ORCID Profile
0000-0003-2380-6747
Current Organisation
University of Sydney
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In Research Link Australia (RLA), "Research Topics" refer to ANZSRC FOR and SEO codes. These topics are either sourced from ANZSRC FOR and SEO codes listed in researchers' related grants or generated by a large language model (LLM) based on their publications.
Macroeconomics (incl. Monetary and Fiscal Theory) | Economic Models and Forecasting | Time-Series Analysis | Econometrics | Applied Economics | Econometric and Statistical Methods | Financial Economics |
Fiscal Policy | Expanding Knowledge in Economics | Demography | Economic Growth | Macroeconomics not elsewhere classified | Monetary Policy | Savings and Investments
Publisher: Wiley
Date: 2005
DOI: 10.1002/JAE.831
Publisher: Wiley
Date: 03-2007
DOI: 10.1111/J.0022-2879.2007.00038.X
Abstract: This paper investigates the relationship between aggregate consumption and permanent income using a new approach to the estimation of cointegrated systems that builds on Stock and Watson's common stochastic trends representation. The permanent and transitory movements in aggregate income and consumption are estimated directly using the Kalman filter and are allowed to be correlated. This approach avoids any implicit restriction that permanent income be as smooth as consumption. Instead, permanent income appears to be relatively volatile, with consumption adjusting toward it only slowly over time. These results provide a clear rejection of the standard version of the permanent income hypothesis and are suggestive of alternative theories of consumption behavior such as habit formation or precautionary savings.
Publisher: Elsevier BV
Date: 05-2014
Publisher: Elsevier BV
Date: 03-2002
Publisher: MIT Press - Journals
Date: 05-2003
Publisher: Springer Science and Business Media LLC
Date: 11-06-2022
Publisher: MIT Press - Journals
Date: 03-2022
DOI: 10.1162/REST_A_00957
Abstract: Since the Great Recession in 2007–2009, U.S. real GDP has failed to return to its previously projected path, a phenomenon widely associated with secular stagnation. We investigate whether this stagnation was due to hysteresis effects from the Great Recession, a persistent negative output gap following the recession, or slower trend growth for other reasons. To do so, we develop a new Markov-switching time series model of output growth that accommodates two different types of recessions: those that permanently alter the level of real GDP and those with only temporary effects. We also account for structural change in trend growth. Estimates from our model suggest that the Great Recession generated a large, persistent negative output gap rather than any substantial hysteresis effects, with the economy eventually recovering to a lower trend path that appears to be due to a reduction in productivity growth that began prior to the onset of the Great Recession.
Publisher: Walter de Gruyter GmbH
Date: 25-09-2018
Abstract: Within the context of threshold regressions, we show that asymptotically-valid likelihood-ratio-based confidence intervals for threshold parameters perform poorly in finite s les when the threshold effect is large. A large threshold effect leads to a poor approximation of the profile likelihood in finite s les such that the conventional approach to constructing confidence intervals excludes the true threshold parameter value too often, resulting in low coverage rates. We propose a conservative modification to the standard likelihood-ratio-based confidence interval that has coverage rates at least as high as the nominal level, while still being informative in the sense of including relatively few observations of the threshold variable. An application to thresholds for US industrial production growth at a disaggregated level shows the empirical relevance of applying the proposed approach.
Publisher: Elsevier BV
Date: 03-2015
Publisher: Elsevier BV
Date: 2023
Publisher: Cambridge University Press (CUP)
Date: 02-2011
DOI: 10.1086/657942
Abstract: Limited data on the risk of peripherally inserted central venous catheter-associated bloodstream infections (PICC BSIs) in hospitalized patients are available. In 2007, dedicated intravenous therapy nurses were no longer available to place difficult peripheral intravenous catheters or provide PICC care Barnes-Jewish Hospital. To determine the hospital-wide incidence of PICC BSIs and to assess the effect of discontinuing intravenous therapy service on PICC use and PICC BSI rates. A 1,252-bed tertiary care teaching hospital. A 31-month retrospective cohort study was performed. PICC BSIs were defined using National Healthcare Safety Network criteria. In total, 163 PICC BSIs were identified (3.13 BSIs per 1,000 catheter-days). PICC use was higher in intensive care units (ICUs) than non-ICU areas (PICC utilization ratio, 0.109 vs 0.059 catheter-days per patient-day for ICU vs non-ICU rate ratio [RR], 1.84 [95% confidence interval {CI}, 1.78-1.91]). PICC BSI rates were higher in ICUs (4.79 vs 2.79 episodes per 1,000 catheter-days RR, 1.7 [95% CI, 1.10-2.61]). PICC use increased hospital-wide after the intravenous therapy service was discontinued (0.049 vs 0.097 catheter-days per patient-day P = .01), but PICC BSI rates did not change (2.68 vs 3.63 episodes per 1,000 catheter-days P = .06). Of PICC BSIs, 73% occurred in non-ICU patients. PICC use and PICC BSI rates were higher in ICUs however, most of the PICC BSIs occurred in non-ICU areas. Reduction in intravenous therapy services was associated with increased PICC use across the hospital, but PICC BSI rates did not increase.
