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Details about Mardi Dungey

This author is deceased (2019-01-12).

Access statistics for papers by Mardi Dungey.

Last updated 2023-12-26. Update your information in the RePEc Author Service.

Short-id: pdu7


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Working Papers

2020

  1. Industrial firms and systemic risk
    Economics Department Working Paper Series, Department of Economics, National University of Ireland - Maynooth Downloads View citations (7)

2019

  1. Changing Vulnerability in Asia: Contagion and Systemic Risk
    ADB Economics Working Paper Series, Asian Development Bank Downloads View citations (4)
  2. Crisis transmission: visualizing vulnerability
    Working Papers, University of Tasmania, Tasmanian School of Business and Economics Downloads
    See also Journal Article Crisis transmission: Visualizing vulnerability, Pacific-Basin Finance Journal, Elsevier (2020) Downloads View citations (3) (2020)
  3. The gains from catch-up for China and the US: An empirical framework
    CAMA Working Papers, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University Downloads
    See also Journal Article The Gains from Catch‐up for China and the USA: An Empirical Framework, The Economic Record, The Economic Society of Australia (2020) Downloads (2020)
  4. Transmission of a resource boom: The case of Australia
    CAMA Working Papers, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University Downloads View citations (5)
    See also Journal Article Transmission of a Resource Boom: The Case of Australia, Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford (2020) Downloads View citations (5) (2020)

2018

  1. Testing for mutually exciting jumps and financial flights in high frequency data
    Post-Print, HAL View citations (16)
    See also Journal Article Testing for mutually exciting jumps and financial flights in high frequency data, Journal of Econometrics, Elsevier (2018) Downloads View citations (15) (2018)
  2. The Changing Network of Financial Market Linkages: The Asian Experience
    ADB Economics Working Paper Series, Asian Development Bank Downloads View citations (2)
    Also in Working Papers, eSocialSciences (2018) Downloads View citations (2)
    Working Papers, University of Tasmania, Tasmanian School of Business and Economics (2018) Downloads View citations (2)

    See also Journal Article The changing network of financial market linkages: The Asian experience, International Review of Financial Analysis, Elsevier (2019) Downloads View citations (30) (2019)
  3. Who, What, Where? Residential Property Investment in Australia
    Working Papers, University of Tasmania, Tasmanian School of Business and Economics View citations (2)

2017

  1. Quantile relationships between standard, diffusion and jump betas across Japanese banks
    Working Papers, University of Tasmania, Tasmanian School of Business and Economics Downloads
    See also Journal Article Quantile relationships between standard, diffusion and jump betas across Japanese banks, Journal of Asian Economics, Elsevier (2018) Downloads View citations (1) (2018)
  2. R&D and wholesale trade are critical to the economy: Identifying dominant sectors from economic networks
    Working Papers, University of Tasmania, Tasmanian School of Business and Economics Downloads
    See also Journal Article R&D and wholesale trade are critical to the economy: Identifying dominant sectors from economic networks, Economics Letters, Elsevier (2018) Downloads View citations (6) (2018)
  3. Recovery from Dutch Disease
    CAMA Working Papers, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University Downloads View citations (3)
  4. Signed spillover effects building on historical decompositions
    CAMA Working Papers, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University Downloads View citations (9)
    Also in Working Papers, University of Tasmania, Tasmanian School of Business and Economics (2017) Downloads View citations (9)
  5. Strategic Bidding of Electric Power Generating Companies: Evidence from the Australian National Energy Market
    CESifo Working Paper Series, CESifo Downloads
  6. The changing international network of sovereign debt and financial institutions
    Working Papers, University of Tasmania, Tasmanian School of Business and Economics Downloads View citations (6)
    See also Journal Article The changing international network of sovereign debt and financial institutions, Journal of International Financial Markets, Institutions and Money, Elsevier (2019) Downloads View citations (11) (2019)

2016

  1. Forecasting output gaps in the G-7 countries: The role of correlated Innovations and structural breaks
    Working Papers, University of Tasmania, Tasmanian School of Business and Economics Downloads
    See also Journal Article Forecasting output gaps in the G-7 countries: the role of correlated innovations and structural breaks, Applied Economics, Taylor & Francis Journals (2017) Downloads View citations (2) (2017)
  2. Impacts of Economic Integration on Living Standards and Poverty Reduction of Rural Households
    MPRA Paper, University Library of Munich, Germany Downloads View citations (1)

2015

  1. Can monetary policy surprise the market?
    LCERPA Working Papers, Laurier Centre for Economic Research and Policy Analysis Downloads View citations (1)
    Also in CAMA Working Papers, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University (2015) Downloads View citations (1)
  2. High frequency characterization of Indian banking stocks
    Working Papers, University of Tasmania, Tasmanian School of Business and Economics Downloads
    See also Journal Article High-frequency Characterisation of Indian Banking Stocks, Journal of Emerging Market Finance, Institute for Financial Management and Research (2018) Downloads (2018)
  3. Surfing through the GFC: systemic risk in Australia
    Working Papers, University of Tasmania, Tasmanian School of Business and Economics Downloads View citations (7)
    See also Journal Article Surfing through the GFC: Systemic Risk in Australia, The Economic Record, The Economic Society of Australia (2017) Downloads View citations (10) (2017)

