ORCID Profile
0000-0003-2816-1749
Current Organisation
Bond University
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Finance | Financial econometrics | Banking finance and investment
Publisher: Elsevier BV
Date: 03-2022
Publisher: Elsevier BV
Date: 03-2013
Publisher: Informa UK Limited
Date: 16-04-2018
Publisher: Elsevier BV
Date: 2013
DOI: 10.2139/SSRN.2307307
Publisher: SAGE Publications
Date: 28-04-2014
Abstract: Given the nature of East Asia’s economic structure, interregional exchange rate stability is an essential requirement for regional economic integration. One way to achieve exchange rate stability is for the region to adopt an anchor currency. However, the choice of a potential anchor is an important question for policy planners. This paper examines the role of 5 major currencies as candidates for an anchor currency in the East Asian region. In particular, the paper examines the dynamic linkages between a selected s le of East Asian currencies with each potential anchor currency, the Australian dollar, Japanese yen, euro, US dollar and Chinese renminbi. Utilizing a recently developed test procedure which distinguishes the long-run Granger non-causality from that in the short-run, this paper does not find any support to the much debated emergence of a yen bloc, euro bloc, or koala bloc. The empirical evidence brought forward in this paper suggests that the US dollar is still a dominant currency in the East Asian region.
Publisher: Elsevier BV
Date: 07-2004
Publisher: Elsevier BV
Date: 10-2005
Publisher: Informa UK Limited
Date: 05-2013
Publisher: Informa UK Limited
Date: 10-06-2004
Publisher: Springer Science and Business Media LLC
Date: 28-02-2015
Publisher: Center for Economic Integration
Date: 15-03-2005
Publisher: Elsevier BV
Date: 12-2002
Publisher: MDPI AG
Date: 29-06-2021
DOI: 10.3390/JRFM14070297
Abstract: Fiscal vulnerability, like a contagion, poses a threat to financial sector stability, which can lead towards sovereign default. This study aimed to assess fiscal vulnerability to crisis by investigating the Australian economy’s gross public debt, net public debt, and net financial liabilities. We used a threshold regression model and compared results with the baseline deficit–debt framework of analysis. The results of the base model suggested that the economy is fiscally sustainable, and that the primary surplus remains unaffected by increasing levels of public debt. In contrast, the threshold regression model indicated that the increasing level of debt has eroded primary surplus below the threshold level of 30.89% of public debt to GDP. These results need further investigation. Therefore, we modified our basic threshold model to capture budget deficit and surplus as a threshold in response to changes in public debt. The results from the sequential threshold regression model using the debt to GDP ratio and primary budget surplus identifying the periods of 1991, 1992, 2008, 2009, 2011 and 2019 as times of likely vulnerability to fiscal crisis. The overall results confirmed that the primary surplus remained sustainable over the estimated threshold level of public debt in all other s le periods and these findings persisted across alternative measures of public debt.
Publisher: WORLD SCIENTIFIC
Date: 30-03-2023
Publisher: Elsevier BV
Date: 12-2008
Publisher: Oxford University Press (OUP)
Date: 21-11-2008
DOI: 10.1093/OEP/GPN002
Publisher: Wiley
Date: 16-10-2020
DOI: 10.1111/ACFI.12546
Publisher: Routledge
Date: 10-09-2009
Publisher: Cambridge University Press
Date: 13-01-2022
Publisher: SAGE Publications
Date: 10-04-2012
Abstract: This study considers the time series relationship between bank fee income and bank net interest margins in Australia, applying panel vector autoregressions to a unique, hand-collected dataset. Increases in bank fee income are being used to supplement decreases in net interest margins. The increase in magnitude of fee income associated with reductions in margin income is smaller than the decrease in net interest margins, resulting in a net wealth transfer favouring users of bank services although not all users of bank services gained and/or gained equally. The overall increase in fee income is marginally greater that the reduction in margin income. It is argued that banks have responded to falling margin revenue by increasing their range of fee-based services, especially insurance. Increases in fee income are found to pre-date declines in margin income, thus Australian banks were pro-active in the process of disintermediation. JEL Classifications: G21, G11, C33
Publisher: MDPI AG
Date: 15-06-2018
Publisher: Elsevier BV
Date: 02-2022
Publisher: Emerald
Date: 12-04-2023
Abstract: The authors analyse six actively traded VIX Exchange Traded Products (ETPs) including 1x long, −1x inverse and 2x leveraged products. The authors assess their impact on the VIX Futures index benchmark. Long-run causal relations between daily price movements in ETPs and futures are established, and the impact of rebalancing activity of leveraged and inverse ETPs evidenced through causal relations in the last 30 min of daily trading. High frequency lead lag relations are observed, demonstrating opportunities for arbitrage, although these tend to be short-lived and only material in times of market dislocation. The causal relations between VXX and VIX Futures are well established with leads and lags generally found to be short-lived and arbitrage relations holding. The authors go further to capture 1x long, −1x inverse as well as 2x leveraged ETNs and the corresponding ETFs, to give a broad representation across the ETP market. The authors establish causal relations between inverse and leveraged products where causal relations are not yet documented.
Publisher: Elsevier BV
Date: 2013
Publisher: Wiley
Date: 09-2004
DOI: 10.1002/FOR.922
Publisher: SAGE Publications
Date: 02-11-2020
Abstract: We extend the empirical analysis of hot hands in sports to horse racing, using the winning streaks of a s le of jockeys riding in Australia. Grouping jockeys by strike rate (win percentage), we find evidence of hot hands across almost all strike rates. But considering jockeys in idually, only a minority exhibit hot hands. A wagering strategy based on hot hands yields a negative return overall and for most hot hand jockeys, although some do yield a positive return. We conclude that hot hands are present but not ubiquitous and that this is generally recognised in the betting market. JEL Classification: C53, D81, D84
Publisher: Springer Science and Business Media LLC
Date: 14-05-2019
Publisher: Wiley
Date: 18-08-2009
Publisher: Elsevier BV
Date: 05-2021
Publisher: IEEE
Date: 09-12-2021
Publisher: MDPI AG
Date: 07-10-2021
DOI: 10.3390/JRFM14100471
Abstract: Falling energy intensity (increasing efficiency) is believed to be a result of more efficient production methods that have evolved over time, indicating overall sustainability in the production process. The objective of this study is to investigate the diminishing trend of energy intensity and the related volatilities in growth of energy consumption and income growth through the energy–growth nexus. The country specific long-run and short-run causal relationships among real energy consumption per capita, real GDP per capita, and the volatilities of growth in income and the growth in energy consumption are established using the method proposed by Yamamoto–Kurozumi within a cointegration framework in 48 countries. The overall findings suggest that energy intensity is falling, in conjunction with the existing evidence on the energy–growth nexus in most of the countries studied hence, implicitly this confirms sustainability. The results based on volatility analysis show a significant decrease in energy use in response to increasing income growth volatility. The negative effects of income growth volatility on energy consumption are usually countered through compensation measures, with subsidies provided to households and producers in order to smooth the energy consumption behaviours in those economies.
Publisher: Elsevier BV
Date: 10-2023
Publisher: Informa UK Limited
Date: 12-2008
Start Date: 2023
End Date: 12-2025
Amount: $250,855.00
Funder: Australian Research Council
View Funded Activity