A Multivariate Dynamic Factor Model of the Australian Business Cycle: Specification, Estimation and Empirical Results. The project aims to extend greatly existing models of national and international business cycles by developing a general class of dynamic factor models for Australia. The project provides a significant contribution to business cycle modelling by solving the intractability problems common to existing classes of dynamic factor models. A key innovation is the development of a simul ....A Multivariate Dynamic Factor Model of the Australian Business Cycle: Specification, Estimation and Empirical Results. The project aims to extend greatly existing models of national and international business cycles by developing a general class of dynamic factor models for Australia. The project provides a significant contribution to business cycle modelling by solving the intractability problems common to existing classes of dynamic factor models. A key innovation is the development of a simulation based estimator to circumvent the statistical and computational problems associated with existing estimators. The expected outcome of the project will be a more reliable way to monitor the phases of the cycle and forecast turning points, which will be of substantial national benefit.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
Trending time series models with non- and semi-parametric methods. The outcomes of this project will not only complement but also enhance the existing strengths and reputation of Australian researchers in the field of econometrics. The outcomes are also expected to help improve model building and forecasting from better models in climatology, economics, environmetrics and financial econometrics.
The US Interest Rate Conundrum and its Implications for Australia. The project generalises existing factor models of interest rates. The project will result in several benefits nationally as well as internationally. As U.S. interest rates and U.S. monetary policy in general are important determinants of interest rates in Australia, the project will lead to an improved understanding of the international mechanism linking interest rates. This will also provide a better framework in which to unders ....The US Interest Rate Conundrum and its Implications for Australia. The project generalises existing factor models of interest rates. The project will result in several benefits nationally as well as internationally. As U.S. interest rates and U.S. monetary policy in general are important determinants of interest rates in Australia, the project will lead to an improved understanding of the international mechanism linking interest rates. This will also provide a better framework in which to understand and monitor monetary policy in Australia. An important aspect of the project is the development of new testing procedures that improve upon existing nonparametric methods.Read moreRead less
Non- and Semi-Parametric Panel Data Econometrics: Theory and Applications. This project proposes to tackle several very important and difficult issues in modelling general climatological, economic and financial panel data that involve possible trending components. This project seeks to establish some general asymptotic theory for model estimation and specification technologies that are suited to such general nonlinear panel data that may be stochastically non-stationary and endogenous. The resea ....Non- and Semi-Parametric Panel Data Econometrics: Theory and Applications. This project proposes to tackle several very important and difficult issues in modelling general climatological, economic and financial panel data that involve possible trending components. This project seeks to establish some general asymptotic theory for model estimation and specification technologies that are suited to such general nonlinear panel data that may be stochastically non-stationary and endogenous. The research outcomes of this project are expected to be applicable in evaluating and improving empirical model building and forecasting from better models in climatology, economics and finance with possible endogeneity and nonlinearity and non-stationarity.Read moreRead less
Modelling the Transmission of International Monetary Policy Shocks: Implications for Australian Asset Markets. Three main outcomes of the project are as follows. First, the relative strengths of the transmission mechanisms linking monetary policy and asset markets will be better identified. This will lead to a better understanding of monetary policy thereby enabling the Reserve Bank to achieve its policy goals of inflation operating at or near the target rate, and for currency markets to exhibit ....Modelling the Transmission of International Monetary Policy Shocks: Implications for Australian Asset Markets. Three main outcomes of the project are as follows. First, the relative strengths of the transmission mechanisms linking monetary policy and asset markets will be better identified. This will lead to a better understanding of monetary policy thereby enabling the Reserve Bank to achieve its policy goals of inflation operating at or near the target rate, and for currency markets to exhibit stability. Second, a number of empirical puzzles relating to monetary policy and asset markets in general, that exist in the empirical literature, will be solved. Third, the project will lead to a number of international papers which will add to the international reputation of Australia as a leading research nation.Read moreRead less
Inference in partially non-stationary time series models. Economic theories typically specify the long-run relationship between economic variables. However, researchers usually examine the long-run features of the data by fitting a restrictive class of models using criteria that have only proven useful for short-term forecasting. In this project we consider alternative models and modelling strategies that are appropriate for the study of the long-run. We also develop computer intensive (bootstra ....Inference in partially non-stationary time series models. Economic theories typically specify the long-run relationship between economic variables. However, researchers usually examine the long-run features of the data by fitting a restrictive class of models using criteria that have only proven useful for short-term forecasting. In this project we consider alternative models and modelling strategies that are appropriate for the study of the long-run. We also develop computer intensive (bootstrap) methods, which will provide a much-needed improvement over the existing (asymptotic) methods for making inference about the long-run. Our research will lead to more reliable models for long-term planning in business, industry and government.Read moreRead less
Vector ARMA Models and Macroeconomic Modelling: Some New Methodology and Algorithms. Economic variables are strongly related to each other, as well as being strongly related to their recent history. As a result, good dynamic multivariate models are crucial for effective policy making and forecasting in areas of vital national importance such as monetary and fiscal policy, environmental policy and tourism. Our project advances the frontiers of knowledge in multivariate time series modelling. The ....Vector ARMA Models and Macroeconomic Modelling: Some New Methodology and Algorithms. Economic variables are strongly related to each other, as well as being strongly related to their recent history. As a result, good dynamic multivariate models are crucial for effective policy making and forecasting in areas of vital national importance such as monetary and fiscal policy, environmental policy and tourism. Our project advances the frontiers of knowledge in multivariate time series modelling. The outcome of this project will be immediately useful for macroeconomic policy makers such as the Reserve Bank of Australia and the Treasury, and for industry bodies such as Tourism Australia. Read moreRead less
New Statistical Procedures for Analysing Dependence in Non-Gaussian Time Series Data. In the economic, finance and business spheres, statistical data is often discrete, binary, strictly positive, or characterized by an uneven distribution of values above and below the average. Prominent examples are the high frequency financial data that have become accessible with the computerization of financial markets, including the number of trades in successive time intervals, the direction of price change ....New Statistical Procedures for Analysing Dependence in Non-Gaussian Time Series Data. In the economic, finance and business spheres, statistical data is often discrete, binary, strictly positive, or characterized by an uneven distribution of values above and below the average. Prominent examples are the high frequency financial data that have become accessible with the computerization of financial markets, including the number of trades in successive time intervals, the direction of price changes, the time between trades and the return on a financial asset over short periods. This project develops a range of new statistical tools that will enable both researchers and practitioners to analyze the dynamic behaviour in such data and thereby validate and implement a range of financial models.Read moreRead less
Macroeconomic forecasting in a 'Big Data' world. This project will develop methods for forecasting important macroeconomic variables where a large set of predictors is available. As well as raw variables and composite indices such as principal components. This project will also include various lags and nonlinear functions of potential predictors. The project will adapt Bayesian statistical methods for selecting these predictors so that they can be applied to time series data, thus developing inn ....Macroeconomic forecasting in a 'Big Data' world. This project will develop methods for forecasting important macroeconomic variables where a large set of predictors is available. As well as raw variables and composite indices such as principal components. This project will also include various lags and nonlinear functions of potential predictors. The project will adapt Bayesian statistical methods for selecting these predictors so that they can be applied to time series data, thus developing innovative forecasting methods that can be used on a range of important problems involving 'Big Data'. The project will compare forecasts from different methods using simulated and empirical data from the US and Australia. For the latter an outcome will be an online handbook of available Australian economic data for public use.Read moreRead less