2014

  1. A Semiparametric Conditional Duration Model
    Working Papers, University of California at Riverside, Department of Economics Downloads
    See also Journal Article A semiparametric conditional duration model, Economics Letters, Elsevier (2014) Downloads (2014)
  2. Contagion and banking crisis — internatonal evidence for 2007-2009
    Working Papers, University of Tasmania, Tasmanian School of Business and Economics Downloads View citations (1)
    See also Journal Article Contagion and banking crisis – International evidence for 2007–2009, Journal of Banking & Finance, Elsevier (2015) Downloads View citations (57) (2015)
  3. Identifying periods of financial stress in Asian currencies: the role of high frequency financial market data
    Working Papers, University of Tasmania, Tasmanian School of Business and Economics Downloads View citations (3)
  4. Mortgage Choice Determinants: the Role of Risk and Bank Regulation
    Working Papers, University of Tasmania, Tasmanian School of Business and Economics Downloads View citations (1)
    See also Journal Article Mortgage Choice Determinants: The Role of Risk and Bank Regulation, The Economic Record, The Economic Society of Australia (2015) Downloads View citations (4) (2015)
  5. Should ASEAN-5 Monetary Policymakers Act Pre-emptively Against Stock Market Bubbles?
    Working Papers, University of Tasmania, Tasmanian School of Business and Economics Downloads
    See also Journal Article Should ASEAN-5 monetary policy-makers act pre-emptively against stock market bubbles?, Applied Economics, Taylor & Francis Journals (2015) Downloads View citations (11) (2015)
  6. The impact of post-IPO changes in corporate governance mechanisms on firm performance: evidence from young Australian firms
    Working Papers, University of Tasmania, Tasmanian School of Business and Economics Downloads
  7. VAR modelling in the presence of China’s rise: an application to the Taiwanese economy
    Working Papers, University of Tasmania, Tasmanian School of Business and Economics Downloads View citations (1)

2013

  1. Chinese Resource Demand and the Natural Resource Supplier
    CAMA Working Papers, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University Downloads View citations (4)
    Also in Working Papers, University of Tasmania, Tasmanian School of Business and Economics (2013) Downloads View citations (4)

    See also Journal Article Chinese resource demand and the natural resource supplier, Applied Economics, Taylor & Francis Journals (2014) Downloads View citations (28) (2014)
  2. Equity Market Contagion during the Global Financial Crisis: Evidence from the World’s Eight Largest Economies
    Working Papers, University of Tasmania, Tasmanian School of Business and Economics Downloads View citations (10)
    See also Journal Article Equity market contagion during the global financial crisis: Evidence from the world's eight largest economies, Economic Systems, Elsevier (2014) Downloads View citations (49) (2014)
  3. Equity portfolio diversification with high frequency data
    Working Papers, University of Tasmania, Tasmanian School of Business and Economics Downloads View citations (2)
    See also Journal Article Equity portfolio diversification with high frequency data, Quantitative Finance, Taylor & Francis Journals (2015) Downloads View citations (5) (2015)
  4. International Transmissions to Australia: The Roles of the US and Euro Area
    Working Papers, University of Tasmania, Tasmanian School of Business and Economics Downloads View citations (1)
    See also Journal Article International Transmissions to Australia: The Roles of the USA and Euro Area, The Economic Record, The Economic Society of Australia (2014) Downloads View citations (8) (2014)
  5. The impact of jumps and thin trading on realized hedge ratios
    Working Papers, University of Tasmania, Tasmanian School of Business and Economics Downloads
  6. Trend-Cycle Decomposition: Implications from an Exact Structural Identification
    CIRANO Working Papers, CIRANO Downloads
    Also in Working Papers, Federal Reserve Bank of Philadelphia (2013) Downloads

2012

  1. Endogenous Crisis Dating and Contagion Using Smooth Transition Structural GARCH
    Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney Downloads View citations (10)
    Also in Working Papers, University of Tasmania, Tasmanian School of Business and Economics (2012) Downloads View citations (15)

    See also Journal Article Endogenous crisis dating and contagion using smooth transition structural GARCH, Journal of Banking & Finance, Elsevier (2015) Downloads View citations (48) (2015)
  2. Modelling the Time Between Trades in the After-Hours Electronic Equity Futures Market
    Working Papers, University of Tasmania, Tasmanian School of Business and Economics Downloads
  3. On the correspondence between data revision and trend-cycle decomposition
    Working Papers, University of Tasmania, Tasmanian School of Business and Economics Downloads View citations (3)
    Also in CAMA Working Papers, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University (2012) Downloads View citations (2)

    See also Journal Article On the correspondence between data revision and trend-cycle decomposition, Applied Economics Letters, Taylor & Francis Journals (2013) Downloads View citations (1) (2013)
  4. On trend-cycle decomposition and data revision
    Research Report, University of Groningen, Research Institute SOM (Systems, Organisations and Management) Downloads View citations (6)
  5. Ranking Systemically Important Financial Institutions
    CAMA Working Papers, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University Downloads View citations (22)
    Also in Working Papers, University of Tasmania, Tasmanian School of Business and Economics (2012) Downloads View citations (19)
    Tinbergen Institute Discussion Papers, Tinbergen Institute (2012) Downloads View citations (20)

