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Details about Renee A. Fry-McKibbin

Homepage:https://crawford.anu.edu.au/people/academic/renee-mckibbin-fry
Workplace:Centre for Applied Macroeconomic Analysis (CAMA), Crawford School of Public Policy, Australian National University, (more information at EDIRC)

Access statistics for papers by Renee A. Fry-McKibbin.

Last updated 2025-03-17. Update your information in the RePEc Author Service.

Short-id: pfr116


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Working Papers

2022

  1. Measuring Global Interest Rate Comovements with Implications for Monetary Policy Interdependence
    RBA Annual Conference Papers, Reserve Bank of Australia Downloads

2021

  1. Higher-order comoment contagion among G20 equity markets during the COVID-19 pandemic
    CAMA Working Papers, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University Downloads View citations (2)
    See also Journal Article Higher-order comoment contagion among G20 equity markets during the COVID-19 pandemic, Finance Research Letters, Elsevier (2022) Downloads View citations (8) (2022)
  2. How do oil shocks transmit through the US economy? Evidence from a large BVAR model with stochastic volatility
    CAMA Working Papers, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University Downloads View citations (1)

2020

  1. Capital market liberalization and equity market interdependence
    CAMA Working Papers, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University Downloads
  2. Disentangling commodity demand, commodity supply, and international liquidity shocks on an emerging market
    CAMA Working Papers, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University Downloads

2019

  1. 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 (6) (2020)

2018

  1. Chinese resource demand or commodity price shocks: Macroeconomic effects for an emerging market economy
    CAMA Working Papers, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University Downloads View citations (2)
  2. Measuring financial interdependence in asset returns with an application to euro zone equities
    CAMA Working Papers, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University Downloads

2017

  1. Joint tests of contagion with applications to financial crises
    CAMA Working Papers, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University Downloads View citations (4)
    Also in CAMA Working Papers, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University (2017) Downloads View citations (3)
  2. 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)

2016

  1. Effects of US monetary policy shocks during financial crises - A threshold vector autoregression approach
    CAMA Working Papers, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University Downloads View citations (11)
    See also Journal Article Effects of the US monetary policy shocks during financial crises – a threshold vector autoregression approach, Applied Economics, Taylor & Francis Journals (2016) Downloads View citations (10) (2016)

2015

  1. Extremal dependence tests for contagion
    CAMA Working Papers, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University Downloads View citations (13)
    See also Journal Article Extremal dependence tests for contagion, Econometric Reviews, Taylor & Francis Journals (2018) Downloads View citations (42) (2018)

2014

  1. Does Inflation Targeting Outperform Alternative Policies during Global Downturns?
    CAMA Working Papers, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University Downloads View citations (5)
  2. Extremal Dependence and Contagion
    CAMA Working Papers, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University Downloads View citations (3)
  3. Foreign Reserve Accumulation and the Mercantilist Motive Hypothesis
    CAMA Working Papers, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University Downloads

2013

  1. A Regime Switching Skew-normal Model for Measuring Financial Crisis and Contagion
    CAMA Working Papers, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University Downloads View citations (3)
  2. 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 (30) (2014)
  3. Financial Contagion and Asset Pricing
    CAMA Working Papers, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University Downloads View citations (2)
    See also Journal Article Financial contagion and asset pricing, Journal of Banking & Finance, Elsevier (2014) Downloads View citations (32) (2014)

2012

  1. Currency Intervention: A Case Study of an Emerging Market
    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 Currency intervention: A case study of an emerging market, Journal of International Money and Finance, Elsevier (2013) Downloads View citations (6) (2013)

2011

  1. Actually This Time Is Different
    CAMA Working Papers, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University Downloads View citations (14)

2010

  1. Are Financial Crises Alike?
    IMF Working Papers, International Monetary Fund Downloads View citations (53)
    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. Sign Restrictions in Structural Vector Autoregressions: A Critical Review
    NCER Working Paper Series, National Centre for Econometric Research Downloads View citations (21)
    Also in CAMA Working Papers, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University (2010) Downloads View citations (16)

    See also Journal Article Sign Restrictions in Structural Vector Autoregressions: A Critical Review, Journal of Economic Literature, American Economic Association (2011) Downloads View citations (550) (2011)

