grant

Discovery Projects - Grant ID: DP150101716 [ 2015-06-09 - 2018-12-31 ]

Research Grant

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

Researchers: Prof Mardi Dungey (Chief Investigator) ,  Prof Aubrey Hurn (Chief Investigator) ,  Dr Shuping Shi (Chief Investigator) ,  Dr Peter Phillips (Partner Investigator)

Brief description Change Detection in Causal Relationships and Measurement of Systemic Risk. 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 appropriately. This project aims to develop 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 $404,700

Funding Scheme Discovery Projects

View this grant in the ARC Data Portal

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