2011

  1. A SVECM Model of the UK Economy and The Term Premium
    Working Papers, University of Tasmania, Tasmanian School of Business and Economics Downloads View citations (1)
    Also in CAMA Working Papers, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University (2011) Downloads View citations (1)
  2. First home buyers' support schemes in Australia
    Working Papers, University of Tasmania, Tasmanian School of Business and Economics Downloads View citations (2)
    See also Journal Article First Home Buyers’ Support Schemes in Australia, Australian Economic Review, The University of Melbourne, Melbourne Institute of Applied Economic and Social Research (2011) Downloads View citations (2) (2011)
  3. Systematic and Liquidity Risk in Subprime-Mortgage Backed Securities
    Working Papers, University of Tasmania, Tasmanian School of Business and Economics Downloads
    Also in CAMA Working Papers, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University (2011) Downloads View citations (1)
    Economics Department Working Paper Series, Department of Economics, National University of Ireland - Maynooth (2011) Downloads
    FRB Atlanta Working Paper, Federal Reserve Bank of Atlanta (2011) Downloads

    See also Journal Article Systematic and Liquidity Risk in Subprime-Mortgage Backed Securities, Open Economies Review, Springer (2013) Downloads View citations (9) (2013)

2010

  1. Are Financial Crises Alike?
    IMF Working Papers, International Monetary Fund Downloads View citations (52)
    Also in CAMA Working Papers, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University (2008) Downloads View citations (7)
  2. Cojumping: Evidence from the US Treasury Bond and Future Markets (Discussion Paper 2010-06)
    Working Papers, University of Tasmania, Tasmanian School of Business and Economics Downloads View citations (1)
  3. Cojumping: Evidence from the US Treasury Bond and Futures Markets
    NCER Working Paper Series, National Centre for Econometric Research Downloads View citations (1)
    See also Journal Article Cojumping: Evidence from the US Treasury bond and futures markets, Journal of Banking & Finance, Elsevier (2012) Downloads View citations (52) (2012)
  4. Detecting Contagion with Correlation: Volatility and Timing Matter
    Working Papers, University of Tasmania, Tasmanian School of Business and Economics Downloads View citations (4)
    Also in CAMA Working Papers, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University (2009) Downloads View citations (1)
  5. 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 University of Manchester Downloads View citations (2)
    See also Journal Article Financial integration and the construction of historical financial data for the Euro Area, Economic Modelling, Elsevier (2011) Downloads View citations (9) (2011)
  6. Financial crises in Asia: concordance by asset market or country?
    Working Papers, University of Tasmania, Tasmanian School of Business and Economics Downloads View citations (1)
  7. From Trade-to-Trade in US Treasuries
    Working Papers, University of Tasmania, Tasmanian School of Business and Economics Downloads View citations (3)
  8. The internationalisation of financial crises
    Research Report, University of Groningen, Research Institute SOM (Systems, Organisations and Management) Downloads

2009

  1. Modelling International Linkages for Large Open Economies: US and Euro Area
    CAMA Working Papers, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University Downloads View citations (3)
    Also in Centre for Growth and Business Cycle Research Discussion Paper Series, Economics, The University of Manchester (2009) Downloads View citations (3)
  2. Modelling change in financial market integration
    CAMA Working Papers, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University Downloads

2008

  1. Extending an SVAR Model of the Australian Economy
    NCER Working Paper Series, National Centre for Econometric Research Downloads View citations (7)
    See also Journal Article Extending a SVAR Model of the Australian Economy, The Economic Record, The Economic Society of Australia (2009) Downloads View citations (31) (2009)
  2. Unobservable Shocks as Carriers of Contagion: A Dynamic Analysis Using Identified Structural GARCH
    NCER Working Paper Series, National Centre for Econometric Research Downloads View citations (7)

2007

  1. CONSTRUCTING HISTORICAL EURO AREA DATA
    CAMA Working Papers, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University Downloads View citations (10)
    Also in Money Macro and Finance (MMF) Research Group Conference 2006, Money Macro and Finance Research Group (2007) Downloads View citations (11)
  2. 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 Downloads View citations (4)
    See also Journal Article Empirical evidence on jumps in the term structure of the US Treasury Market, Journal of Empirical Finance, Elsevier (2009) Downloads View citations (59) (2009)
  3. 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 Downloads View citations (24)
    See also Journal Article The identification of fiscal and monetary policy in a structural VAR, Economic Modelling, Elsevier (2009) Downloads View citations (66) (2009)

2006

  1. 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 Downloads View citations (1)
    See also Journal Article Monetary Policy in Illiquid Markets: Options for a Small Open Economy, Open Economies Review, Springer (2008) Downloads View citations (12) (2008)