2009

  1. Overvaluation in Australian housing and equity markets: Wealth effects or monetary policy?
    CAMA Working Papers, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University Downloads View citations (2)
    See also Journal Article Overvaluation in Australian Housing and Equity Markets: Wealth Effects or Monetary Policy?, The Economic Record, The Economic Society of Australia (2010) Downloads View citations (14) (2010)

2008

  1. A NEW CLASS OF TESTS OF CONTAGION WITH APPLICATIONS TO REAL ESTATE MARKETS
    CAMA Working Papers, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University Downloads View citations (10)

2007

  1. Some Issues in Using Sign Restrictions for Identifying Structural VARs
    NCER Working Paper Series, National Centre for Econometric Research Downloads View citations (155)
  2. 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 (70) (2009)

2006

  1. COMMODITY CURRENCIES AND CURRENCY COMMODITIES
    CAMA Working Papers, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University Downloads View citations (6)
    Also in Economics Discussion / Working Papers, The University of Western Australia, Department of Economics (2006) Downloads View citations (7)

    See also Journal Article Commodity currencies and currency commodities, Resources Policy, Elsevier (2008) Downloads View citations (46) (2008)
  2. ENDOGENOUS CONTAGION - A PANEL DATA ANALYSIS
    CAMA Working Papers, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University Downloads View citations (5)
  3. 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. 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)
  2. SOME ISSUES IN USING VARS FOR MACROECONOMETRIC RESEARCH
    CAMA Working Papers, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University Downloads View citations (52)

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 (42) (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 (32)
    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 (282) (2005)

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)

2000

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

Journal Articles

2023

  1. The evolution of commodity market financialization: Implications for portfolio diversification
    Journal of Commodity Markets, 2023, 32, (C) Downloads View citations (1)

2022

  1. Higher-order comoment contagion among G20 equity markets during the COVID-19 pandemic
    Finance Research Letters, 2022, 45, (C) Downloads View citations (8)
    See also Working Paper Higher-order comoment contagion among G20 equity markets during the COVID-19 pandemic, CAMA Working Papers (2021) Downloads View citations (2) (2021)

2021

  1. Global liquidity and commodity market interactions: Macroeconomic effects on a commodity exporting emerging market
    International Review of Economics & Finance, 2021, 76, (C), 781-800 Downloads View citations (10)
  2. Measuring financial interdependence in asset markets with an application to eurozone equities
    Journal of Banking & Finance, 2021, 122, (C) Downloads View citations (11)

2020

  1. Transmission of a Resource Boom: The Case of Australia
    Oxford Bulletin of Economics and Statistics, 2020, 82, (3), 503-525 Downloads View citations (6)
    See also Working Paper Transmission of a resource boom: The case of Australia, CAMA Working Papers (2019) Downloads View citations (5) (2019)

2019

  1. A regime switching skew-normal model of contagion
    Studies in Nonlinear Dynamics & Econometrics, 2019, 23, (1), 24 Downloads View citations (10)
  2. Joint tests of contagion with applications
    Quantitative Finance, 2019, 19, (3), 473-490 Downloads View citations (19)
  3. News and Notices
    The Economic Record, 2019, 95, (310), 401-405 Downloads

2018

  1. Extremal dependence tests for contagion
    Econometric Reviews, 2018, 37, (6), 626-649 Downloads View citations (42)
    See also Working Paper Extremal dependence tests for contagion, CAMA Working Papers (2015) Downloads View citations (13) (2015)
  2. Global and regional financial integration in East Asia and the ASEAN
    The North American Journal of Economics and Finance, 2018, 46, (C), 202-221 Downloads View citations (11)

2016

  1. Effects of the US monetary policy shocks during financial crises – a threshold vector autoregression approach
    Applied Economics, 2016, 48, (59), 5802-5823 Downloads View citations (10)
    See also Working Paper Effects of US monetary policy shocks during financial crises - A threshold vector autoregression approach, CAMA Working Papers (2016) Downloads View citations (11) (2016)

2014

  1. Chinese resource demand and the natural resource supplier
    Applied Economics, 2014, 46, (2), 167-178 Downloads View citations (30)
    See also Working Paper Chinese Resource Demand and the Natural Resource Supplier, CAMA Working Papers (2013) Downloads View citations (4) (2013)
  2. Contagion and Global Financial Crises: Lessons from Nine Crisis Episodes
    Open Economies Review, 2014, 25, (3), 521-570 Downloads View citations (37)
  3. Financial contagion and asset pricing
    Journal of Banking & Finance, 2014, 47, (C), 296-308 Downloads View citations (32)
    See also Working Paper Financial Contagion and Asset Pricing, CAMA Working Papers (2013) Downloads View citations (2) (2013)

