Related papers: The Australian Phillips curve and more

We investigate the joint description of the interest-rate term stuctures of Italy and an AAA-rated European country by mean of a --here proposed-- correlated CIR-like bivariate model where one of the state variables is interpreted as a…

The purpose of this paper relies on the study of long term affine yield curves modeling. It is inspired by the Ramsey rule of the economic literature, that links discount rate and marginal utility of aggregate optimal consumption. For such…

We study a class of generalized inflation models in which the inflaton is coupled to the Ricci scalar by a general $f(\phi, R)$ term. The scalar power spectrum, the spectral index, the running of the spectral index, the tensor mode spectrum…

Accurate forecasting of the grid carbon intensity factor (CIF) is critical for enabling demand-side management and reducing emissions in modern electricity systems. Leveraging multiple interrelated time series, CIF prediction is typically…

The South Australia region of the Australian National Electricity Market (NEM) displays some of the highest levels of price volatility observed in modern electricity markets. This paper outlines an approach to probabilistic forecasting…

This paper shows that the degree of approximate multicollinearity in a linear regression model increases simply by including independent variables, even if these are not highly linearly related. In the current situation where it is…

In recent years Australia has observed a growing, unexplained resilience of increasing house price trends. Here, we seek to understand what is driving Australia's indestructible asset using insights from market experts. We construct a…

We study partially linear models when the outcome of interest and some of the covariates are observed in two different datasets that cannot be linked. This type of data combination problem arises very frequently in empirical microeconomics.…

This paper is about models for a vector of probabilities whose elements must have a multiplicative structure and sum to 1 at the same time; in certain applications, as basket analysis, these models may be seen as a constrained version of…

Okun's law for the biggest developed countries is re-estimated using the most recent data on real GDP per capita and the rate of unemployment. Our results show that the change in unemployment rate can be predicted with a high accuracy. The…

In fixed income sector, the yield curve is probably the most observed indicator by the market for trading and fifinancing purposes. A yield curve plots interest rates across different contract maturities from short end to as long as 30…

We introduce a multiple curve framework that combines tractable dynamics and semi-analytic pricing formulas with positive interest rates and basis spreads. Negatives rates and positive spreads can also be accommodated in this framework. The…

We develop new econometric methods for the comparison of nonparametric time trends. In many applications, practitioners are interested in whether the observed time series all have the same time trend. Moreover, they would often like to know…

Thanks to their ability to capture complex dependence structures, copulas are frequently used to glue random variables into a joint model with arbitrary marginal distributions. More recently, they have been applied to solve statistical…

Data for many nations show a long-run increase, over many decades, of income, indexed by GDP per capita, and population health, indexed by mortality or life expectancy at birth (LEB). However, the short-run and long-run relationships…

The classical concept of inequality curves and measures is extended to conditional inequality curves and measures and a curve of conditional inequality measures is introduced. This extension provides a more nuanced analysis of inequality in…

While the original Ait-Sahalia interest rate model has been found considerable use as a model for describing time series evolution of interest rates, it may not possess adequate specifications to explain responses of interest rates to…

The CMIP3 multi-model ensemble spread most likely underestimates the real model uncertainty in future climate predictions because of the similarity, and shared defects, of the models in the ensemble. To generate an appropriate level of…

This paper proposes methods for Bayesian inference in time-varying parameter (TVP) quantile regression (QR) models featuring conditional heteroskedasticity. I use data augmentation schemes to render the model conditionally Gaussian and…

A growing empirical literature suggests that equity-premium predictability is state dependent, with much of the forecasting power concentrated around recessionary periods (Henkel et al., 2011; Dangl and Halling, 2012; Devpura et al., 2018).…