2005

  1. CONSTRUCTING A 2001 SOCIAL ACCOUNTING MATRIX OF TAJIKISTAN
    CAMA Working Papers, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University Downloads View citations (2)
  2. RAMSEY FISCAL AND MONETARY POLICY UNDER STICKY PRICES AND LIQUID BONDS
    CAMA Working Papers, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University Downloads
  3. 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 Downloads View citations (2)
  4. 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 Downloads View citations (1)
    See also Journal Article The US treasury market in August 1998: untangling the effects of Hong Kong and Russia with high-frequency data, International Journal of Finance & Economics, John Wiley & Sons, Ltd. (2008) Downloads View citations (6) (2008)

2004

  1. A web of shocks: Crises across Asian real estate market
    CAMA Working Papers, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University Downloads
    See also Journal Article A Web Of Shocks: Crises Across Asian Real Estate Markets, The Journal of Real Estate Finance and Economics, Springer (2006) Downloads View citations (40) (2006)
  2. Empirical Modeling of Contagion: A Review of Methodologies
    IMF Working Papers, International Monetary Fund Downloads View citations (59)
    Also in Econometric Society 2004 Far Eastern Meetings, Econometric Society (2004) Downloads View citations (33)
    Econometric Society 2004 Australasian Meetings, Econometric Society (2004) Downloads View citations (28)

    See also Journal Article Empirical modelling of contagion: a review of methodologies, Quantitative Finance, Taylor & Francis Journals (2005) Downloads View citations (279) (2005)
  3. On Synchronisation of Financial Crises
    Econometric Society 2004 Australasian Meetings, Econometric Society View citations (1)

2003

  1. Characterizing Global Investors' Risk Appetite for Emerging Market Debt During Financial Crises
    IMF Working Papers, International Monetary Fund Downloads View citations (9)
  2. 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 (4)
    See also Journal Article Identification of common and idiosyncratic shocks in real equity prices: Australia, 1982-2002, Global Finance Journal, Elsevier (2004) Downloads View citations (6) (2004)
  3. Unanticipated Shocks and Systemic Influences: The Impact of Contagion in Global Equity Markets in 1998
    IMF Working Papers, International Monetary Fund Downloads View citations (14)

2002

  1. International Contagion Effects from the Russian Crisis and the LTCM Near-Collapse
    IMF Working Papers, International Monetary Fund Downloads View citations (29)

2001

  1. 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 Downloads View citations (1)
  2. 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 Downloads
  3. Factor analysis of a model of stock market returns using simulation-based estimation techniques
    Pacific Basin Working Paper Series, Federal Reserve Bank of San Francisco Downloads View citations (1)
  4. 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 Downloads
    See also Journal Article International Shocks and the Role of Domestic Policy in Australia, Australian Journal of Labour Economics (AJLE), Bankwest Curtin Economics Centre (BCEC), Curtin Business School (2002) View citations (6) (2002)
  5. Testing for contagion using correlations: some words of caution
    Pacific Basin Working Paper Series, Federal Reserve Bank of San Francisco Downloads View citations (79)

2000

  1. A Multi-Country Structural VAR Model
    Departmental Working Papers, The Australian National University, Arndt-Corden Department of Economics Downloads View citations (4)

1999

  1. Decomposing Exchange Rate Volatility Around the Pacific Rim
    Working Papers, School of Economics, La Trobe University View citations (21)
    Also in Working Papers, School of Economics, La Trobe University (1999) View citations (20)

    See also Journal Article Decomposing exchange rate volatility around the Pacific Rim, Journal of Asian Economics, Elsevier (1999) Downloads View citations (18) (1999)
  2. The Steady Inflation Rate of Economic Growth
    CEPR Discussion Papers, Centre for Economic Policy Research, Research School of Economics, Australian National University Downloads
    See also Journal Article The Steady Inflation Rate of Economic Growth, The Economic Record, The Economic Society of Australia (2000) Downloads View citations (2) (2000)

1998

  1. Prospects for Output and Employment Growth with Steady Inflation
    CEPR Discussion Papers, Centre for Economic Policy Research, Research School of Economics, Australian National University View citations (5)
    See also Chapter Prospects for Output and Employment Growth with Steady Inflation, RBA Annual Conference Volume (Discontinued), Reserve Bank of Australia (1998) Downloads View citations (7) (1998)
  2. 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 WHY TAX FOREIGN EXCHANGE? COMMENTS ON A PROPOSED TOBIN TAX, Economic Papers, The Economic Society of Australia (1998) Downloads (1998)

1997

  1. A Multilateral Approach to Decomposing Volatility in Belateral Exchange Rates
    Working Papers, Australian National University - Department of Economics View citations (2)
  2. Credit Limits and Long-Term Covered Interest Arbitrage
    Working Papers, Australian National University - Department of Economics
  3. Towards a Strucrural VAR Model of the Australian Economy
    Working Papers, Australian National University - Department of Economics

1990

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

Journal Articles

2023

  1. Changing vulnerability in Asia: contagion and spillovers
    Empirical Economics, 2023, 64, (5), 2315-2355 Downloads
  2. Systematic Contagion Effects of the Global Finance Crisis: Evidence from the World’s Largest Advanced and Emerging Equity Markets
    JRFM, 2023, 16, (3), 1-20 Downloads View citations (1)

