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Economics - Research Publications
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ItemThe role of portfolio shocks in a structural vector autoregressive model of the Australian economyFry, R ; Hocking, J ; Martin, VL (BLACKWELL PUBLISHING, 2008-03)Domestic and foreign equity shocks on the Australian economy are analysed within a five‐variate structural vector autoregressive model, with identification achieved through long‐run restrictions based on the natural rate hypothesis, monetary neutrality, long‐run portfolio balance and purchasing power parity. The results show that real equity values were undervalued by 19 per cent by June 2005, with the gap narrowing thereafter. Foreign crises are important factors explaining this deterioration. The real wealth effects of equity market shocks impact significantly upon financial and goods market prices, whereas output tends to be immune. The model is also able to address puzzles that exist in the vector autoregression literature.
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ItemImplicit Bayesian inference using option pricesMartin, GM ; Forbes, CS ; Martin, VL (BLACKWELL PUBL LTD, 2005-05)Abstract. A Bayesian approach to option pricing is presented in which posterior inference about the underlying returns process is conducted implicitly via observed option prices. A range of models allowing for conditional leptokurtosis, skewness and time‐varying volatility in returns are considered, with posterior parameter distributions and model probabilities backed out from the option prices. Models are ranked according to several criteria, including out‐of‐sample predictive and hedging performance. The methodology accommodates heteroscedasticity and autocorrelation in the option pricing errors, as well as regime shifts across contract groups. The method is applied to intraday option price data on the S&P500 stock index for 1995. While the results provide support for models that accommodate leptokurtosis and skewness, no one model dominates when all criteria are considered.
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ItemComputing the Distributions of Economic Models via SimulationStachurski, J ; Martin, V (Econometric Society, 2008-03-18)We study a Monte Carlo algorithm for computing marginal and stationary densities of stochastic models with the Markov property, establishing global asymptotic normality and OP(n–1/2) convergence. Asymptotic normality is used to derive error bounds in terms of the distribution of the norm deviation.
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ItemUnravelling financial market linkages during crisesDungey, M ; Martin, VL (JOHN WILEY & SONS LTD, 2007-01-01)
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ItemParametric pricing of higher order moments in S&P500 optionsLIM, G. ; MARTIN, G. M. ; MARTIN, V. L. ( 2005)
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ItemInternational monetary policy surprise spilloversCraine, R ; Martin, VL (ELSEVIER, 2008-05)