Detecting financial contagion using high frequency data. Financial crises spread extraordinarily quickly. However, existing tools for measuring this spread use relatively low frequency data. This project develops tools for measuring and detecting periods of stress and the effects of financial contagion in financial markets, using high frequency data based on recorded transaction prices.
Commodity cycles. The implications of resource demand by emerging markets are issues policy makers need to understand. This project address these by focusing on currency, equity and commodity linkages, the financial market and macroeconomic effects of currency collapse, and the role of emerging markets in mitigating/amplifying economic shock transmission.