Publisher: Elsevier BV
Date: 12-2023
Publisher: Oxford University Press (OUP)
Date: 2022
DOI: 10.1093/OOEC/ODAB002
Abstract: We consider which labor market variables are the most informative for estimating and nowcasting the US output gap using a multivariate trend-cycle decomposition. Although the unemployment rate clearly contains important cyclical information, it also appears to reflect more persistent movements related to labor force participation that could distort inferences about the output gap. Instead, we show that the alternative U-2 unemployment rate (job losers as a percentage of the labor force) provides a more purely cyclical indicator of labor market conditions. To a lesser extent, but consistent with a link of the output gap to real labor costs in a New Keynesian setting, we also find that average hourly earnings are informative about the output gap.
Publisher: Walter de Gruyter GmbH
Date: 05-11-2014
Abstract: We investigate the effects of government spending on US output with a threshold structural vector autoregressive model. We consider Bayesian model comparison and generalized impulse response analysis to test for nonlinearities in the responses of output to government spending. Our empirical findings support state-dependent effects of fiscal policy, with the government spending multiplier larger and more persistent whenever there is considerable economic slack. Based on capacity utilization as the preferred threshold variable, the estimated multiplier is large (1.6) for a low-utilization regime that accounts for more than half of the s le observations from 1967 to 2012 according to the estimated threshold level.
Publisher: Cambridge University Press (CUP)
Date: 03-2014
DOI: 10.1086/675292
Abstract: Determine whether daily bathing with chlorhexidine-based soap decreased methicillin-resistant Staphylococcus aureus (MRSA) transmission and intensive care unit (ICU)-acquired S. aureus infection among ICU patients. Prospective pre-post-intervention study with control unit. A 1,250-bed tertiary care teaching hospital. Medical and surgical ICU patients. Active surveillance for MRSA colonization was performed in both ICUs. In June 2005, a chlorhexidine bathing protocol was implemented in the surgical ICU. Changes in S. aureus transmission and infection rate before and after implementation were analyzed using time-series methodology. The intervention unit had a 20.68% decrease in MRSA acquisition after institution of the bathing protocol (12.64 cases per 1,000 patient-days at risk before the intervention vs 10.03 cases per 1,000 patient-days at risk after the intervention β , −2.62 [95% confidence interval (CI), −5.19 to −0.04] P = .046). There was no significant change in MRSA acquisition in the control ICU during the study period (10.97 cases per 1,000 patient-days at risk before June 2005 vs 11.33 cases per 1,000 patient-days at risk after June 2005 β , −11.10 [95% CI, −37.40 to 15.19] P = .40). There was a 20.77% decrease in all S. aureus (including MRSA) acquisition in the intervention ICU from 2002 through 2007 (19.73 cases per 1,000 patient-days at risk before the intervention to 15.63 cases per 1,000 patient-days at risk after the intervention [95% CI, −7.25 to −0.95] P = .012)]. The incidence of ICU-acquired MRSA infections decreased by 41.37% in the intervention ICU (1.96 infections per 1,000 patient-days at risk before the intervention vs 1.15 infections per 1,000 patient-days at risk after the intervention P = .001). Institution of daily chlorhexidine bathing in an ICU resulted in a decrease in the transmission of S. aureus , including MRSA. These data support the use of routine daily chlorhexidine baths to decrease rates of S. aureus transmission and infection.
Publisher: Cambridge University Press (CUP)
Date: 08-03-2016
DOI: 10.1017/S1365100515000437
Abstract: In the aftermath of the global financial crisis, competing measures of the trend in macroeconomic variables such as U.S. real GDP have featured prominently in policy debates. A key question is whether large shocks to macroeconomic variables will have permanent effects—i.e., in econometric terms, do the data contain stochastic trends? Unobserved-components models provide a convenient way to estimate stochastic trends for time series data, with their existence typically motivated by stationarity tests that allow at most a deterministic trend under the null hypothesis. However, given the small s le sizes available for most macroeconomic variables, standard Lagrange multiplier tests of stationarity will perform poorly when the data are highly persistent. To address this problem, we propose the use of a likelihood ratio test of stationarity based directly on the unobserved-components models used in estimation of stochastic trends. We demonstrate that a bootstrap version of this test has far better small-s le properties for empirically relevant data-generating processes than bootstrap versions of the standard Lagrange multiplier tests. An application to U.S. real GDP produces stronger support for the presence of large permanent shocks using the likelihood ratio test than using the standard tests.
