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Decomposing changes in the cost of living, degree choice and outcomes, mortgage choice, and demographic demand systems.
Public choice and Leadership.
The inter-sectoral effects of outsourcing on employment.
My work is tied together by an interest in measuring the impact of international financial markets on small open economies. There are three major streams to this interest. The first is macroeconomic modelling, the second the transmission of financial market shocks, and the third in high frequency financial market data. Recent work on macroeconomic modelling includes developing models which are able to empirically examine both fiscal and monetary policy in a single framework, a model for the Australian economy and models which are able to examine interdependent economies, particularly the US and Euro Area. In finance I am currently working on the global financial crisis and measures of contagion in that crisis, building on my previous work in crises in the late 1990s developing methods of understanding and quantifying contagion effects. As a consequence of my interest in financial crises I have a large project on ultra high frequency financial markets, looking primarily at the behaviour of US Treasury markets. This research agenda includes examination of price discontinuities in US Treasury spot markets and how they may relate to other assets, as well as characterizing the trade time duration of these markets.
Innovation Contract Design: The aim of this research is to investigate the design of research agreements in a model of innovation where a developer is in the business of licensing its new technology to its competitors. This will contribute to generalizing the complete information innovation contracting literature to incomplete information environments. In doing so, the practical implementation aspects of innovation management will be analysed in the more realistic and institutionally richer incomplete information environment. The research has two components; an incentive system approach and an incomplete contracting approach.
Current Projects
Behavioural economics, pricing and macroeconomics: This is an ongoing project, which aims to understand how market imperfections, particularly with a psychological basis (e.g. loss aversion) affects prices, and thus macroeconomic performance. It is conducted principally in conjunction with Professor Ian McDonald (University of Melbourne).
Pricing and Access to National Parks. It is often desirable to regulate access to national parks and other natural areas. However the methods used to regulate access in practice are usually inefficient. This project aims to identify the efficient access level, and discuss problems associated with achieving that access level in practice.
Urban water pricing. This project grew from my involvement as “Assistant Commissioner” at the Government Prices Oversight Commission on various investigations into urban water pricing. On mainland Australia there is often said to be a “water crisis”. This project aims to identify the best response to this crisis, and compare that to current policy. Broadly speaking, I argue that the current crisis has its roots in inappropriate pricing principles adopted by water authorities.
The determination of goods quality. This project involves improving the fundamental way in which theoretical economic modelling of quality determination is conducted. It aims to model how the variations in customers substitutability of quality for quantity influences pricing and market structure. This approach has many possible applications, including determining the relationship between market structure and quality determination.
The use of market based instruments in fishery management. The project will evaluate alternative auction structures for landings and by-catch quotas in single and multiple species fisheries using experimental economic techniques. The experimental settings will be calibrated to case study regions using bio-economic models.
A game theory study of water management in the Murray Darling Basin. The Murray Darling is governed by five sovereign states and territories. This project will develop a game theory model of the strategy sets to determine if a cooperative outcome is achievable and/or the conditions under which a cooperative agreement could be developed.
WARP profileAnalysis of Australian mortgage markets. This research is directed to understanding questions of the following kind: Do mortgage applicants get equally good advice from brokers and banks? Do applicants make efficient choices when deciding between fixed and flexible rate mortgages? Is there any evidence of different products or terms being offered to different groups of applicants? Do first home buyers behave differently to investors or repeat purchasers?
Using robust portfolio optimization techniques I investigate the two main routes investors can use to capitalize on the advantages of international diversification: i) to invest in foreign markets indirectly, that is, to invest in US multinational corporations with a large presence abroad; ii) to invest directly in foreign markets by purchasing Exchange Traded Funds (ETFs) which are listed on the New York Stock Exchange (NYSE) and based on foreign stock indexes, as well as stocks of foreign companies listed as American Depositary Receipts (ADRs) or as regular stocks on the NYSE. I am interested in the evolution of weights of these international portfolios through time.
My concurrent project is based on event studies. Event study is a statistical method to assess the impact of an event on the value of a firm. The basic idea is to find the abnormal return attributable to the event being studied by adjusting for the return that stems from the price fluctuation of the market as a whole. While empirical investigation of recently developed techniques is of paramount importance (e.g. assessing size and power of the tests), applications of these event study methods has a very broad spectrum. In particular, I am interested in investigating the impact of i) negative environmental news on the value of gas and oil companies; ii) natural disasters on financial markets.
In addition I am working on devising a non-parametric co-integration test suitable for series with multiple structural breaks at unknown dates.
