Sarantis Tsiaplias

University of Melbourne - Melbourne Institute of Applied Economic and Social Research

Level 5, FBE Building, 111 Barry Street

Parkville, Victoria 3010

Australia

SCHOLARLY PAPERS

11

DOWNLOADS

498

CITATIONS

1

Scholarly Papers (11)

1.

A Multivariate GARCH Model Incorporating the Direct and Indirect Transmission of Shocks

Number of pages: 30 Posted: 25 Aug 2009 Last Revised: 22 Mar 2011
Chew Lian Chua and Sarantis Tsiaplias
University of Melbourne - Melbourne Institute of Applied Economic and Social Research and University of Melbourne - Melbourne Institute of Applied Economic and Social Research
Downloads 169 (134,789)

Abstract:

multivariate GARCH, spillovers, contagion, exchange rates

2.

Predicting Short-Term Interest Rates: Does Bayesian Model Averaging Provide Forecast Improvement?

Melbourne Institute Working Paper No. 1/11
Number of pages: 41 Posted: 27 Mar 2011
Chew Lian Chua, Sandy Suardi and Sarantis Tsiaplias
University of Melbourne - Melbourne Institute of Applied Economic and Social Research, University of Wollongong and University of Melbourne - Melbourne Institute of Applied Economic and Social Research
Downloads 70 (257,708)

Abstract:

Bayesian model averaging, out-of-sample forecasts

3.

Bank and Official Interest Rates: How Do They Interact Over Time?

Melbourne Institute Working Paper Series, Working Paper No. 4/10
Number of pages: 26 Posted: 09 Oct 2010
Guay C. Lim, Sarantis Tsiaplias and Chew Lian Chua
University of Melbourne - Melbourne Institute of Applied Economic and Social Research, University of Melbourne - Melbourne Institute of Applied Economic and Social Research and University of Melbourne - Melbourne Institute of Applied Economic and Social Research
Downloads 66 (272,191)
Citation 1

Abstract:

bank interest rates, time-varying asymmetric adjustments, monetary interest rate policy

4.

A Bayesian Approach to Modelling Bivariate Time-Varying Cointegration and Cointegrating Rank

Melbourne Institute Working Paper No. 27/14
Number of pages: 42 Posted: 20 Dec 2014
Chew Lian Chua and Sarantis Tsiaplias
University of Melbourne - Melbourne Institute of Applied Economic and Social Research and University of Melbourne - Melbourne Institute of Applied Economic and Social Research
Downloads 29 (324,523)

Abstract:

C11, C32, C51, C52

5.

Financial Stress Thresholds and Household Equivalence Scales

Melbourne Institute Working Paper No. 5/15
Number of pages: 32 Posted: 14 Mar 2015
Guay C. Lim and Sarantis Tsiaplias
University of Melbourne - Melbourne Institute of Applied Economic and Social Research and University of Melbourne - Melbourne Institute of Applied Economic and Social Research
Downloads 21 (405,981)

Abstract:

Household financial stress, heterogeneity, equivalence scales, household welfare, minimum expenditure

6.

Forecasting Australian Macroeconomic Variables Using a Large Dataset

Australian Economic Papers, Vol. 49, Issue 1, pp. 44-59, March 2010
Number of pages: 16 Posted: 01 Mar 2010
Sarantis Tsiaplias and Chew Lian Chua
University of Melbourne - Melbourne Institute of Applied Economic and Social Research and University of Melbourne - Melbourne Institute of Applied Economic and Social Research
Downloads 2 (530,777)

Abstract:

7.

Phillips Curve and the Equilibrium Unemployment Rate

Economic Record, Vol. 85, Issue 4, pp. 371-382, December 2009
Number of pages: 12 Posted: 24 Nov 2009
G.C. LIM and Sarantis Tsiaplias
University of Melbourne and University of Melbourne - Melbourne Institute of Applied Economic and Social Research
Downloads 1 (539,700)

Abstract:

8.

Non-Linearities in the Relationship between House Prices and Interest Rates: Implications for Monetary Policy

Melbourne Institute Working Paper No. 2/16
Number of pages: 37 Posted: 30 Jan 2016 Last Revised: 19 Feb 2016
Guay C. Lim and Sarantis Tsiaplias
University of Melbourne - Melbourne Institute of Applied Economic and Social Research and University of Melbourne - Melbourne Institute of Applied Economic and Social Research
Downloads 0 (246,402)

Abstract:

House prices, interest rates, monetary policy, nonlinear VAR, housing affordability, bubbles

9.

Bank and Official Interest Rates: How Do They Interact Over Time?

Economic Record, Vol. 89, Issue 285, pp. 160-174, 2013
Number of pages: 15 Posted: 19 Jun 2013
Sarantis Tsiaplias and Chew Lian Chua
University of Melbourne - Melbourne Institute of Applied Economic and Social Research and University of Melbourne - Melbourne Institute of Applied Economic and Social Research
Downloads 0 (552,972)

Abstract:

10.

Predicting Short-Term Interest Rates Using Bayesian Model Averaging: Evidence from Weekly and High Frequency Data

International Journal of Forecasting, 2012
Posted: 02 Nov 2012
Chew Lian Chua, Sandy Suardi and Sarantis Tsiaplias
University of Melbourne - Melbourne Institute of Applied Economic and Social Research, University of Wollongong and University of Melbourne - Melbourne Institute of Applied Economic and Social Research

Abstract:

Bayesian model averaging, short-term interest rates, out-of-sample forecasts

11.

An Impulse-Response Function for a VAR with Multivariate GARCH-in-Mean that Incorporates Direct and Indirect Transmission of Shocks

Economics Letters, Vol. 117, 2012
Posted: 02 Nov 2012
Chew Lian Chua, Sandy Suardi and Sarantis Tsiaplias
University of Melbourne - Melbourne Institute of Applied Economic and Social Research, University of Wollongong and University of Melbourne - Melbourne Institute of Applied Economic and Social Research

Abstract:

multivariate GARCH, spillovers, latent factors, impulse re-