2013

  1. Currency intervention: A case study of an emerging market
    Journal of International Money and Finance, 2013, 37, (C), 25-47 Downloads View citations (6)
    See also Working Paper Currency Intervention: A Case Study of an Emerging Market, CAMA Working Papers (2012) Downloads View citations (1) (2012)

2011

  1. Sign Restrictions in Structural Vector Autoregressions: A Critical Review
    Journal of Economic Literature, 2011, 49, (4), 938-60 Downloads View citations (550)
    See also Working Paper Sign Restrictions in Structural Vector Autoregressions: A Critical Review, NCER Working Paper Series (2010) Downloads View citations (21) (2010)

2010

  1. A New Class of Tests of Contagion With Applications
    Journal of Business & Economic Statistics, 2010, 28, (3), 423-437 Downloads View citations (114)
  2. Overvaluation in Australian Housing and Equity Markets: Wealth Effects or Monetary Policy?
    The Economic Record, 2010, 86, (275), 465-485 Downloads View citations (14)
    See also Working Paper Overvaluation in Australian housing and equity markets: Wealth effects or monetary policy?, CAMA Working Papers (2009) Downloads View citations (2) (2009)

2009

  1. 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)
  2. Multivariate contagion and interdependence
    Journal of Asian Economics, 2009, 20, (4), 353-366 Downloads View citations (35)
  3. The identification of fiscal and monetary policy in a structural VAR
    Economic Modelling, 2009, 26, (6), 1147-1160 Downloads View citations (70)
    See also Working Paper THE IDENTIFICATION OF FISCAL AND MONETARY POLICY IN A STRUCTURAL VAR, CAMA Working Papers (2007) Downloads View citations (24) (2007)

2008

  1. Commodity currencies and currency commodities
    Resources Policy, 2008, 33, (2), 55-73 Downloads View citations (46)
    See also Working Paper COMMODITY CURRENCIES AND CURRENCY COMMODITIES, CAMA Working Papers (2006) Downloads View citations (6) (2006)
  2. 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)

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)

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 (42)
    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 (81)
  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 (282)
    See also Working Paper Empirical Modeling of Contagion: A Review of Methodologies, IMF Working Papers (2004) Downloads View citations (59) (2004)

2004

  1. CURRENCY MARKET CONTAGION IN THE ASIA‐PACIFIC REGION
    Australian Economic Papers, 2004, 43, (4), 379-395 Downloads View citations (25)
  2. 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)
  3. International demand and liquidity shocks in a SVAR model of the Australian economy
    Applied Economics, 2004, 36, (8), 849-863 Downloads View citations (2)

2003

  1. Equity Transmission Mechanisms from Asia to Australia: Interdependence or Contagion?
    Australian Journal of Management, 2003, 28, (2), 157-182 Downloads View citations (29)
  2. International Shocks on Australia – The Japanese Effect
    Australian Economic Papers, 2003, 42, (2), 158-182 Downloads View citations (9)

Books

2011

  1. Transmission of Financial Crises and Contagion: A Latent Factor Approach
    OUP Catalogue, Oxford University Press View citations (30)

Edited books

2011

  1. Sovereign Wealth:The Role of State Capital in the New Financial Order
    World Scientific Books, World Scientific Publishing Co. Pte. Ltd. Downloads View citations (4)

Chapters

2020

  1. Comments on "Impact of relative price changes and asymmetric adjustments on aggregate inflation: evidence from the Philippines"
    A chapter in Inflation dynamics in Asia and the Pacific, 2020, vol. 111, pp 123-127 Downloads

2011

  1. Financial Crises Propagation
    A chapter in The Impact of the Global Financial Crisis on Emerging Financial Markets, 2011, pp 495-522 Downloads
  2. Sovereign Wealth Funds in an Evolving Global Financial System
    Chapter 1 in Sovereign Wealth The Role of State Capital in the New Financial Order, 2011, pp 1-13 Downloads

2010

  1. Introduction to Inflation in an Era of Relative Price Shocks
    A chapter in Inflation in an Era of Relative Price Shocks, 2010 Downloads View citations (1)
 
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