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 View citations (7)

2019

2. Changing Vulnerability in Asia: Contagion and Systemic Risk
   ADB Economics Working Paper Series, Asian Development Bank View citations (4)
3. Crisis transmission: visualizing vulnerability
   Working Papers, University of Tasmania, Tasmanian School of Business and Economics
   See also Journal Article Crisis transmission: Visualizing vulnerability, Pacific-Basin Finance Journal, Elsevier (2020) View citations (4) (2020)
4. 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
   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) (2020)
5. 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 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) View citations (6) (2020)

2018

6. 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) View citations (15) (2018)
7. The Changing Network of Financial Market Linkages: The Asian Experience
   ADB Economics Working Paper Series, Asian Development Bank View citations (2)
   Also in Working Papers, eSocialSciences (2018) View citations (2)
   Working Papers, University of Tasmania, Tasmanian School of Business and Economics (2018) View citations (2)
   See also Journal Article The changing network of financial market linkages: The Asian experience, International Review of Financial Analysis, Elsevier (2019) View citations (35) (2019)
8. Who, What, Where? Residential Property Investment in Australia
   Working Papers, University of Tasmania, Tasmanian School of Business and Economics View citations (2)

2017

9. Quantile relationships between standard, diffusion and jump betas across Japanese banks
   Working Papers, University of Tasmania, Tasmanian School of Business and Economics
   See also Journal Article Quantile relationships between standard, diffusion and jump betas across Japanese banks, Journal of Asian Economics, Elsevier (2018) View citations (1) (2018)
10. 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
    See also Journal Article R&D and wholesale trade are critical to the economy: Identifying dominant sectors from economic networks, Economics Letters, Elsevier (2018) View citations (6) (2018)
11. Recovery from Dutch Disease
    CAMA Working Papers, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University View citations (3)
12. Signed spillover effects building on historical decompositions
    Working Papers, University of Tasmania, Tasmanian School of Business and Economics View citations (9)
    Also in CAMA Working Papers, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University (2017) View citations (9)
13. Strategic Bidding of Electric Power Generating Companies: Evidence from the Australian National Energy Market
    CESifo Working Paper Series, CESifo
14. The changing international network of sovereign debt and financial institutions
    Working Papers, University of Tasmania, Tasmanian School of Business and Economics 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) View citations (14) (2019)

2016

15. 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
    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) View citations (2) (2017)
16. Impacts of Economic Integration on Living Standards and Poverty Reduction of Rural Households
    MPRA Paper, University Library of Munich, Germany View citations (1)

2015

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

2014

20. A Semiparametric Conditional Duration Model
    Working Papers, University of California at Riverside, Department of Economics
    See also Journal Article A semiparametric conditional duration model, Economics Letters, Elsevier (2014) (2014)
21. Contagion and banking crisis — internatonal evidence for 2007-2009
    Working Papers, University of Tasmania, Tasmanian School of Business and Economics View citations (1)
    See also Journal Article Contagion and banking crisis – International evidence for 2007–2009, Journal of Banking & Finance, Elsevier (2015) View citations (64) (2015)
22. 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 View citations (3)
23. Mortgage Choice Determinants: the Role of Risk and Bank Regulation
    Working Papers, University of Tasmania, Tasmanian School of Business and Economics 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) View citations (5) (2015)
24. Should ASEAN-5 Monetary Policymakers Act Pre-emptively Against Stock Market Bubbles?
    Working Papers, University of Tasmania, Tasmanian School of Business and Economics
    See also Journal Article Should ASEAN-5 monetary policy-makers act pre-emptively against stock market bubbles?, Applied Economics, Taylor & Francis Journals (2015) View citations (11) (2015)
25. 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
26. 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 View citations (1)

