Description:
The series of financial crises that cascaded through and rocked much of the world over the past decade created opportunities to draw meaning from the pattern of countries succumbing to crisis and those who appear to be wholly or partially immune. This thesis examines the case of Australia, a developed country that has seldom experienced an endogenous crisis in the last few decades, but has experienced crisis by contagion. This study designs a financial stress index to measure and forecast the health of the Australian economy and proposes a custom-made stress index to: Gauge the potential for a crisis; and Signal when a timely intervention may minimise fear and contagion losses in the Australian financial market. Financial and economic data is used to design indicators for stress in the banking sector and equity, currency and bond markets. Further, this study explores how movements in equity markets of key trading partners of Australia can be used to predict movements in the Australian equity market. The variance-equal weights (VEW) and principal components approach (PCA) are used to subsume 22 stress indicators into a composite stress index. The VEW and PCA stress indexes were examined to determine monitoring and their forecasting capabilities. It was found that the VEW stress index performed better than the PCA stress index, because it provided more consistent estimates for the level of Australian financial stress. Although, both models show some promise, each model fell short of giving adequate forecasts in financial stress especially at the peak time of the 2007-2009 GFC. Thus, more research is needed to understand the complex nature of financial crisis, how crises develop and the techniques that can be used to predict the onset of financial crises.
Description:
The series of financial crises that cascaded through and rocked much of the world over the past decade created opportunities to draw meaning from the pattern of countries succumbing to crisis and those who appear to be wholly or partially immune. This thesis examines the case of Australia, a developed country that has seldom experienced an endogenous crisis in the last few decades, but has experienced crisis by contagion. This study designs a financial stress index to measure and forecast the health of the Australian economy and proposes a custom-made stress index to: Gauge the potential for a crisis; and Signal when a timely intervention may minimise fear and contagion losses in the Australian financial market. Financial and economic data is used to design indicators for stress in the banking sector and equity, currency and bond markets. Further, this study explores how movements in equity markets of key trading partners of Australia can be used to predict movements in the Australian equity market. The variance-equal weights (VEW) and principal components approach (PCA) are used to subsume 22 stress indicators into a composite stress index. The VEW and PCA stress indexes were examined to determine monitoring and their forecasting capabilities. It was found that the VEW stress index performed better than the PCA stress index, because it provided more consistent estimates for the level of Australian financial stress. Although, both models show some promise, each model fell short of giving adequate forecasts in financial stress especially at the peak time of the 2007-2009 GFC. Thus, more research is needed to understand the complex nature of financial crisis, how crises develop and the techniques that can be used to predict the onset of financial crises.
Description:
A key departure in this study from many earlier studies is that, on the continuum of financial stress from nil to very high, both very high levels of stress and very low levels are seen as being harmful and potential harbinger of a financial-market crisis. Specifically, a surfeit of stress can act as a tipping point into crisis and a dearth of stress can encourage hubris and increase a nation’s susceptibility to financial contagion from another nation; even one that is far removed by geographic and/or economic distance. This paper focuses on developing financial stress indices for the US and Australia using composite market indices, trade weight indices and yields on securities with different maturity dates. Monthly data from January 1989 to December 2011 was sourced from the Australian Bureau of Statistics (ABS), the Reserve Bank of Australia (RBA), the Federal Reserve Bank (FRB), the Bureau of Economic Analysis (BEA), the Federal Reserve Bank of St Louis website, Bank of Canada, Reserve Bank of New Zealand and Yahoo finance website. For purposes of this study the aggregate measures of stress consists of inverted yield spreads, volatility measures for market indices, volatility measures of trade weighted indexes, risk spreads, credit risk spreads and a measures of risk in the equity market.
Description:
This paper uses quantitative and qualitative analyses to study the influence of socio-economic factors on the HIV/AIDS epidemic with the intent of providing insight on policies to mitigate that epidemic. After a brief synopsis of poverty and AIDS in Africa, this paper outlines key research questions, and reviews their treatment in the literature. Using published data from 6,350 individuals (drawn from the Kenya Demographic Survey of 37,000), a number of behavioural choices are analysed. Income, wealth level, occupations and location are considered under other variables. While the analysis suggests that poverty does not predispose people to HIV/AIDS, it did strongly indicate that AIDS can precipitate poverty. These findings provide insight as to how the spread of AIDS can be mitigated in Kenya and Sub-Saharan Africa.
Description:
This paper uses quantitative and qualitative analyses to study the influence of socio-economic factors on the HIV/AIDS epidemic with the intent of providing insight on policies to mitigate that epidemic. After a brief synopsis of poverty and AIDS in Africa, this paper outlines key research questions, and reviews their treatment in the literature. Using published data from 6,350 individuals (drawn from the Kenya Demographic Survey of 37,000), a number of behavioural choices are analysed. Income, wealth level, occupations and location are considered under other variables. While the analysis suggests that poverty does not predispose people to HIV/AIDS, it did strongly indicate that AIDS can precipitate poverty. These findings provide insight as to how the spread of AIDS can be mitigated in Kenya and Sub-Saharan Africa.
Description:
The incidence and virulence of global and regional financial crises has encouraged analysts to re-examine extant economic policies and tools. An issue of concern is how beneficial financial links can turn malignant and transmit a financial crisis across borders. This study explores financial contagion processes in financial markets with an emphasis on Australia. Monthly data from Jul/97-Jun/14 was obtained from Yahoo Finance for the composite-stock-market indices of Australia and its key trading partners. Eviews7 software was used to explore the relationship between stock indices of those countries via co-integration and pair-wise Granger Causality (GC) tests. This study found that stock returns in Australia are co-integrated with returns of the other countries. However, when appropriate lagged variables were used, only past values of returns in the Chinese, Singapore and US stock-indices have predictive value in terms of future Australian-stock-index values. This study should be of interest to policy makers, especially in terms of its suggestion of the flow-on effects of sharp discontinuities in the Chinese, Singapore and US stock markets on the Australian stock market. Bilateral trade links appear to be a key linkage in the transmission of financial contagion. However, more research is needed to identify and understand other factors that contribute to the spread of financial crises.