Economics - Research Publications
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ItemOnce in a Lifetime? The Effects of the Global Financial Crisis on Household Willingness to Take Financial Risk(Wiley, 2019-11-06)We investigate the effect of the global financial crisis (GFC) on household willingness to take risk. A model incorporating experienced returns as a determinant of risk tolerance is specified, with time‐varying weights on past stock returns capturing changes during the crisis. Results show that households became more myopic during the GFC, placing greater weight on more recent stock returns when evaluating financial risk attitudes. Households have been more sensitive to financial shocks during the GFC and post‐GFC periods, with the change in sensitivity found to be uniform over the life cycle and other household characteristics, but differing by income.
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ItemEfficient method of moments estimators for integer time series models(John Wiley & Sons, 2014-11)The parameters of integer autoregressive models with Poisson, or negative binomial innovations can be estimated by maximum likelihood where the prediction error decomposition, together with convolution methods, is used to write down the likelihood function. When a moving average component is introduced this is not the case. To address this problem an efficient method of moment estimator is proposed where the estimated standard errors for the parameters are obtained using subsampling methods. The small sample properties of the estimator are investigated using Monte Carlo methods, while the approach is demonstrated using two well-known examples from the time series literature.
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ItemFinancial contagion and asset pricing(ELSEVIER, 2014-10)
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ItemMicroblogging and Life Changes: An Ethnographic and Statistical Analysis of Young Adults(The International Academic Forum (IAFOR), 2014)Microblogging has revolutionized people's interaction on the web. This paper investigates the changes in the microblogging practices of young adults after they have experienced life changing events associated with studying and working overseas. To test for the presence of significant changes in microblogging behaviour the empirical analysis focusses on young Chinese adults who have moved to Australia to study and/or work. The data consists of a three-tier approach, with the first tier being based on questionnaires; the second tier consists of formal in-depth interviews; while the third tier involves an ethnographic analysis of online and offline participant behaviour as well as information collected from two focus groups. The behavioural changes of the participants are analysed using a range of statistical models which take into account microblogging practices relating to social media platform choices, behavioural strategies and frequency. Formally this involves using panel ordered probit models to identify potential significant changes in social media practices. In specifying the empirical models, key demographic attributes characterizing the participants are also incorporated into the analysis, including gender, age, location, duration, education, enrolment status and work status. The empirical results reveal evidence of significant changes in key social media practices of Chinese young adults in moving from China to Australia. Keywords: social media, study overseas, work overseas, three-tier approach. Official conference proceedings published by IAFOR are available at: http://iafor.org/issn-2186-5906-the-asian-conference-on-media-mass-communication-2014-official-conference-proceedings/
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ItemHedging Supply Risks: An Optimal Water Portfolio(Oxford University Press, 2016)Although water supply diversification has been proposed as a solution to dwindling water reserves, the optimal mix of natural and manufactured sources of water remains largely unexplored. We develop a dynamic portfolio model of water supply that hedges against the supply risks from all potential water sources, by taking into account the size of water reserves, uncertainties of water flows as well as differences in supply costs. The optimal portfolio shares for an existing water supply system are derived and compared with the observed contributions to total water stock, revealing unexploited hedging opportunities between various naturally occurring water sources as well as a general over-reliance on manufactured water. The optimal solution implies that future supply augmentations should target natural sources of water ahead of manufactured water. It is estimated that the optimization of the water supply portfolio for a medium-sized city results in annual cost-savings of up to $463 million.
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ItemA New Class of Tests of Contagion With Applications(AMER STATISTICAL ASSOC, 2010-07)