2022

  1. Characterizing financial crises using high-frequency data
    Quantitative Finance, 2022, 22, (4), 743-760 Downloads
  2. Dynamic effects of network exposure on equity markets
    Eurasian Economic Review, 2022, 12, (4), 569-629 Downloads
  3. Non-financial corporations and systemic risk
    Journal of Corporate Finance, 2022, 72, (C) Downloads View citations (5)

2020

  1. A threshold mixed count time series model: estimation and application
    Studies in Nonlinear Dynamics & Econometrics, 2020, 24, (2), 18 Downloads View citations (2)
  2. Are banking shocks contagious? Evidence from the eurozone
    Journal of Banking & Finance, 2020, 112, (C) Downloads View citations (16)
  3. Crisis transmission: Visualizing vulnerability
    Pacific-Basin Finance Journal, 2020, 59, (C) Downloads View citations (3)
    See also Working Paper Crisis transmission: visualizing vulnerability, Working Papers (2019) Downloads (2019)
  4. Examining stress in Asian currencies: A perspective offered by high frequency financial market data
    Journal of International Financial Markets, Institutions and Money, 2020, 67, (C) Downloads View citations (3)
  5. Jump Risk in the US Financial Sector
    The Economic Record, 2020, 96, (314), 331-349 Downloads View citations (1)
  6. Modelling Financial Contagion Using High Frequency Data
    The Economic Record, 2020, 96, (314), 314-330 Downloads View citations (1)
  7. The Gains from Catch‐up for China and the USA: An Empirical Framework
    The Economic Record, 2020, 96, (314), 350-365 Downloads
    See also Working Paper The gains from catch-up for China and the US: An empirical framework, CAMA Working Papers (2019) Downloads (2019)
  8. Transmission of a Resource Boom: The Case of Australia
    Oxford Bulletin of Economics and Statistics, 2020, 82, (3), 503-525 Downloads View citations (5)
    See also Working Paper Transmission of a resource boom: The case of Australia, CAMA Working Papers (2019) Downloads View citations (5) (2019)

2019

  1. Information Flow in Times of Crisis: The Case of the European Banking and Sovereign Sectors
    Econometrics, 2019, 7, (1), 1-20 Downloads View citations (4)
  2. The changing international network of sovereign debt and financial institutions
    Journal of International Financial Markets, Institutions and Money, 2019, 60, (C), 149-168 Downloads View citations (11)
    See also Working Paper The changing international network of sovereign debt and financial institutions, Working Papers (2017) Downloads View citations (6) (2017)
  3. The changing network of financial market linkages: The Asian experience
    International Review of Financial Analysis, 2019, 64, (C), 71-92 Downloads View citations (30)
    See also Working Paper The Changing Network of Financial Market Linkages: The Asian Experience, ADB Economics Working Paper Series (2018) Downloads View citations (2) (2018)

2018

  1. Endogeneity in household mortgage choice
    Economic Modelling, 2018, 73, (C), 30-44 Downloads View citations (4)
  2. High-frequency Characterisation of Indian Banking Stocks
    Journal of Emerging Market Finance, 2018, 17, (2_suppl), S213-S238 Downloads
    See also Working Paper High frequency characterization of Indian banking stocks, Working Papers (2015) Downloads (2015)
  3. Identifying contagion
    Journal of Applied Econometrics, 2018, 33, (2), 227-250 Downloads View citations (17)
  4. International trade and the transmission of shocks: The case of ASEAN-4 and NIE-4 economies
    Economic Modelling, 2018, 72, (C), 109-121 Downloads View citations (7)
  5. Quantile relationships between standard, diffusion and jump betas across Japanese banks
    Journal of Asian Economics, 2018, 59, (C), 29-47 Downloads View citations (1)
    See also Working Paper Quantile relationships between standard, diffusion and jump betas across Japanese banks, Working Papers (2017) Downloads (2017)
  6. R&D and wholesale trade are critical to the economy: Identifying dominant sectors from economic networks
    Economics Letters, 2018, 162, (C), 81-85 Downloads View citations (6)
    See also Working Paper R&D and wholesale trade are critical to the economy: Identifying dominant sectors from economic networks, Working Papers (2017) Downloads (2017)
  7. Systemic risk in the US: Interconnectedness as a circuit breaker
    Economic Modelling, 2018, 71, (C), 305-315 Downloads View citations (13)
  8. Testing for mutually exciting jumps and financial flights in high frequency data
    Journal of Econometrics, 2018, 202, (1), 18-44 Downloads View citations (15)
    See also Working Paper Testing for mutually exciting jumps and financial flights in high frequency data, Post-Print (2018) View citations (16) (2018)
  9. Using multiple correspondence analysis for finance: A tool for assessing financial inclusion
    International Review of Financial Analysis, 2018, 59, (C), 212-222 Downloads View citations (6)

