Details about Mardi Dungey

Access statistics for papers by Mardi Dungey.

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Short-id: pdu7

Working Papers

2012

1. Endogenous Crisis Dating and Contagion Using Smooth Transition Structural GARCH
   Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney View citations (1)
   Also in Working Papers, University of Tasmania, School of Economics and Finance (2012) View citations (1)
2. Modelling the Time Between Trades in the After-Hours Electronic Equity Futures Market
   Working Papers, University of Tasmania, School of Economics and Finance
3. On the correspondence between data revision and trend-cycle decomposition
   CAMA Working Papers, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University
   See also Journal Article in Applied Economics Letters (2013)
4. On trend-cycle decomposition and data revision
   Research Report, University of Groningen, Research Institute SOM (Systems, Organisations and Management)
5. Ranking Systemically Important Financial Institutions
   Working Papers ECARES, ULB -- Universite Libre de Bruxelles

2011

6. A SVECM Model of the UK Economy and The Term Premium
   Working Papers, University of Tasmania, School of Economics and Finance
   Also in CAMA Working Papers, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University (2011)
7. First home buyers' support schemes in Australia
   Working Papers, University of Tasmania, School of Economics and Finance
   See also Journal Article in Australian Economic Review (2011)
8. Systematic and Liquidity Risk in Subprime-Mortgage Backed Securities
   Working Papers, University of Tasmania, School of Economics and Finance
   Also in Economics, Finance and Accounting Department Working Paper Series, Department of Economics, Finance and Accounting, National University of Ireland - Maynooth (2011)
   Working Paper, Federal Reserve Bank of Atlanta (2011)
   CAMA Working Papers, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University (2011)

2010

9. Are Financial Crises Alike?
   IMF Working Papers, International Monetary Fund View citations (6)
   Also in CAMA Working Papers, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University (2008)
10. Cojumping: Evidence from the US Treasury Bond and Future Markets (Discussion Paper 2010-06)
    Working Papers, University of Tasmania, School of Economics and Finance
11. Cojumping: Evidence from the US Treasury Bond and Futures Markets
    NCER Working Paper Series, National Centre for Econometric Research
    See also Journal Article in Journal of Banking & Finance (2012)
12. Detecting Contagion with Correlation: Volatility and Timing Matter
    Working Papers, University of Tasmania, School of Economics and Finance View citations (1)
    Also in CAMA Working Papers, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University (2009)
13. Financial Integration and the Construction of Historical Financial Data for the Euro Area
    Centre for Growth and Business Cycle Research Discussion Paper Series, Economics, The Univeristy of Manchester View citations (1)
    See also Journal Article in Economic Modelling (2011)
14. Financial crises in Asia: concordance by asset market or country?
    Working Papers, University of Tasmania, School of Economics and Finance
15. From Trade-to-Trade in US Treasuries
    Working Papers, University of Tasmania, School of Economics and Finance
16. The internationalisation of financial crises: Banking and currency crises 1883-2008
    Research Report, University of Groningen, Research Institute SOM (Systems, Organisations and Management)

2009

17. Modelling International Linkages for Large Open Economies: US and Euro Area
    Centre for Growth and Business Cycle Research Discussion Paper Series, Economics, The Univeristy of Manchester View citations (1)
    Also in CAMA Working Papers, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University (2009)

2008

18. Extending an SVAR Model of the Australian Economy
    NCER Working Paper Series, National Centre for Econometric Research View citations (3)
    See also Journal Article in The Economic Record (2009)
19. Unobservable Shocks as Carriers of Contagion: A Dynamic Analysis Using Identified Structural GARCH
    NCER Working Paper Series, National Centre for Econometric Research View citations (2)

2007

20. CONSTRUCTING HISTORICAL EURO AREA DATA
    CAMA Working Papers, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University
    Also in Money Macro and Finance (MMF) Research Group Conference 2006, Money Macro and Finance Research Group (2007) View citations (5)
21. EMPIRICAL EVIDENCE ON JUMPS IN THE TERM STRUCTURE OF THE US TREASURY MARKET
    CAMA Working Papers, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University
    See also Journal Article in Journal of Empirical Finance (2009)
22. THE IDENTIFICATION OF FISCAL AND MONETARY POLICY IN A STRUCTURAL VAR
    CAMA Working Papers, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University View citations (1)
    See also Journal Article in Economic Modelling (2009)

2006

23. MONETARY POLICY IN ILLIQUID MARKETS: OPTIONS FOR A SMALL OPEN ECONOMY
    CAMA Working Papers, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University
    See also Journal Article in Open Economies Review (2008)

2005

24. SHOCKS AND SYSTEMIC INFLUENCES: CONTAGION IN GLOBAL EQUITY MARKETS IN 1998
    CAMA Working Papers, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University
25. SYNCHRONISATION OF FINANCIAL CRISES
    CAMA Working Papers, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University
26. THE US TREASURY MARKET IN AUGUST 1998: UNTANGLING THE EFFECTS OG HONG KONG AND RUSSIA WITH HIGH FREQUENCY DATA
    CAMA Working Papers, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University
    See also Journal Article in International Journal of Finance & Economics (2008)