2013

27. 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 View citations (4)
    Also in Working Papers, University of Tasmania, Tasmanian School of Business and Economics (2013) View citations (4)
    See also Journal Article Chinese resource demand and the natural resource supplier, Applied Economics, Taylor & Francis Journals (2014) View citations (30) (2014)
28. 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 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) View citations (50) (2014)
29. Equity portfolio diversification with high frequency data
    Working Papers, University of Tasmania, Tasmanian School of Business and Economics View citations (2)
    See also Journal Article Equity portfolio diversification with high frequency data, Quantitative Finance, Taylor & Francis Journals (2015) View citations (7) (2015)
30. International Transmissions to Australia: The Roles of the US and Euro Area
    Working Papers, University of Tasmania, Tasmanian School of Business and Economics 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) View citations (8) (2014)
31. The impact of jumps and thin trading on realized hedge ratios
    Working Papers, University of Tasmania, Tasmanian School of Business and Economics
32. Trend-Cycle Decomposition: Implications from an Exact Structural Identification
    CIRANO Working Papers, CIRANO
    Also in Working Papers, Federal Reserve Bank of Philadelphia (2013)

2012

33. Endogenous Crisis Dating and Contagion Using Smooth Transition Structural GARCH
    Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney View citations (10)
    Also in Working Papers, University of Tasmania, Tasmanian School of Business and Economics (2012) View citations (15)
    See also Journal Article Endogenous crisis dating and contagion using smooth transition structural GARCH, Journal of Banking & Finance, Elsevier (2015) View citations (49) (2015)
34. Modelling the Time Between Trades in the After-Hours Electronic Equity Futures Market
    Working Papers, University of Tasmania, Tasmanian School of Business and Economics
35. 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 View citations (2)
    Also in Working Papers, University of Tasmania, Tasmanian School of Business and Economics (2012) View citations (3)
    See also Journal Article On the correspondence between data revision and trend-cycle decomposition, Applied Economics Letters, Taylor & Francis Journals (2013) View citations (2) (2013)
36. On trend-cycle decomposition and data revision
    Research Report, University of Groningen, Research Institute SOM (Systems, Organisations and Management) View citations (6)
37. Ranking Systemically Important Financial Institutions
    Tinbergen Institute Discussion Papers, Tinbergen Institute View citations (20)
    Also in CAMA Working Papers, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University (2012) View citations (22)
    Working Papers, University of Tasmania, Tasmanian School of Business and Economics (2012) View citations (19)

2011

38. A SVECM Model of the UK Economy and The Term Premium
    CAMA Working Papers, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University View citations (1)
    Also in Working Papers, University of Tasmania, Tasmanian School of Business and Economics (2011) View citations (1)
39. First home buyers' support schemes in Australia
    Working Papers, University of Tasmania, Tasmanian School of Business and Economics 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) View citations (2) (2011)
40. Systematic and Liquidity Risk in Subprime-Mortgage Backed Securities
    CAMA Working Papers, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University View citations (1)
    Also in FRB Atlanta Working Paper, Federal Reserve Bank of Atlanta (2011)
    Economics Department Working Paper Series, Department of Economics, National University of Ireland - Maynooth (2011)
    Working Papers, University of Tasmania, Tasmanian School of Business and Economics (2011)
    See also Journal Article Systematic and Liquidity Risk in Subprime-Mortgage Backed Securities, Open Economies Review, Springer (2013) View citations (9) (2013)

2010

41. Are Financial Crises Alike?
    IMF Working Papers, International Monetary Fund View citations (53)
    Also in CAMA Working Papers, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University (2008) View citations (7)
42. 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 View citations (1)
43. Cojumping: Evidence from the US Treasury Bond and Futures Markets
    NCER Working Paper Series, National Centre for Econometric Research View citations (1)
    See also Journal Article Cojumping: Evidence from the US Treasury bond and futures markets, Journal of Banking & Finance, Elsevier (2012) View citations (57) (2012)
44. Detecting Contagion with Correlation: Volatility and Timing Matter
    Working Papers, University of Tasmania, Tasmanian School of Business and Economics View citations (4)
    Also in CAMA Working Papers, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University (2009) View citations (1)
45. 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 View citations (2)
    See also Journal Article Financial integration and the construction of historical financial data for the Euro Area, Economic Modelling, Elsevier (2011) View citations (9) (2011)
46. Financial crises in Asia: concordance by asset market or country?
    Working Papers, University of Tasmania, Tasmanian School of Business and Economics View citations (1)
47. From Trade-to-Trade in US Treasuries
    Working Papers, University of Tasmania, Tasmanian School of Business and Economics View citations (3)
48. The internationalisation of financial crises
    Research Report, University of Groningen, Research Institute SOM (Systems, Organisations and Management)