2017

  1. Exchange rate risk exposure and the value of European firms
    The European Journal of Finance, 2017, 23, (2), 111-129 Downloads View citations (14)
  2. Forecasting output gaps in the G-7 countries: the role of correlated innovations and structural breaks
    Applied Economics, 2017, 49, (45), 4554-4566 Downloads View citations (2)
    See also Working Paper Forecasting output gaps in the G-7 countries: The role of correlated Innovations and structural breaks, Working Papers (2016) Downloads (2016)
  3. Surfing through the GFC: Systemic Risk in Australia
    The Economic Record, 2017, 93, (300), 1-19 Downloads View citations (10)
    See also Working Paper Surfing through the GFC: systemic risk in Australia, Working Papers (2015) Downloads View citations (7) (2015)
  4. Time-varying continuous and jump betas: The role of firm characteristics and periods of stress
    Journal of Empirical Finance, 2017, 40, (C), 1-19 Downloads View citations (20)

2016

  1. Can monetary policy surprises affect the term structure?
    Journal of Macroeconomics, 2016, 47, (PA), 68-83 Downloads View citations (6)
  2. Continuous and Jump Betas: Implications for Portfolio Diversification
    Econometrics, 2016, 4, (2), 1-15 Downloads View citations (5)

2015

  1. Contagion and banking crisis – International evidence for 2007–2009
    Journal of Banking & Finance, 2015, 60, (C), 271-283 Downloads View citations (57)
    See also Working Paper Contagion and banking crisis — internatonal evidence for 2007-2009, Working Papers (2014) Downloads View citations (1) (2014)
  2. Endogenous crisis dating and contagion using smooth transition structural GARCH
    Journal of Banking & Finance, 2015, 58, (C), 71-79 Downloads View citations (48)
    See also Working Paper Endogenous Crisis Dating and Contagion Using Smooth Transition Structural GARCH, Research Paper Series (2012) Downloads View citations (10) (2012)
  3. Equity portfolio diversification with high frequency data
    Quantitative Finance, 2015, 15, (7), 1205-1215 Downloads View citations (5)
    See also Working Paper Equity portfolio diversification with high frequency data, Working Papers (2013) Downloads View citations (2) (2013)
  4. Mortgage Choice Determinants: The Role of Risk and Bank Regulation
    The Economic Record, 2015, 91, (295), 417-437 Downloads View citations (4)
    See also Working Paper Mortgage Choice Determinants: the Role of Risk and Bank Regulation, Working Papers (2014) Downloads View citations (1) (2014)
  5. Should ASEAN-5 monetary policy-makers act pre-emptively against stock market bubbles?
    Applied Economics, 2015, 47, (11), 1086-1105 Downloads View citations (11)
    See also Working Paper Should ASEAN-5 Monetary Policymakers Act Pre-emptively Against Stock Market Bubbles?, Working Papers (2014) Downloads (2014)
  6. TREND IN CYCLE OR CYCLE IN TREND? NEW STRUCTURAL IDENTIFICATIONS FOR UNOBSERVED-COMPONENTS MODELS OF U.S. REAL GDP
    Macroeconomic Dynamics, 2015, 19, (4), 776-790 Downloads View citations (8)
  7. The influences of international output shocks from the US and China on ASEAN economies
    Journal of Asian Economics, 2015, 39, (C), 59-71 Downloads View citations (11)
  8. The internationalisation of financial crises: Banking and currency crises 1883–2008
    The North American Journal of Economics and Finance, 2015, 32, (C), 29-47 Downloads View citations (5)

2014

  1. A semiparametric conditional duration model
    Economics Letters, 2014, 124, (3), 362-366 Downloads
    See also Working Paper A Semiparametric Conditional Duration Model, Working Papers (2014) Downloads (2014)
  2. Chinese resource demand and the natural resource supplier
    Applied Economics, 2014, 46, (2), 167-178 Downloads View citations (28)
    See also Working Paper Chinese Resource Demand and the Natural Resource Supplier, CAMA Working Papers (2013) Downloads View citations (4) (2013)
  3. Equity market contagion during the global financial crisis: Evidence from the world's eight largest economies
    Economic Systems, 2014, 38, (2), 161-177 Downloads View citations (49)
    See also Working Paper Equity Market Contagion during the Global Financial Crisis: Evidence from the World’s Eight Largest Economies, Working Papers (2013) Downloads View citations (10) (2013)
  4. International Transmissions to Australia: The Roles of the USA and Euro Area
    The Economic Record, 2014, 90, (291), 421-446 Downloads View citations (8)
    See also Working Paper International Transmissions to Australia: The Roles of the US and Euro Area, Working Papers (2013) Downloads View citations (1) (2013)
  5. MODELLING LARGE OPEN ECONOMIES WITH INTERNATIONAL LINKAGES: THE USA AND EURO AREA
    Journal of Applied Econometrics, 2014, 29, (3), 377-393 Downloads View citations (12)
  6. The impact of natural disasters on household income, expenditure, poverty and inequality: evidence from Vietnam
    Applied Economics, 2014, 46, (15), 1751-1766 Downloads View citations (63)

