Overview

Project status: In progress

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 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. 

Outcomes

The new test procedure will be implemented using data for financial and non-financial institutions across Europe, the US and Australia.

Grantor

Australian Research Council (ARC)

Amount
  • 2015: $140,000
  • 2016: $124,700
  • 2017: $140,000

Funding was also awarded for an International Collaboration Award for Dr Phillips - $10,000 per year for the three years of the grant.

Research leader
External collaborators
Organisational unit
Lead unit School of Economics and Finance Other units
Start date
1 January 2015
End date
31 December 2018
Research areas
Keywords
Granger causality, recursive estimation, systemic risk