2009

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

2008

51. Extending an SVAR Model of the Australian Economy
    NCER Working Paper Series, National Centre for Econometric Research View citations (7)
    See also Journal Article Extending a SVAR Model of the Australian Economy, The Economic Record, The Economic Society of Australia (2009) View citations (33) (2009)
52. Unobservable Shocks as Carriers of Contagion: A Dynamic Analysis Using Identified Structural GARCH
    NCER Working Paper Series, National Centre for Econometric Research View citations (7)

2007

53. CONSTRUCTING HISTORICAL EURO AREA DATA
    CAMA Working Papers, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University View citations (10)
    Also in Money Macro and Finance (MMF) Research Group Conference 2006, Money Macro and Finance Research Group (2007) View citations (11)
54. 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 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) View citations (61) (2009)
55. 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 (24)
    See also Journal Article The identification of fiscal and monetary policy in a structural VAR, Economic Modelling, Elsevier (2009) View citations (71) (2009)

2006

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

2005

57. 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 View citations (2)
58. 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
59. 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 View citations (2)
60. 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 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) View citations (6) (2008)

2004

61. 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
    See also Journal Article A Web Of Shocks: Crises Across Asian Real Estate Markets, The Journal of Real Estate Finance and Economics, Springer (2006) View citations (42) (2006)
62. Empirical Modeling of Contagion: A Review of Methodologies
    IMF Working Papers, International Monetary Fund View citations (59)
    Also in Econometric Society 2004 Australasian Meetings, Econometric Society (2004) View citations (28)
    Econometric Society 2004 Far Eastern Meetings, Econometric Society (2004) View citations (32)
    See also Journal Article Empirical modelling of contagion: a review of methodologies, Quantitative Finance, Taylor & Francis Journals (2005) View citations (282) (2005)
63. On Synchronisation of Financial Crises
    Econometric Society 2004 Australasian Meetings, Econometric Society View citations (1)

2003

64. Characterizing Global Investors' Risk Appetite for Emerging Market Debt During Financial Crises
    IMF Working Papers, International Monetary Fund View citations (9)
65. 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) View citations (6) (2004)
66. Unanticipated Shocks and Systemic Influences: The Impact of Contagion in Global Equity Markets in 1998
    IMF Working Papers, International Monetary Fund View citations (14)

2002

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

2001

68. 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 View citations (1)
69. 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
70. 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 View citations (1)
71. 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 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)
72. Testing for contagion using correlations: some words of caution
    Pacific Basin Working Paper Series, Federal Reserve Bank of San Francisco View citations (80)

2000

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

1999

74. 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) View citations (18) (1999)
75. 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 The Steady Inflation Rate of Economic Growth, The Economic Record, The Economic Society of Australia (2000) View citations (2) (2000)

1998

76. 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) View citations (7) (1998)
77. 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) (1998)

1997

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

1990

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

Journal Articles

2023

1. Changing vulnerability in Asia: contagion and spillovers
   Empirical Economics, 2023, 64, (5), 2315-2355 View citations (1)
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 View citations (1)

2022

3. Characterizing financial crises using high-frequency data
   Quantitative Finance, 2022, 22, (4), 743-760
4. Dynamic effects of network exposure on equity markets
   Eurasian Economic Review, 2022, 12, (4), 569-629
5. Non-financial corporations and systemic risk
   Journal of Corporate Finance, 2022, 72, (C) View citations (13)