2013

  1. Modeling trade duration in U.S. Treasury markets
    Quantitative Finance, 2013, 13, (9), 1431-1442 Downloads View citations (6)
  2. On the correspondence between data revision and trend-cycle decomposition
    Applied Economics Letters, 2013, 20, (4), 316-319 Downloads View citations (1)
    See also Working Paper On the correspondence between data revision and trend-cycle decomposition, Working Papers (2012) Downloads View citations (3) (2012)
  3. Systematic and Liquidity Risk in Subprime-Mortgage Backed Securities
    Open Economies Review, 2013, 24, (1), 5-32 Downloads View citations (9)
    See also Working Paper Systematic and Liquidity Risk in Subprime-Mortgage Backed Securities, Working Papers (2011) Downloads (2011)
  4. The cross market effects of short sale restrictions
    The North American Journal of Economics and Finance, 2013, 26, (C), 53-71 Downloads View citations (2)

2012

  1. Cojumping: Evidence from the US Treasury bond and futures markets
    Journal of Banking & Finance, 2012, 36, (5), 1563-1575 Downloads View citations (52)
    See also Working Paper Cojumping: Evidence from the US Treasury Bond and Futures Markets, NCER Working Paper Series (2010) Downloads View citations (1) (2010)
  2. 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 Downloads View citations (1)
    Also in Journal of Money, Credit and Banking, 2012, 44, (7), 1443-1453 (2012) Downloads View citations (19)

2011

  1. Financial integration and the construction of historical financial data for the Euro Area
    Economic Modelling, 2011, 28, (4), 1498-1509 Downloads View citations (9)
    See also Working Paper Financial Integration and the Construction of Historical Financial Data for the Euro Area, Centre for Growth and Business Cycle Research Discussion Paper Series (2010) Downloads View citations (2) (2010)
  2. First Home Buyers’ Support Schemes in Australia
    Australian Economic Review, 2011, 44, (4), 468-479 Downloads View citations (2)
    See also Working Paper First home buyers' support schemes in Australia, Working Papers (2011) Downloads View citations (2) (2011)

2010

  1. Unobservable shocks as carriers of contagion
    Journal of Banking & Finance, 2010, 34, (5), 1008-1021 Downloads View citations (50)

2009

  1. After‐hours trading in equity futures markets
    Journal of Futures Markets, 2009, 29, (2), 114-136 Downloads View citations (5)
  2. Empirical evidence on jumps in the term structure of the US Treasury Market
    Journal of Empirical Finance, 2009, 16, (3), 430-445 Downloads View citations (59)
    See also Working Paper EMPIRICAL EVIDENCE ON JUMPS IN THE TERM STRUCTURE OF THE US TREASURY MARKET, CAMA Working Papers (2007) Downloads View citations (4) (2007)
  3. Extending a SVAR Model of the Australian Economy
    The Economic Record, 2009, 85, (268), 1-20 Downloads View citations (31)
    See also Working Paper Extending an SVAR Model of the Australian Economy, NCER Working Paper Series (2008) Downloads View citations (7) (2008)
  4. Flight-to-quality and asymmetric volatility responses in US Treasuries
    Global Finance Journal, 2009, 19, (3), 252-267 Downloads View citations (6)
  5. Monetary Policy, Inflation, and the Business Cycle: An Introduction to the New Keynesian Framework
    The Economic Record, 2009, 85, (271), 493-493 Downloads
  6. More Confusion in Contagion Tests: the Effects of a Crisis Sourced in US Credit Markets
    The Journal of Economic Asymmetries, 2009, 6, (3), 41-70 Downloads View citations (4)
  7. The identification of fiscal and monetary policy in a structural VAR
    Economic Modelling, 2009, 26, (6), 1147-1160 Downloads View citations (66)
    See also Working Paper THE IDENTIFICATION OF FISCAL AND MONETARY POLICY IN A STRUCTURAL VAR, CAMA Working Papers (2007) Downloads View citations (24) (2007)
  8. Vintage and credit rating: what matters in the ABX data during the credit crunch?
    Proceedings, 2009, (Jan) Downloads View citations (3)

2008

  1. Monetary Policy in Illiquid Markets: Options for a Small Open Economy
    Open Economies Review, 2008, 19, (3), 305-336 Downloads View citations (12)
    See also Working Paper MONETARY POLICY IN ILLIQUID MARKETS: OPTIONS FOR A SMALL OPEN ECONOMY, CAMA Working Papers (2006) Downloads View citations (1) (2006)
  2. The Structure and Resilience of the Financial System ‐ edited by Christopher Kent and Jeremy Lawson
    The Economic Record, 2008, 84, (266), 397-398 Downloads
  3. The Tsunami: Measures of Contagion in the 2007–2008 Credit Crunch
    CESifo Forum, 2008, 9, (04), 33-43 Downloads View citations (3)
  4. 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 Downloads View citations (6)
    See also Working Paper THE US TREASURY MARKET IN AUGUST 1998: UNTANGLING THE EFFECTS OG HONG KONG AND RUSSIA WITH HIGH FREQUENCY DATA, CAMA Working Papers (2005) Downloads View citations (1) (2005)

2007

  1. 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 Downloads View citations (33)
  2. Unravelling financial market linkages during crises
    Journal of Applied Econometrics, 2007, 22, (1), 89-119 Downloads View citations (147)

