Change Detection in Causal Relationships and Measurement of Systemic Risk

因果关系的变化检测和系统性风险的衡量

• 批准号: DP150101716
• 负责人: Prof Aubrey Hurn
• 金额: $ 25.81万
• 依托单位: Queensland University of Technology
• 依托单位国家: 澳大利亚
• 项目类别: Discovery Projects
• 财政年份: 2015
• 资助国家: 澳大利亚
• 起止时间: 2015-06-09 至 2018-12-31
• 项目状态: 已结题
• 来源: https://dataportal.arc.gov.au/RGS/Web/Grants/DP150101716
• 关键词: Change; Detection; Causal; Relationships; Measurement

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

基于格兰杰因果关系检验的金融机构之间相互关联性的实证测度目前被用于检测系统性风险。然而，研究人员需要外源地定义平静和压力的时期，以便适当地实施这些测试。该项目旨在开发一种新程序来识别因果关系的变化以及这些变化的时间。新方法有可能显着改进金融市场新兴动荡的实时识别，并为系统性风险的检测提供改进的方法。新的测试程序将使用欧洲、美国和澳大利亚的金融和非金融机构的数据来实施。