2004

27. Empirical Modeling of Contagion: A Review of Methodologies
    IMF Working Papers, International Monetary Fund View citations (41)
    Also in Econometric Society 2004 Far Eastern Meetings, Econometric Society (2004) View citations (28)
    Econometric Society 2004 Australasian Meetings, Econometric Society (2004) View citations (8)
    See also Journal Article in Quantitative Finance (2005)
28. On Synchronisation of Financial Crises
    Econometric Society 2004 Australasian Meetings, Econometric Society

2003

29. Characterizing Global Investors' Risk Appetite for Emerging Market Debt During Financial Crises
    IMF Working Papers, International Monetary Fund View citations (4)
30. Identification of Common and Idiosyncratic Shocks in Real Equity Prices: Australia 1982 to 2002
    Departmental Working Papers, The Australian National University, Arndt-Corden Department of Economics View citations (3)
31. Unanticipated Shocks and Systemic Influences: The Impact of Contagion in Global Equity Markets in 1998
    IMF Working Papers, International Monetary Fund View citations (1)

2002

32. International Contagion Effects from the Russian Crisis and the LTCM Near-Collapse
    IMF Working Papers, International Monetary Fund View citations (19)

2001

33. A Perspective on Modelling the Real Trade Weighted Index Since the Float
    CEPR Discussion Papers, Centre for Economic Policy Research, Research School of Economics, Australian National University
34. An Empirical Analysis of the Effect of Growth on Inflation, Australia, Canada and the United States
    CEPR Discussion Papers, Centre for Economic Policy Research, Research School of Economics, Australian National University
35. International Shocks and the Role of Domestic Policy in Australia
    CEPR Discussion Papers, Centre for Economic Policy Research, Research School of Economics, Australian National University
    See also Journal Article in Australian Journal of Labour Economics (AJLE) (2002)

2000

36. A Multi-Country Structural VAR Model
    Departmental Working Papers, The Australian National University, Arndt-Corden Department of Economics View citations (2)

1999

37. Decomposing Exchange Rate Volatility Around the Pacific Rim
    Working Papers, School of Economics, La Trobe University View citations (4)
    Also in Working Papers, School of Economics, La Trobe University (1999) View citations (10)
    See also Journal Article in Journal of Asian Economics (1999)
38. The Steady Inflation Rate of Economic Growth
    CEPR Discussion Papers, Centre for Economic Policy Research, Research School of Economics, Australian National University
    See also Journal Article in The Economic Record (2000)

1998

39. Prospects for Output and Employment Growth with Steady Inflation
    CEPR Discussion Papers, Centre for Economic Policy Research, Research School of Economics, Australian National University
    See also Chapter (1998)
40. Why Tax Foreign Exchange? Comments on a Proposed Tobin Tax
    Working Papers, School of Economics, La Trobe University
    Also in Working Papers, School of Economics, La Trobe University (1998)
    See also Journal Article in Economic Papers (1998)

1997

41. A Multilateral Approach to Decomposing Volatility in Belateral Exchange Rates
    Working Papers, Australian National University - Department of Economics
42. Credit Limits and Long-Term Covered Interest Arbitrage
    Working Papers, Australian National University - Department of Economics
43. Towards a Strucrural VAR Model of the Australian Economy
    Working Papers, Australian National University - Department of Economics

1990

44. Volatility of the Australian Dollar Exchange Rate
    RBA Research Discussion Papers, Reserve Bank of Australia

Journal Articles

2013

1. On the correspondence between data revision and trend-cycle decomposition
   Applied Economics Letters, 2013, 20, (4), 316-319
   See also Working Paper (2012)

2012

2. Cojumping: Evidence from the US Treasury bond and futures markets
   Journal of Banking & Finance, 2012, 36, (5), 1563-1575 View citations (1)
   See also Working Paper (2010)
3. U.S. Monetary Policy Surprises: Identification with Shifts and Rotations in the Term Structure
   Journal of Money, Credit and Banking, 2012, 44, (7), 1443-1453

2011

4. Financial integration and the construction of historical financial data for the Euro Area
   Economic Modelling, 2011, 28, (4), 1498-1509
   See also Working Paper (2010)
5. First Home Buyers’ Support Schemes in Australia
   Australian Economic Review, 2011, 44, (4), 468-479
   See also Working Paper (2011)

2010

6. Unobservable shocks as carriers of contagion
   Journal of Banking & Finance, 2010, 34, (5), 1008-1021 View citations (7)

