Discovery Projects - Grant ID: DP140102137

Funding Activity

Website
http://dataportal.arc.gov.au/NCGP/Web/Grant/Grant/DP140102137

Funding Status
Closed

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Funded Activity Summary

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.

Funded Activity Details

Start Date: 01-01-2014

End Date: 31-12-2017

Funding Scheme: Discovery Projects

Funding Amount: $258,000.00

Funder: Australian Research Council

Research Topics

ANZSRC Field of Research (FoR)

Time-Series Analysis | Financial Economics | Applied Economics |

ANZSRC Socio-Economic Objective (SEO)

Economic Framework not elsewhere classified | Monetary Policy

Other Keywords

Applied Economics | Economic Framework not elsewhere classified | Financial Economics | Monetary Policy | Time-Series Analysis

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