2020

6. A threshold mixed count time series model: estimation and application
   Studies in Nonlinear Dynamics & Econometrics, 2020, 24, (2), 18 View citations (2)
7. Are banking shocks contagious? Evidence from the eurozone
   Journal of Banking & Finance, 2020, 112, (C) View citations (19)
8. Crisis transmission: Visualizing vulnerability
   Pacific-Basin Finance Journal, 2020, 59, (C) View citations (4)
   See also Working Paper Crisis transmission: visualizing vulnerability, Working Papers (2019) (2019)
9. 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) View citations (3)
10. Jump Risk in the US Financial Sector
    The Economic Record, 2020, 96, (314), 331-349 View citations (1)
11. Modelling Financial Contagion Using High Frequency Data
    The Economic Record, 2020, 96, (314), 314-330 View citations (1)
12. The Gains from Catch‐up for China and the USA: An Empirical Framework
    The Economic Record, 2020, 96, (314), 350-365
    See also Working Paper The gains from catch-up for China and the US: An empirical framework, CAMA Working Papers (2019) (2019)
13. Transmission of a Resource Boom: The Case of Australia
    Oxford Bulletin of Economics and Statistics, 2020, 82, (3), 503-525 View citations (6)
    See also Working Paper Transmission of a resource boom: The case of Australia, CAMA Working Papers (2019) View citations (5) (2019)

2019

14. Information Flow in Times of Crisis: The Case of the European Banking and Sovereign Sectors
    Econometrics, 2019, 7, (1), 1-20 View citations (4)
15. The changing international network of sovereign debt and financial institutions
    Journal of International Financial Markets, Institutions and Money, 2019, 60, (C), 149-168 View citations (14)
    See also Working Paper The changing international network of sovereign debt and financial institutions, Working Papers (2017) View citations (6) (2017)
16. The changing network of financial market linkages: The Asian experience
    International Review of Financial Analysis, 2019, 64, (C), 71-92 View citations (35)
    See also Working Paper The Changing Network of Financial Market Linkages: The Asian Experience, ADB Economics Working Paper Series (2018) View citations (2) (2018)

2018

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

2017

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

2016

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

2015

32. Contagion and banking crisis – International evidence for 2007–2009
    Journal of Banking & Finance, 2015, 60, (C), 271-283 View citations (64)
    See also Working Paper Contagion and banking crisis — internatonal evidence for 2007-2009, Working Papers (2014) View citations (1) (2014)
33. Endogenous crisis dating and contagion using smooth transition structural GARCH
    Journal of Banking & Finance, 2015, 58, (C), 71-79 View citations (49)
    See also Working Paper Endogenous Crisis Dating and Contagion Using Smooth Transition Structural GARCH, Research Paper Series (2012) View citations (10) (2012)
34. Equity portfolio diversification with high frequency data
    Quantitative Finance, 2015, 15, (7), 1205-1215 View citations (7)
    See also Working Paper Equity portfolio diversification with high frequency data, Working Papers (2013) View citations (2) (2013)
35. Mortgage Choice Determinants: The Role of Risk and Bank Regulation
    The Economic Record, 2015, 91, (295), 417-437 View citations (5)
    See also Working Paper Mortgage Choice Determinants: the Role of Risk and Bank Regulation, Working Papers (2014) View citations (1) (2014)
36. Should ASEAN-5 monetary policy-makers act pre-emptively against stock market bubbles?
    Applied Economics, 2015, 47, (11), 1086-1105 View citations (11)
    See also Working Paper Should ASEAN-5 Monetary Policymakers Act Pre-emptively Against Stock Market Bubbles?, Working Papers (2014) (2014)
37. 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 View citations (11)
38. The influences of international output shocks from the US and China on ASEAN economies
    Journal of Asian Economics, 2015, 39, (C), 59-71 View citations (11)
39. The internationalisation of financial crises: Banking and currency crises 1883–2008
    The North American Journal of Economics and Finance, 2015, 32, (C), 29-47 View citations (5)

