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Details about Renee A. Fry-McKibbin

E-mail:
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 2019-08-06. Update your information in the RePEc Author Service.

Short-id: pfr116


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Working Papers

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
  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 (2)
    Also in CAMA Working Papers, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University (2017) Downloads View citations (2)
  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 (2)

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 (2)

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 (11)
    See also Journal Article in Econometric Reviews (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
  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 (2)
  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 (2)
    Also in Working Papers, University of Tasmania, Tasmanian School of Business and Economics (2013) Downloads View citations (3)

    See also Journal Article in Applied Economics (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 in Journal of Banking & Finance (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 in Journal of International Money and Finance (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 (13)

2010

  1. Are Financial Crises Alike?
    IMF Working Papers, International Monetary Fund Downloads View citations (47)
    Also in CAMA Working Papers, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University (2008) Downloads View citations (5)
  2. Sign Restrictions in Structural Vector Autoregressions: A Critical Review
    NCER Working Paper Series, National Centre for Econometric Research Downloads View citations (17)
    Also in CAMA Working Papers, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University (2010) Downloads View citations (7)

    See also Journal Article in Journal of Economic Literature (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 (1)
    See also Journal Article in The Economic Record (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 (3)

2007

  1. Some Issues in Using Sign Restrictions for Identifying Structural VARs
    NCER Working Paper Series, National Centre for Econometric Research Downloads View citations (93)
  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 (16)
    See also Journal Article in Economic Modelling (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
    Also in Economics Discussion / Working Papers, The University of Western Australia, Department of Economics (2006) Downloads View citations (4)

    See also Journal Article in Resources Policy (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 (4)
  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
    See also Journal Article in Open Economies Review (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 (1)
  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 (24)

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 in The Journal of Real Estate Finance and Economics (2006)
  2. Empirical Modeling of Contagion; A Review of Methodologies
    IMF Working Papers, International Monetary Fund Downloads View citations (53)
    Also in Econometric Society 2004 Australasian Meetings, Econometric Society (2004) Downloads View citations (24)
    Econometric Society 2004 Far Eastern Meetings, Econometric Society (2004) Downloads View citations (31)

    See also Journal Article in Quantitative Finance (2005)

2003

  1. Characterizing Global Investors' Risk Appetite for Emerging Market Debt During Financial Crises
    IMF Working Papers, International Monetary Fund Downloads View citations (8)
  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 in Global Finance Journal (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 (10)

2002

  1. International Contagion Effects from the Russian Crisis and the LTCM Near-Collapse
    IMF Working Papers, International Monetary Fund Downloads View citations (23)

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

2019

  1. A regime switching skew-normal model of contagion
    Studies in Nonlinear Dynamics & Econometrics, 2019, 23, (1), 24 Downloads View citations (1)
  2. Joint tests of contagion with applications
    Quantitative Finance, 2019, 19, (3), 473-490 Downloads

2018

  1. Extremal dependence tests for contagion
    Econometric Reviews, 2018, 37, (6), 626-649 Downloads View citations (7)
    See also Working Paper (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

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

2014

  1. Chinese resource demand and the natural resource supplier
    Applied Economics, 2014, 46, (2), 167-178 Downloads View citations (13)
    See also Working Paper (2013)
  2. Contagion and Global Financial Crises: Lessons from Nine Crisis Episodes
    Open Economies Review, 2014, 25, (3), 521-570 Downloads View citations (10)
  3. Financial contagion and asset pricing
    Journal of Banking & Finance, 2014, 47, (C), 296-308 Downloads View citations (13)
    See also Working Paper (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 (2)
    See also Working Paper (2012)

2011

  1. Sign Restrictions in Structural Vector Autoregressions: A Critical Review
    Journal of Economic Literature, 2011, 49, (4), 938-60 Downloads View citations (323)
    See also Working Paper (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 (58)
  2. Overvaluation in Australian Housing and Equity Markets: Wealth Effects or Monetary Policy?
    The Economic Record, 2010, 86, (275), 465-485 Downloads View citations (5)
    See also Working Paper (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 (1)
  2. Multivariate contagion and interdependence
    Journal of Asian Economics, 2009, 20, (4), 353-366 Downloads View citations (27)
  3. The identification of fiscal and monetary policy in a structural VAR
    Economic Modelling, 2009, 26, (6), 1147-1160 Downloads View citations (37)
    See also Working Paper (2007)

2008

  1. Commodity currencies and currency commodities
    Resources Policy, 2008, 33, (2), 55-73 Downloads View citations (24)
    See also Working Paper (2006)
  2. Monetary Policy in Illiquid Markets: Options for a Small Open Economy
    Open Economies Review, 2008, 19, (3), 305-336 Downloads View citations (7)
    See also Working Paper (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 (21)

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 (35)
    See also Working Paper (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 (55)
  3. Correlation, Contagion, and Asian Evidence
    Asian Economic Papers, 2006, 5, (2), 32-72 Downloads View citations (18)

2005

  1. Empirical modelling of contagion: a review of methodologies
    Quantitative Finance, 2005, 5, (1), 9-24 Downloads View citations (216)
    See also Working Paper (2004)

2004

  1. CURRENCY MARKET CONTAGION IN THE ASIA‐PACIFIC REGION
    Australian Economic Papers, 2004, 43, (4), 379-395 Downloads View citations (24)
  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 (3)
    See also Working Paper (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 (23)
  2. International Shocks on Australia – The Japanese Effect
    Australian Economic Papers, 2003, 42, (2), 158-182 Downloads View citations (6)

Books

2011

  1. Transmission of Financial Crises and Contagion: A Latent Factor Approach
    OUP Catalogue, Oxford University Press View citations (17)

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

Chapters

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
 
Page updated 2020-02-23