970's, called the "Great Moderation". The utility of the new methods will be demonstrated by a robust and efficient analysis of the Purchasing Power Parity hypothesis.Read moreRead less
Fractional Integration, Power Laws and Econometric Models: Some Methodological and Theoretical Developments. The fundamental objectives of this project are to: (i) Extend
current econometric practice and consider the use of power laws as
a basis for the construction of a more flexible and realistic
class of models for the analysis of economic and financial time
series. (ii) To develop inferential techniques appropriate for the
modelling of dynamic econometric systems that incorporate
struc ....Fractional Integration, Power Laws and Econometric Models: Some Methodological and Theoretical Developments. The fundamental objectives of this project are to: (i) Extend
current econometric practice and consider the use of power laws as
a basis for the construction of a more flexible and realistic
class of models for the analysis of economic and financial time
series. (ii) To develop inferential techniques appropriate for the
modelling of dynamic econometric systems that incorporate
structure characterized by power laws. This will be achieved by
building upon the class of fractionally integrated processes. New
econometric models and methodologies for the analysis of
non-stationarity series will be developed, along with the
associated theoretical results.Read moreRead less
Australian Real Time Data: Construction, Analysis and Implications for Real Time Policy Making. This first comprehensive macroeconomic real time database for Australia recording the actual data available to policy makers at the time of making decisions will serve as a standard reference for accurate ex post macroeconomic policy evaluation and for accurate forecasts and decision making which are robust to data revisions. The free database will be of interest to Australian researchers, economists, ....Australian Real Time Data: Construction, Analysis and Implications for Real Time Policy Making. This first comprehensive macroeconomic real time database for Australia recording the actual data available to policy makers at the time of making decisions will serve as a standard reference for accurate ex post macroeconomic policy evaluation and for accurate forecasts and decision making which are robust to data revisions. The free database will be of interest to Australian researchers, economists, forecasters and policy makers. Readily applicable and interpretable forecasts of the business cycle and the current state of the Australian (and US) economy (e.g. likelihood of recessions or inflation) will be of direct relevance to Australian policy-makers in Government, the Reserve Bank of Australia, and to the Australian decision-makers. Read moreRead less
Persistence in Economic Time Series: Interpretation, Measurement and Inference. An economic time series is said to be persistent if shocks to the series have a permanent effect. Accurate and unambiguous inferences regarding persistence are crucial to an understanding of the response of the variable to shocks, in particular to policy-induced shocks. In this project we will explore new ways of interpreting, measuring and conducting inference on persistence. The aim is to produce significant theor ....Persistence in Economic Time Series: Interpretation, Measurement and Inference. An economic time series is said to be persistent if shocks to the series have a permanent effect. Accurate and unambiguous inferences regarding persistence are crucial to an understanding of the response of the variable to shocks, in particular to policy-induced shocks. In this project we will explore new ways of interpreting, measuring and conducting inference on persistence. The aim is to produce significant theoretical and methodological advances which, when applied to empirical problems, will enable reliable conclusions to be drawn regarding the propagation of shocks and, hence, the likely impact of interventionist government policies.Read moreRead less
Asset Market Interconnectedness and Exotic Options: The Mean Impact Surface. The project intends to develop models to price financial risk more accurately during periods of financial stress and increasing global interconnectedness. Specifically, it plans to develop a new class of latent factor models with time-varying loadings to model the interconnectedness of global financial markets during periods of financial stress. A key feature of the proposed model is the role of second-order conditional ....Asset Market Interconnectedness and Exotic Options: The Mean Impact Surface. The project intends to develop models to price financial risk more accurately during periods of financial stress and increasing global interconnectedness. Specifically, it plans to develop a new class of latent factor models with time-varying loadings to model the interconnectedness of global financial markets during periods of financial stress. A key feature of the proposed model is the role of second-order conditional moments of the underlying innovation processes in modelling asset return dynamics. The proposed model is characterised by higher order nonlinear structures which are captured graphically by the mean impact surface. The project also plans to develop a new class of tests to detect higher order dependencies among asset returns in the presence of time-varying volatility, and to investigate the implications for constructing portfolios with exotic options to hedge risk during financial crises.Read moreRead less
Dynamic Count Models of Financial Contagion with Applications to Global Banking and Currency Crises. An international model of contagion and interconnectedness is developed and applied using annual time series on banking and currency crises in developed and emerging countries. The model represents a new class of multivariate dynamic count models that allows for important dynamical interactions to capture the transmission of financial crises across national and international asset markets. The p ....Dynamic Count Models of Financial Contagion with Applications to Global Banking and Currency Crises. An international model of contagion and interconnectedness is developed and applied using annual time series on banking and currency crises in developed and emerging countries. The model represents a new class of multivariate dynamic count models that allows for important dynamical interactions to capture the transmission of financial crises across national and international asset markets. The properties of the models are investigated as well as the development of new estimation methods based on simulation techniques. An important implication of the approach is that it can be used as an early warning signal of future crises, thereby providing an input into the design of future policy on crisis management.Read moreRead less