2014

40. A semiparametric conditional duration model
    Economics Letters, 2014, 124, (3), 362-366
    See also Working Paper A Semiparametric Conditional Duration Model, Working Papers (2014) (2014)
41. Chinese resource demand and the natural resource supplier
    Applied Economics, 2014, 46, (2), 167-178 View citations (30)
    See also Working Paper Chinese Resource Demand and the Natural Resource Supplier, CAMA Working Papers (2013) View citations (4) (2013)
42. Equity market contagion during the global financial crisis: Evidence from the world's eight largest economies
    Economic Systems, 2014, 38, (2), 161-177 View citations (50)
    See also Working Paper Equity Market Contagion during the Global Financial Crisis: Evidence from the World’s Eight Largest Economies, Working Papers (2013) View citations (10) (2013)
43. International Transmissions to Australia: The Roles of the USA and Euro Area
    The Economic Record, 2014, 90, (291), 421-446 View citations (8)
    See also Working Paper International Transmissions to Australia: The Roles of the US and Euro Area, Working Papers (2013) View citations (1) (2013)
44. MODELLING LARGE OPEN ECONOMIES WITH INTERNATIONAL LINKAGES: THE USA AND EURO AREA
    Journal of Applied Econometrics, 2014, 29, (3), 377-393 View citations (13)
45. The impact of natural disasters on household income, expenditure, poverty and inequality: evidence from Vietnam
    Applied Economics, 2014, 46, (15), 1751-1766 View citations (76)

2013

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

2012

50. Cojumping: Evidence from the US Treasury bond and futures markets
    Journal of Banking & Finance, 2012, 36, (5), 1563-1575 View citations (57)
    See also Working Paper Cojumping: Evidence from the US Treasury Bond and Futures Markets, NCER Working Paper Series (2010) View citations (1) (2010)
51. 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 View citations (2)
    Also in Journal of Money, Credit and Banking, 2012, 44, (7), 1443-1453 (2012) View citations (21)

2011

52. Financial integration and the construction of historical financial data for the Euro Area
    Economic Modelling, 2011, 28, (4), 1498-1509 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) View citations (2) (2010)
53. First Home Buyers’ Support Schemes in Australia
    Australian Economic Review, 2011, 44, (4), 468-479 View citations (2)
    See also Working Paper First home buyers' support schemes in Australia, Working Papers (2011) View citations (2) (2011)

2010

54. Unobservable shocks as carriers of contagion
    Journal of Banking & Finance, 2010, 34, (5), 1008-1021 View citations (51)

2009

55. After‐hours trading in equity futures markets
    Journal of Futures Markets, 2009, 29, (2), 114-136 View citations (5)
56. Empirical evidence on jumps in the term structure of the US Treasury Market
    Journal of Empirical Finance, 2009, 16, (3), 430-445 View citations (61)
    See also Working Paper EMPIRICAL EVIDENCE ON JUMPS IN THE TERM STRUCTURE OF THE US TREASURY MARKET, CAMA Working Papers (2007) View citations (4) (2007)
57. Extending a SVAR Model of the Australian Economy
    The Economic Record, 2009, 85, (268), 1-20 View citations (33)
    See also Working Paper Extending an SVAR Model of the Australian Economy, NCER Working Paper Series (2008) View citations (7) (2008)
58. Flight-to-quality and asymmetric volatility responses in US Treasuries
    Global Finance Journal, 2009, 19, (3), 252-267 View citations (6)
59. Monetary Policy, Inflation, and the Business Cycle: An Introduction to the New Keynesian Framework
    The Economic Record, 2009, 85, (271), 493-493
60. 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 View citations (4)
61. The identification of fiscal and monetary policy in a structural VAR
    Economic Modelling, 2009, 26, (6), 1147-1160 View citations (71)
    See also Working Paper THE IDENTIFICATION OF FISCAL AND MONETARY POLICY IN A STRUCTURAL VAR, CAMA Working Papers (2007) View citations (24) (2007)
62. Vintage and credit rating: what matters in the ABX data during the credit crunch?
    Proceedings, 2009, (Jan) View citations (3)