Publisher: Cambridge University Press (CUP)
Date: 19-12-2015
DOI: 10.1017/S1365100513000655
Abstract: We investigate the importance of trend inflation and the real-activity gap in explaining inflation in G7 countries since 1960. Our analysis is based on a bivariate unobserved components model of inflation and unemployment in which inflation is decomposed into a stochastic trend and a transitory component. As in recent implementations of the New Keynesian Phillips Curve, it is the transitory component of inflation, or “inflation gap,” that is driven by the real-activity gap, which we measure as the deviation of unemployment from its natural rate. We find that both trend inflation and the inflation gap have been consistent and substantial determinants of inflation at business cycle horizons for all G7 countries since 1960. Also, the real-activity gap explains a large fraction of the variation in the inflation gap for each country. These results provide empirical support for the New Keynesian Phillips Curve augmented with trend inflation.
Publisher: Informa UK Limited
Date: 15-06-2005
Publisher: Elsevier BV
Date: 03-2006
Publisher: Cambridge University Press (CUP)
Date: 24-01-2019
DOI: 10.1017/S1365100518000913
Abstract: We consider a model-averaged forecast-based estimate of the output gap to measure economic slack in 10 industrialized economies. Our measure takes changes in the long-run growth rate into account and, by addressing model uncertainty using equal weights on different forecast-based estimates, is robust to different assumptions about the underlying structure of the economy. For all 10 countries in the s le, we find that the estimated output gap has much larger negative movements during recessions than positive movements in expansions, suggesting business cycle asymmetry is an intrinsic characteristic of industrialized economies. Furthermore, the estimated output gap is always strongly negatively correlated with future output growth and unemployment and positively correlated with capacity utilization. It also implies a convex Phillips Curve in many cases. The model-averaged output gap is reliable in real time in the sense of being subject to relatively small revisions.
Publisher: Springer Science and Business Media LLC
Date: 08-07-2019
Publisher: Walter de Gruyter GmbH
Date: 27-07-2021
Abstract: We investigate the effects of discretionary changes in government spending and taxes using a medium-scale nonlinear vector autoregressive model with policy shocks identified via sign restrictions. Tax cuts and spending increases have larger stimulative effects when there is excess slack in the economy, while they are much less effective, especially in the case of government spending increases, when the economy is close to potential. We find that contractionary shocks have larger effects than expansionary shocks across the business cycle, but this is much more pronounced during deep recessions and sluggish recoveries than in robust expansions. Notably, tax increases are highly contractionary and largely self-defeating in reducing the debt-to-GDP ratio when the economy is in a deep recession. The effectiveness of discretionary government spending, including its state dependence, appears to be almost entirely due to the response of consumption. The responses of both consumption and investment to discretionary tax changes are state dependent, but investment plays the larger quantitative role.
Publisher: Wiley
Date: 19-04-2020
Publisher: Walter de Gruyter GmbH
Date: 2013
Publisher: Walter de Gruyter GmbH
Date: 09-01-2009
Publisher: Elsevier BV
Date: 06-2017
Publisher: Elsevier BV
Date: 10-2008
Publisher: Wiley
Date: 19-11-2019
DOI: 10.1002/JAE.2733
Abstract: We consider how to estimate the trend and cycle of a time series, such as real gross domestic product, given a large information set. Our approach makes use of the Beveridge–Nelson decomposition based on a vector autoregression, but with two practical considerations. First, we show how to determine which conditioning variables span the relevant information by directly accounting for the Beveridge–Nelson trend and cycle in terms of contributions from different forecast errors. Second, we employ Bayesian shrinkage to avoid overfitting in finite s les when estimating models that are large enough to include many possible sources of information. An empirical application with up to 138 variables covering various aspects of the US economy reveals that the unemployment rate, inflation, and, to a lesser extent, housing starts, aggregate consumption, stock prices, real money balances, and the federal funds rate contain relevant information beyond that in output growth for estimating the output gap, with estimates largely robust to substituting some of these variables or incorporating additional variables.
Publisher: Cambridge University Press (CUP)
Date: 16-12-2015
DOI: 10.1017/S1365100513000643
Abstract: Time series analysis of macroeconomic and financial variables requires a deep understanding of many econometric pitfalls if an empirical researcher hopes to avoid making spurious inferences. This understanding is the hallmark of Charles Nelson's research over four decades and it develops out of a healthy skepticism about “conventional wisdom,” yet a pragmatic belief that, despite the econometric hurdles, it is possible to learn from data. The papers in this special issue build on Charles Nelson's research legacy to address many important empirical questions related to business cycles, financial markets, and inflation, always with respect for the data, but wary of spurious inferences.
