grant

Discovery Projects - Grant ID: DP150101716 [ 2015 - 2017 ]

Research Grant

[Cite as http://purl.org/au-research/grants/arc/DP150101716]

Researchers Prof Aubrey Hurn; Prof Mardi Dungey; Dr Shuping Shi; Dr Peter Phillips

Brief description Empirical measures of interconnectedness between financial institutions based on tests of Granger causality are currently used in detecting systemic risk. However, researchers need to define periods of calm and stress exogenously in order to implement these tests apropropriately. This project develops a new procedure to identify changes in causal relationships and the timing of these changes. The new approach has the potential to be a significant improvement in the real-time identification of emerging turmoil in financial markets and provide an improved method for the detection of systemic risk. The new test procedure will be implemented using data for financial and non-financial institutions across Europe, the US and Australia.

Funding Amount 404700

Funding Scheme Discovery Projects

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