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Macroeconomic Modeling: Expectations in Financial Markets

One opaque effect of dysfunctionality is the impact on macro-aggregates such as consumption, investment and employment.  Macroeconometric models can be used to gauge these effects by the creation of a hypothetical baseline without distortions.

This research program uses models to quantify mis-pricing in share markets, bond markets and forex markets, and to ascertain any international transmission of shocks that can be attributed to these anomalies. 


A key feature of financial markets is the trading of assets for which equilibrium values are hard to determine, and which exhibit highly volatile prices.  Research on the formation of expectations in financial markets can therefore shed light on asset mis-pricing. 

Director: Gordon Menzies - University of Technology, Sydney

Macroeconometric modeling: Expectations in Financial Markets Research Group members:

Peter Docherty, University of Technology, Sydney
Timo Henckel, Australian National University
Daniel Zizzo, New Castle University Business School