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Grant Award View - GA215153-V1
High-frequency Estimation of Term Structure Models at the Zero Lower...
GA ID:
GA215153-V1
Agency:
Australian Research Council
Approval Date:
19-Jan-2022
Variation Publish Date:
9-Nov-2022
Variation Date:
30-Dec-2022
Category:
Humanities, Arts and Social Sciences (HASS) Research
Grant Term:
30-Dec-2022 to 30-Dec-2025
Value (AUD):
$312,355.00
(GST inclusive where applicable)
Varies:
GA215153
- High-frequency Estimation of Term Structure Models at the Zero Lower Bound
One-off/Ad hoc:
No
Aggregate Grant Award:
No
PBS Program Name:
ARC 21/22 Discovery
Grant Program:
Discovery Projects
Grant Activity:
High-frequency Estimation of Term Structure Models at the Zero Lower Bound
Purpose:
This project aims to quantify monetary policy shocks as shifts of the entire term structure of interest rates, when the central bank’s policy rate is constrained at the near-zero level. The proposed method will use a high-dimensional panel of high frequency government bond data. The term structure and resultant policy shocks estimated at intra-day frequencies for major economies including Australia, will be made publicly available. This project expects to deepen our understanding of how monetary policy decisions affect the macroeconomy in a near-zero interest-rate environment. This should provide significant benefits to policymakers for implementing and monitoring monetary policy in achieving desired economic outcomes.
GO ID:
GO Title:
Discovery Projects for funding commencing in 2022
Internal Reference ID:
DP22 Round 1
Selection Process:
Targeted or Restricted Competitive
Confidentiality - Contract:
No
Confidentiality - Outputs:
No
Grant Recipient Details
Recipient Name:
Monash University
Recipient ABN:
12 377 614 012
Grant Recipient Location
Suburb:
MULGRAVE
Town/City:
MULGRAVE
Postcode:
3170
State/Territory:
VIC
Country:
AUSTRALIA
Grant Delivery Location
State/Territory:
VIC
Postcode:
3170
Country:
AUSTRALIA