2009

7. Empirical evidence on jumps in the term structure of the US Treasury Market
   Journal of Empirical Finance, 2009, 16, (3), 430-445 View citations (2)
   See also Working Paper (2007)
8. Extending a SVAR Model of the Australian Economy
   The Economic Record, 2009, 85, (268), 1-20 View citations (4)
   See also Working Paper (2008)
9. Flight-to-quality and asymmetric volatility responses in US Treasuries
   Global Finance Journal, 2009, 19, (3), 252-267
10. Monetary Policy, Inflation, and the Business Cycle: An Introduction to the New Keynesian Framework
    The Economic Record, 2009, 85, (271), 493-493
11. The identification of fiscal and monetary policy in a structural VAR
    Economic Modelling, 2009, 26, (6), 1147-1160 View citations (3)
    See also Working Paper (2007)
12. Vintage and credit rating: what matters in the ABX data during the credit crunch?
    Proceedings, 2009, (Jan) View citations (3)

2008

13. Monetary Policy in Illiquid Markets: Options for a Small Open Economy
    Open Economies Review, 2008, 19, (3), 305-336
    See also Working Paper (2006)
14. The Tsunami: Measures of Contagion in the 2007–2008 Credit Crunch
    CESifo Forum, 2008, 9, (4), 33-43
15. The US treasury market in August 1998: untangling the effects of Hong Kong and Russia with high-frequency data
    International Journal of Finance & Economics, 2008, 13, (1), 40-52 View citations (4)
    See also Working Paper (2005)

2007

16. Contagion in global equity markets in 1998: The effects of the Russian and LTCM crises
    The North American Journal of Economics and Finance, 2007, 18, (2), 155-174 View citations (5)
17. Unravelling financial market linkages during crises
    Journal of Applied Econometrics, 2007, 22, (1), 89-119 View citations (31)

2006

18. A Web Of Shocks: Crises Across Asian Real Estate Markets
    The Journal of Real Estate Finance and Economics, 2006, 32, (3), 253-274 View citations (13)
19. Contagion in international bond markets during the Russian and the LTCM crises
    Journal of Financial Stability, 2006, 2, (1), 1-27 View citations (12)
20. Correlation, Contagion, and Asian Evidence
    Asian Economic Papers, 2006, 5, (2), 32-72 View citations (13)

2005

21. Empirical modelling of contagion: a review of methodologies
    Quantitative Finance, 2005, 5, (1), 9-24 View citations (47)
    See also Working Paper (2004)

2004

22. CURRENCY MARKET CONTAGION IN THE ASIA-PACIFIC REGION
    Australian Economic Papers, 2004, 43, (4), 379-395 View citations (10)
23. Identification of common and idiosyncratic shocks in real equity prices: Australia, 1982-2002
    Global Finance Journal, 2004, 15, (1), 81-102 View citations (2)
24. Identifying terms of trade effects in real exchange rate movements: evidence from Asia
    Journal of Asian Economics, 2004, 15, (2), 217-235 View citations (5)
25. Potential Growth and Inflation: Estimates for Australia, the United States and Canada
    Australian Economic Review, 2004, 37, (1), 89-101 View citations (1)

2003

26. A Perspective on Modelling the Australian Real Trade Weighted Index since the Float
    Australian Economic Papers, 2003, 42, (1), 56-76 View citations (3)
27. International Shocks on Australia - The Japanese Effect
    Australian Economic Papers, 2003, 42, (2), 158-182 View citations (1)

2002

28. International Shocks and the Role of Domestic Policy in Australia
    Australian Journal of Labour Economics (AJLE), 2002, 5, (2), 143-163 View citations (2)
    See also Working Paper (2001)

2000

29. A Structural VAR Model of the Australian Economy
    The Economic Record, 2000, 76, (235), 321-42 View citations (70)
30. A multivariate latent factor decomposition of international bond yield spreads
    Journal of Applied Econometrics, 2000, 15, (6), 697-715 View citations (44)
31. Dating Changes in Monetary Policy in Australia
    Australian Economic Review, 2000, 33, (3), 281-285
32. The Steady Inflation Rate of Economic Growth
    The Economic Record, 2000, 76, (235), 386-400
    See also Working Paper (1999)

1999

33. Decomposing exchange rate volatility around the Pacific Rim
    Journal of Asian Economics, 1999, 10, (4), 525-535 View citations (10)
    See also Working Paper (1999)

1998

34. WHY TAX FOREIGN EXCHANGE? COMMENTS ON A PROPOSED TOBIN TAX
    Economic Papers, 1998, 17, (3), 41-46
    See also Working Paper (1998)

Books

2011

1. Transmission of Financial Crises and Contagion: A Latent Factor Approach
   OUP Catalogue, Oxford University Press View citations (7)

Edited books

2005

1. Identifying International Financial Contagion: Progress and Challenges
   OUP Catalogue, Oxford University Press View citations (2)

Chapters

2010

1. Discussion of The Economic Consequences of Oil Shocks: Differences across Countries and Time
   A chapter in Inflation in an Era of Relative Price Shocks, 2010

2005

2. Discussion of 'Assessing the Sources of Changes in the Volatility of Real Growth'
   A chapter in The Changing Nature of the Business Cycle, 2005

1998

3. Prospects for Output and Employment Growth with Steady Inflation
   A chapter in Unemployment and the Australian Labour Market, 1998
   See also Working Paper (1998)