2006

  1. A Web Of Shocks: Crises Across Asian Real Estate Markets
    The Journal of Real Estate Finance and Economics, 2006, 32, (3), 253-274 Downloads View citations (40)
    See also Working Paper A web of shocks: Crises across Asian real estate market, CAMA Working Papers (2004) Downloads (2004)
  2. Contagion in international bond markets during the Russian and the LTCM crises
    Journal of Financial Stability, 2006, 2, (1), 1-27 Downloads View citations (78)
  3. Correlation, Contagion, and Asian Evidence
    Asian Economic Papers, 2006, 5, (2), 32-72 Downloads View citations (21)

2005

  1. Empirical modelling of contagion: a review of methodologies
    Quantitative Finance, 2005, 5, (1), 9-24 Downloads View citations (279)
    See also Working Paper Empirical Modeling of Contagion: A Review of Methodologies, IMF Working Papers (2004) Downloads View citations (59) (2004)

2004

  1. A Multifactor Model of Exchange Rates with Unanticipated Shocks: Measuring Contagion in the East Asian Currency Crisis
    Journal of Emerging Market Finance, 2004, 3, (3), 305-330 Downloads View citations (34)
  2. CURRENCY MARKET CONTAGION IN THE ASIA‐PACIFIC REGION
    Australian Economic Papers, 2004, 43, (4), 379-395 Downloads View citations (25)
  3. Identification of common and idiosyncratic shocks in real equity prices: Australia, 1982-2002
    Global Finance Journal, 2004, 15, (1), 81-102 Downloads View citations (6)
    See also Working Paper Identification of Common and Idiosyncratic Shocks in Real Equity Prices: Australia 1982 to 2002, Departmental Working Papers (2003) View citations (4) (2003)
  4. Identifying terms of trade effects in real exchange rate movements: evidence from Asia
    Journal of Asian Economics, 2004, 15, (2), 217-235 Downloads View citations (10)

2003

  1. A Perspective on Modelling the Australian Real Trade Weighted Index since the Float
    Australian Economic Papers, 2003, 42, (1), 56-76 Downloads View citations (5)
  2. Equity Transmission Mechanisms from Asia to Australia: Interdependence or Contagion?
    Australian Journal of Management, 2003, 28, (2), 157-182 Downloads View citations (29)
  3. International Shocks on Australia – The Japanese Effect
    Australian Economic Papers, 2003, 42, (2), 158-182 Downloads View citations (9)

2002

  1. International Shocks and the Role of Domestic Policy in Australia
    Australian Journal of Labour Economics (AJLE), 2002, 5, (2), 143-163 View citations (6)
    See also Working Paper International Shocks and the Role of Domestic Policy in Australia, CEPR Discussion Papers (2001) Downloads (2001)

2000

  1. A Structural VAR Model of the Australian Economy
    The Economic Record, 2000, 76, (235), 321-342 Downloads View citations (130)
  2. A multivariate latent factor decomposition of international bond yield spreads
    Journal of Applied Econometrics, 2000, 15, (6), 697-715 Downloads View citations (100)
  3. Dating Changes in Monetary Policy in Australia
    Australian Economic Review, 2000, 33, (3), 281-285 Downloads View citations (2)
  4. The Steady Inflation Rate of Economic Growth
    The Economic Record, 2000, 76, (235), 386-400 Downloads View citations (2)
    See also Working Paper The Steady Inflation Rate of Economic Growth, CEPR Discussion Papers (1999) Downloads (1999)

1999

  1. Decomposing exchange rate volatility around the Pacific Rim
    Journal of Asian Economics, 1999, 10, (4), 525-535 Downloads View citations (18)
    See also Working Paper Decomposing Exchange Rate Volatility Around the Pacific Rim, Working Papers (1999) View citations (21) (1999)

1998

  1. WHY TAX FOREIGN EXCHANGE? COMMENTS ON A PROPOSED TOBIN TAX
    Economic Papers, 1998, 17, (3), 41-46 Downloads
    See also Working Paper Why Tax Foreign Exchange? Comments on a Proposed Tobin Tax, Working Papers (1998) (1998)

Books

2011

  1. Transmission of Financial Crises and Contagion: A Latent Factor Approach
    OUP Catalogue, Oxford University Press View citations (29)

Edited books

2005

  1. Identifying International Financial Contagion: Progress and Challenges
    OUP Catalogue, Oxford University Press View citations (38)

Chapters

2016

  1. Comments on "Monetary independence in a financially integrated world: what do measures of interest rate co-movement tell us?"
    A chapter in Expanding the boundaries of monetary policy in Asia and the Pacific, 2016, vol. 88, pp 207-212 Downloads

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 Downloads

2005

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

1998

  1. Prospects for Output and Employment Growth with Steady Inflation
    A chapter in Unemployment and the Australian Labour Market, 1998 Downloads View citations (7)
    See also Working Paper Prospects for Output and Employment Growth with Steady Inflation, Centre for Economic Policy Research, Research School of Economics, Australian National University (1998) View citations (5) (1998)
 
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