Publisher: The Econometric Society
Date: 07-2015
DOI: 10.3982/QE186
Publisher: Wiley
Date: 17-05-2016
DOI: 10.1111/JMCB.12315
Publisher: Informa UK Limited
Date: 07-07-2023
Publisher: MIT Press - Journals
Date: 07-2018
DOI: 10.1162/REST_A_00691
Abstract: The Beveridge-Nelson decomposition based on autoregressive models produces estimates of the output gap that are strongly at odds with widely held beliefs about transitory movements in economic activity. This is due to parameter estimates implying a high signal-to-noise ratio in terms of the variance of trend shocks as a fraction of the overall forecast error variance. When we impose a lower signal-to-noise ratio, the resulting Beveridge-Nelson filter produces a more intuitive estimate of the output gap that is large in litude and highly persistent, and it typically increases in expansions and decreases in recessions. Notably, our approach is also reliable in the sense of being subject to smaller revisions and predicting future output growth and inflation better than other trend-cycle decompositions that impose a low signal-to-noise ratio.
Publisher: Wiley
Date: 11-2007
DOI: 10.1002/JAE.978
Publisher: Informa UK Limited
Date: 04-2005
Publisher: Wiley
Date: 20-12-2019
Publisher: Elsevier BV
Date: 09-2001
Publisher: Wiley
Date: 16-05-2021
DOI: 10.1002/JAE.2820
Abstract: Blundell, Pistaferri, and Preston ( American Economic Review , 2008, 98(5), 1887–1921) report an estimate of household consumption insurance with respect to permanent income shocks of 36%. In replicating findings for their model and data, we find that this estimate is distorted by a code error and is not robust to weighting scheme for generalized method of moments (GMM) or consideration of quasi maximum likelihood estimation (QMLE), which produces a significantly higher estimate of consumption insurance at 55%. For sub‐groups by age and education, the differences between estimates across methods are even more pronounced, and QMLE provides new insights into heterogeneity across households compared to the original study. Monte Carlo experiments using non‐normal shocks suggest that consumption insurance estimates for the model are more accurate for QMLE than GMM, including when correcting for bias and especially given a smaller s le such as is only available when looking at sub‐groups.
Publisher: Elsevier BV
Date: 09-2015
Publisher: MIT Press - Journals
Date: 02-2012
DOI: 10.1162/REST_A_00169
Publisher: Cambridge University Press (CUP)
Date: 10-06-2011
DOI: 10.1017/S1365100510000118
Abstract: The Beveridge–Nelson decomposition calculates trend and cycle for an integrated time series. However, there are two ways to interpret the results from the decomposition. One interpretation is that the optimal long-run forecast (minus any deterministic drift) used to calculate the Beveridge–Nelson trend corresponds to an estimate of an unobserved permanent component. The other interpretation is that the optimal long-run forecast defines an observable permanent component. This paper examines some issues surrounding these two interpretations and provides empirical support for interpreting the Beveridge–Nelson trend as an estimate when considering macroeconomic data.
Publisher: Elsevier BV
Date: 03-2007
Publisher: Springer New York
Date: 27-08-2014
Publisher: Informa UK Limited
Date: 24-06-2011
Publisher: Springer Science and Business Media LLC
Date: 10-2009
DOI: 10.1057/BE.2009.33
Publisher: Elsevier BV
Date: 04-2023
Publisher: Springer Science and Business Media LLC
Date: 06-04-2018
Location: United States of America
Start Date: 2014
End Date: 2016
Funder: Australian Research Council
View Funded ActivityStart Date: 2019
End Date: 2021
Funder: Australian Research Council
View Funded ActivityStart Date: 2013
End Date: 2015
Funder: Australian Research Council
View Funded ActivityStart Date: 2022
End Date: 2024
Funder: Australian Research Council
View Funded ActivityStart Date: 2019
End Date: 2021
Funder: Australian Research Council
View Funded ActivityStart Date: 03-2014
End Date: 12-2017
Amount: $210,000.00
Funder: Australian Research Council
View Funded ActivityStart Date: 07-2019
End Date: 12-2023
Amount: $349,000.00
Funder: Australian Research Council
View Funded ActivityStart Date: 2013
End Date: 12-2016
Amount: $152,000.00
Funder: Australian Research Council
View Funded ActivityStart Date: 07-2022
End Date: 06-2025
Amount: $199,649.00
Funder: Australian Research Council
View Funded ActivityStart Date: 2019
End Date: 12-2021
Amount: $317,610.00
Funder: Australian Research Council
View Funded Activity