Macquarie University
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Essays on applied econometric analysis in macroeconomics and finance

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posted on 2024-01-19, 00:40 authored by Md Arafat Rahman
This thesis comprises three independent papers employing cutting-edge timeseries econometrics techniques in macroeconomics and finance. The first paper predicts cash rates in Australia using various discrete choice models and forecast combination approaches. The second paper investigates the impact of COVID19 on the U.S. equity market, identifying crisis episodes across sectors with pseudo-real-time methods. Furthermore, we compare the unconditional mean, variance, and correlation network structure of stock market returns in pre- and post-onset of COVID-19. The third paper identifies the global housing network structure and explores its driving factors. These findings provide valuable insights for market participants, policymakers, and investors.


Research Excellence Scholarship (MQRES)


Table of Contents

1 Introduction -- 2 Predicting Australian cash rates with discrete choice models -- 3 The heterogeneous impacts of COVID-19 on the U.S. National and Sectoral Equity Indices -- 4 Exploring housing networks and driving forces: a global perspective

Awarding Institution

Macquarie University

Degree Type

Thesis PhD


Doctor of Philosophy

Department, Centre or School

Department of Economics

Year of Award


Principal Supervisor

Shuping Shi

Additional Supervisor 1

Roselyne Joyeux


Copyright: The Author Copyright disclaimer:




Australia United States


157 pages

Former Identifiers

AMIS ID: 277201