Different approaches to modelling the macroeconomy vary in the emphasis they place on coherence with theory relative to their ability to match the data. Dynamic stochastic general equilibrium (DSGE) models place greater emphasis on theory, while vector autoregression (VAR) models tend to provide...

Standard solution methods for linearised models with rational expectations take the structural parameters to be constant. These solutions are fundamental for likelihood-based estimation of such models. Regime changes, such as those associated with either changed rules for economic policy or...

A sharp decline in inventory investment was an important contributor to the economic slowdown in Australia in 2008/09. I identify the extent to which this was due to a tightening in short-term credit constraints. In an experimental design setting, I identify the causal effect of short-term...

This paper examines the costs borne by financial institutions, merchants, and consumers in making, facilitating and accepting consumer-to-business payments. It examines the resource costs incurred by these sectors, how these have changed since 2006, and how fees and other transfers determine...

Strong growth in Asia, particularly in China, has had a profound impact on the Australian economy over the past decade. Most notable so far has been the boom in the resource sector, with commodity prices and hence Australia's terms of trade rising to historically high levels over a number of...

We use past forecast errors to construct confidence intervals and other estimates of uncertainty around the Reserve Bank of Australia's forecasts of key macroeconomic variables. Our estimates suggest that uncertainty about forecasts is high. We find that the RBA's forecasts have substantial...

Real-time gross settlement (RTGS) systems often incorporate features designed to economise on liquidity. Such 'hybrid features' have the potential to mitigate the systemic impact of operational disruptions of participants. This paper simulates operational disruptions of participants, using data...

This paper examines the ability of vector autoregressive (VAR) models to properly identify the transmission of monetary policy in a controlled experiment. Simulating data from an estimated small open economy DSGE model for Australia, we find that sign-restricted VAR models do reasonably well at...

Tiering occurs when an institution does not participate directly in the central payment system but instead settles its payments through an agent. A high level of tiering can be a significant issue for payment system regulators because of the increased credit and concentration risk. This paper...

In a model where the risk premium on long-term debt is, in part, endogenously determined, we study two kinds of unconventional monetary policy: long-term nominal interest rates as operating instruments of monetary policy and announcements about the future path of the short-term rate. We find...