My work is tied together by an interest in measuring the impact of international financial markets on small open economies. There are three major streams to this interest. The first is macroeconomic modelling, the second the transmission of financial market shocks, and the third in high frequency financial market data. Recent work on macroeconomic modelling includes developing models which are able to empirically examine both fiscal and monetary policy in a single framework, a model for the Australian economy and models which are able to examine interdependent economies, particularly the US and Euro Area. In finance I am currently working on the global financial crisis and measures of contagion in that crisis, building on my previous work in crises in the late 1990s developing methods of understanding and quantifying contagion effects. As a consequence of my interest in financial crises I have a large project on ultra high frequency financial markets, looking primarily at the behaviour of US Treasury markets. This research agenda includes examination of price discontinuities in US Treasury spot markets and how they may relate to other assets, as well as characterizing the trade time duration of these markets.
Market Abuse Detection:Market manipulation involves trading on financial markets with a view to change a security’s price or market participants’ perception of its underlying value. This can be achieved in three ways: trade-based, action-based and information-based. The former is carried out directly on financial markets by means of transactions, including sham transactions, whereas the latter two involve disclosing or acting in a false or misleading manner about issuing companies or securities traded on financial markets. The project involves the application of entropy-based statistical algorithms to detect trade-based manipulations.
My ongoing projects include the followings:
Forecast when the forecast loss function is asymmetric: Conventional forecast derivation and evaluation methods are based on a squared-error loss function which implies an equal loss from positive and negative forecasting errors. However, in practice policy makers or forecasting agents often experience different costs arising from over-prediction and under-prediction. The purpose of the project is to examine how to incorporate asymmetric loss to improve forecast results. In particular, I base model selection, model estimation and forecast combination on the same asymmetric loss function that is used for forecast evaluation.
Forecast under structural break uncertainty: When structural breaks possibly occur in the past, an often-neglected yet important issue for forecasting future is how many data we should choose to estimate forecasting models. I am interested in proposing weighting methods that combine forecasts generated from different estimation windows.
I am currently working on three projects:
My ongoing projects include the followings:
Forecast when the forecast loss function is asymmetric: Conventional forecast derivation and evaluation methods are based on a squared-error loss function which implies an equal loss from positive and negative forecasting errors. However, in practice policy makers or forecasting agents often experience different costs arising from over-prediction and under-prediction. The purpose of the project is to examine how to incorporate asymmetric loss to improve forecast results. In particular, I base model selection, model estimation and forecast combination on the same asymmetric loss function that is used for forecast evaluation.
Forecast under structural break uncertainty: When structural breaks possibly occur in the past, an often-neglected yet important issue for forecasting future is how many data we should choose to estimate forecasting models. I am interested in proposing weighting methods that combine forecasts generated from different estimation windows.
Eriko is currently working on the projects lead by the Institute for Marine and Antarctic Studies (IMAS) to develop bioeconomic decision making support tools for the Southern Rock Lobster (SRL) and abalone fisheries in Tasmania. She is also involved with several climate change related projects including the socioeconomic vulnerability assessment of key marine fisheries to climate change and operationalisation of adaptation strategies.
Comparison of simultaneous and combinatorial auction designs in fisheries quota market. The project explores the relative merits of simultaneous and combinatorial auction designs for fisheries quota allocation using agent based model. Performances of auction designs will be measured under different strategic rent seeking behavior and learning of fisher agents.
Study of irrigators behavior in water buy-back auctions. Using an agent based model the project will evaluate the economic impact on the irrigation sector and environmental outcomes of various environmental water holder carryover, and trade policy options. Various operational rules representing constraints on irrigator and environmental water holder carry-over and trade will be tested to examine risk and trade-offs for irrigators and the environment.
Sarah’s research interests are primarily in the area of marine resource economics. She currently has projects underway in the following areas: the evaluation of climate change impacts and adaptation strategies in fisheries; the implications of range shifting species for optimal fisheries management; the economics of recreational fisheries and of marine reserves; and economic capability building for co-management.
The use of market based instruments in fishery management. The project will evaluate alternative auction structures for landings and by-catch quotas in single and multiple species fisheries using experimental economic techniques. The experimental settings will be calibrated to case study regions using bio-economic models.
A game theory study of water management in the Murray Darling Basin. The Murray Darling is governed by five sovereign states and territories. This project will develop a game theory model of the strategy sets to determine if a cooperative outcome is achievable and/or the conditions under which a cooperative agreement could be developed.
Bioeconomic modelling of marine reserves: This project aims to develop a bioeconomic model – integration of biological and economic models - of marine reserves (or ‘no-take’ areas). The modelling insights developed by the research will be applied to the role of no-take fishing reserves as a conservation and fisheries management tool.
Time series/panel analysis on sulfur and carbon dioxide emissions: Using recent insights from time series/panel analysis, this project aims to examine the trend properties of per capita sulfur and carbon dioxide emissions data.
Authorised by the Head of School, Economics & Finance
14 August, 2012
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