ANNUAL REPORT 2008
HIGHLIGHTS
 In April, the NCER appointed Angela Fletcher to the Project Officer’s role to assist
with the various administrative tasks of running a national research centre. These
include:
o Website construction and maintenance;
o Production of Quarterly Reports;
o Event management.
 In late October, an invitation was extended to Professor Benno Torgler (QUT) to join
the Executive Board and establish a new program entitled Sportometrics.
 Commencing in January 2009, Drs. Annastiina Silvennoinen (UTS) and David
Johnston (Melbourne) will join the NCER as Post-doctoral Fellows.
 Earlier this year, Tim Christensen was awarded a $5000 scholarship to commence the
Bachelor of Business (Honours) program. Tim is expected to complete the program
with 1st class honours. Currently he is applying to study at US graduate schools. In
addition, Tim’s NCER working paper (No. 25), It never rains but it pours: Modelling
the persistence of spikes in electricity prices, was accepted by the Energy Journal.
 In the latest round of ARC grants, NCER Executive Board members, Professors Paul
Frijters, Benno Torgler and Mike Keane were successful in the application process.
Their projects together total $1,481,000.
WORKING PAPER SERIES
The working paper series, as of 1 December, currently has 37 papers, of which 17 papers have
been made available this year. This is an increase from the previous years (14 in 2007 and 6
in 2006).
The series has been listed on IDEAS and REPEC at http://ideas.repec.org/s/qut/auncer.html
and http://econpapers.repec.org/paper/qutauncer/ respectively.
Recent information on access statistics to the working papers is as follows:
File downloads
Last month: 111
Last 3 months: 340
Last year: 1268
Since start: 2482
Abstract views
Last month: 261
Last 3 months: 663
Last year: 2181
Since start: 3396
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The top 5 file downloads for 2008 are:
Paper and Authors
File Downloads
from January to
November 2008
Some Issues in Using Sign Restrictions for Identifying Structural
VARs by Renee Fry and Adrian Pagan
106
Forecasting stock market volatility conditional on macroeconomic
conditions by Ralf Becker and Adam Clements
68
The Jump component of S&P 500 volatility and the VIX index by
Ralf Becker, Adam Clements and Andrew McClelland
53
Limited Information Estimation and Evaluation of DSGE Models by
Martin Fukac and Adrian Pagan
49
Modelling Spikes in Electricity Prices by Ralf Becker, Stan Hurn and
Vlad Pavlov
46
The NCER is now listed as an independent institution under RePEc. Authors are encouraged
to add this affiliation to their RePEc profile.
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PROGRAMS
Macroeconometric Model Design and Estimation
The macroeconometrics program is lead by Professor Adrian Pagan. Professors Pagan and
Garry Barrett (University of New South Wales) organised a one-day workshop on the
Interactions between Microeconomics and Macroeconomics at the University of New South
Wales on 18 December, 2008. The overseas speaker was Professor Tom Crossley of
Cambridge University. It is envisaged that this will be an annual event as new microeconomic panel data becomes available on firm and household behaviour that has
implications for macroeconomic outcomes.
Following on from the success of the initial NCER conference held at the Reserve Bank of
Australia (RBA) in 2006, the RBA have begun an annual conference entitled Monetary Policy
in Open Economies which is concerned with the design of models in such a context. Professor
Pagan helped organize this in December 2007 and again in December 2008.
Financial Econometrics (formally Volatility)
The Financial Econometrics program is lead by Professor Stan Hurn. The program organised
a workshop in July to coincide with Professor Yacine Ait-Shalalia’s (Princeton) visit. The
workshop entitled Frontiers in Financial Econometrics was co-hosted by the Centre for
Applied Macro Analysis (CAMA) and featured 12 papers given by an even mix of national
and international presenters. Plans are underway for another workshop of the same name to be
held at Princeton University on 25-26 September next year.
Non-Linear and Complex Systems Analysis
With Professor Rodney Wolff’s (convener) permanent move to the School of Mathematics,
this program is under review.
Sportometrics
This program has only recently been established and is led by Professor Benno Torgler.
WORKSHOPS AND SEMINARS
The NCER managed the following events in 2008:
CONFERENCES/WORKSHOPS
Frontiers in Financial Econometrics Workshop – was organised by Stan Hurn and Renee Fry
(ANU) from 23-24 July at QUT. Around 30 delegates attended the event.
Workshop on Monetary Policy in Open Economies - was organised by Jarkko Jaaskela,
Mariano Kulish (RBA), Fabio Canova (Bern) and Adrian Pagan from December 15-16 at the
RBA. Attendance at the workshop was by invitation only.
Workshop on the Interactions between Microeconomics and Macroeconomics – is being
organised by Garry Barrett (UNSW) and Adrian Pagan for December 18 at the UNSW.
Practitioners in Financial Markets Workshop – was organised by Adam Clements (QUT) on
October 28 at QUT. Around 40 registrations were received.
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COURSES
Master Class in Econometric Modelling – was presented by David F. Hendry (University of
Oxford) on July 2-3 at the University of Technology, Sydney (joint with the School of
Finance and Economics, UTS). Around 30 registrations were received.
Dynamic Stochastic General Equilibrium Models Course – a series of lectures was presented
by Adrian Pagan from September 22-26 at QUT. Around 20 registrations were received.
SEMINARS (NCER-designated)
Clash of Career and Family: Fertility Decisions after Job Displacement - Professor Rudolf
Winter-Ebmer (Linz University), 14 February.
The Yield Curve Conundrum - Professor Roger Craine (UC Berkeley), 10 April.
Inflation Forecasting: Points and Probabilities Seminar –Kenneth F. Wallis (University of
Warwick), September 17.
Data-based Ranking of Realised Volatility Estimators - Dr Andrew Patton (University of
Oxford), 2 October.
VISITORS
During 2008 a large of number of visitors spent 3 or more days at QUT. A selection of these
follows:
Professor David Hendry, Department of Economics and Nuffield College, Oxford
Professor Kenneth F. Wallis, Economics Department, University of Warwick
Professor Kenneth Lindsay, Department of Mathematics, University of Glasgow
Dr Ralf Becker - University of Manchester
Professor Yacine Aït-Sahalia, Department of Economics, Princeton University
Professor Roger Craine – University of California, Berkeley
Professor Adonis Yatchew, Department of Economics, University of Toronto
Professor Bob Gregory - Australian National University
CORPORATE AFFILIATES
Finally, the NCER would like to acknowledge the support of a number of corporate affiliates
during 2008. These organisations have very tangibly demonstrated their strong support of the
NCER's activities resulting in a genuine partnership to promote outcomes of considerable
community benefit.
• Queensland Investment Corporation
• Office of Economic and Statistical Research, Queensland Treasury
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