2008

63. Monetary Policy in Illiquid Markets: Options for a Small Open Economy
    Open Economies Review, 2008, 19, (3), 305-336 View citations (12)
    See also Working Paper MONETARY POLICY IN ILLIQUID MARKETS: OPTIONS FOR A SMALL OPEN ECONOMY, CAMA Working Papers (2006) View citations (1) (2006)
64. The Structure and Resilience of the Financial System ‐ edited by Christopher Kent and Jeremy Lawson
    The Economic Record, 2008, 84, (266), 397-398
65. The Tsunami: Measures of Contagion in the 2007–2008 Credit Crunch
    CESifo Forum, 2008, 9, (04), 33-43 View citations (3)
66. 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 (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) View citations (1) (2005)

2007

67. 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 (33)
68. Unravelling financial market linkages during crises
    Journal of Applied Econometrics, 2007, 22, (1), 89-119 View citations (147)

2006

69. 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 (42)
    See also Working Paper A web of shocks: Crises across Asian real estate market, CAMA Working Papers (2004) (2004)
70. Contagion in international bond markets during the Russian and the LTCM crises
    Journal of Financial Stability, 2006, 2, (1), 1-27 View citations (81)
71. Correlation, Contagion, and Asian Evidence
    Asian Economic Papers, 2006, 5, (2), 32-72 View citations (21)

2005

72. Empirical modelling of contagion: a review of methodologies
    Quantitative Finance, 2005, 5, (1), 9-24 View citations (282)
    See also Working Paper Empirical Modeling of Contagion: A Review of Methodologies, IMF Working Papers (2004) View citations (59) (2004)

2004

73. 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 View citations (33)
74. CURRENCY MARKET CONTAGION IN THE ASIA‐PACIFIC REGION
    Australian Economic Papers, 2004, 43, (4), 379-395 View citations (25)
75. Identification of common and idiosyncratic shocks in real equity prices: Australia, 1982-2002
    Global Finance Journal, 2004, 15, (1), 81-102 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)
76. Identifying terms of trade effects in real exchange rate movements: evidence from Asia
    Journal of Asian Economics, 2004, 15, (2), 217-235 View citations (10)

2003

77. A Perspective on Modelling the Australian Real Trade Weighted Index since the Float
    Australian Economic Papers, 2003, 42, (1), 56-76 View citations (6)
78. Equity Transmission Mechanisms from Asia to Australia: Interdependence or Contagion?
    Australian Journal of Management, 2003, 28, (2), 157-182 View citations (29)
79. International Shocks on Australia – The Japanese Effect
    Australian Economic Papers, 2003, 42, (2), 158-182 View citations (9)

2002

80. 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) (2001)

2000

81. A Structural VAR Model of the Australian Economy
    The Economic Record, 2000, 76, (235), 321-342 View citations (134)
82. A multivariate latent factor decomposition of international bond yield spreads
    Journal of Applied Econometrics, 2000, 15, (6), 697-715 View citations (99)
83. Dating Changes in Monetary Policy in Australia
    Australian Economic Review, 2000, 33, (3), 281-285 View citations (2)
84. The Steady Inflation Rate of Economic Growth
    The Economic Record, 2000, 76, (235), 386-400 View citations (2)
    See also Working Paper The Steady Inflation Rate of Economic Growth, CEPR Discussion Papers (1999) (1999)

1999

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

1998

86. WHY TAX FOREIGN EXCHANGE? COMMENTS ON A PROPOSED TOBIN TAX
    Economic Papers, 1998, 17, (3), 41-46
    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 (30)

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

2010

2. 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

3. 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

4. Prospects for Output and Employment Growth with Steady Inflation
   A chapter in Unemployment and the Australian Labour Market, 1998 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)