Dr Sam Tsiaplias

Research Fellow
Melbourne Institute of Applied Economic and Social Research
Tel.: +61 3 8344 2145
Fax.: +61 3 8344 2111
Email: ssts@unimelb.edu.au

Sam joined the Melbourne Institute of Applied Economic and Social Research in May 2007 as a Research Fellow within the Applied Macroeconomics area.

Research interests: financial economics, forecasting, Bayesian econometrics, applied macroeconomics.

Papers

1. Tsiaplias, S., 2008, Factor estimation using MCMC-based Kalman filter methods, Computational Statistics and Data Analysis, 53(2), 344-353. (WP)
2. Tsiaplias, S., 2008, The CPI and other Measures of Australian Inflation, Australian Economic Review, 41(1), 105-113.
3. Lim, G.C., Chua, C.L., Claus, E., Tsiaplias, S., 2009, Review of the Australian Economy 2008-09: Recessions, Retrenchments and Risks, Australian Economic Review, 42(1), 1-11.
4. Lim, G.C., Dixon, R., Tsiaplias, S., 2009, Phillips Curve and the Equilibrium Unemployment Rate, Economic Record, 85(4), 371-382. (WP)
5. Chua, C.L., Tsiaplias, S., 2009, Can Consumer Sentiment and its Components Forecast Australian GDP and Consumption?, Journal of Forecasting, 28(8), 698-711. (WP)
6. Tsiaplias, S, Chua, C.L., 2009, Forecasting Australian Macroeconomic Variables Using a Large Dataset, Australian Economic Papers, forthcoming. (WP)
7. Lim, G.C., Chua, C.L., Claus, E., Tsiaplias, S., 2009, Review of the Australian Economy 2009-10: On the Road to Recovery, Australian Economic Review, forthcoming.
8. Chua, C.L., Tsiaplias, S., 2010, Predicting Economic Contractions and Expansions with the Aid of Professional Forecasts, International Journal of Forecasting, forthcoming.

Working Papers

2007

1. A Metropolis-in-Gibbs sampler for estimating equity market factors.
2. The macroeconomic content of equity market factors.
3. Co-movement and Integration among Developed Equity Markets.

2008

1. Can Consumer Sentiment and its Components Forecast Australian GDP and Consumption? (with C.L. Chua).
2. Forecasting Australian Macroeconomic Variables Using a Large Dataset. (with C.L. Chua).
3. Phillips Curve (with G.C. Lim, R. Dixon).

2009

1. Examining Feedback, Momentum and Overreaction in National Equity Markets
2. A Latent Variable Approach to Forecasting the Unemployment Rate (with C.L. Chua, G.C. Lim)
3. A Multivariate GARCH Model Incorporating the Direct and Indirect Transmission of Shocks (with C.L. Chua)

Work in Progress

1. Some evidence on financial asset feedback and momentum
2. Forecasting using large datasets
3. Exchange rate forecasting
4. Interest rate linkages