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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Jump to Journal Articles Books Edited books Chapters

Working Papers

2022

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

2021

2. 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 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) View citations (9) (2022)
3. 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 View citations (1)

2020

4. Capital market liberalization and equity market interdependence
   CAMA Working Papers, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University
5. 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

2019

6. 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

7. 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 View citations (2)
8. 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

2017

9. 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 View citations (4)
   Also in CAMA Working Papers, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University (2017) View citations (3)
10. Recovery from Dutch Disease
    CAMA Working Papers, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University View citations (3)

2016

11. 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 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) View citations (10) (2016)

2015

12. Extremal dependence tests for contagion
    CAMA Working Papers, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University View citations (13)
    See also Journal Article Extremal dependence tests for contagion, Econometric Reviews, Taylor & Francis Journals (2018) View citations (43) (2018)

2014

13. 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 View citations (5)
14. Extremal Dependence and Contagion
    CAMA Working Papers, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University View citations (3)
15. 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

2013

16. 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 View citations (3)
17. 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)
18. Financial Contagion and Asset Pricing
    CAMA Working Papers, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University View citations (2)
    See also Journal Article Financial contagion and asset pricing, Journal of Banking & Finance, Elsevier (2014) View citations (33) (2014)

2012

19. 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 View citations (1)
    See also Journal Article Currency intervention: A case study of an emerging market, Journal of International Money and Finance, Elsevier (2013) View citations (7) (2013)

2011

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

2010

21. 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)
22. Sign Restrictions in Structural Vector Autoregressions: A Critical Review
    CAMA Working Papers, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University View citations (16)
    Also in NCER Working Paper Series, National Centre for Econometric Research (2010) View citations (21)
    See also Journal Article Sign Restrictions in Structural Vector Autoregressions: A Critical Review, Journal of Economic Literature, American Economic Association (2011) View citations (555) (2011)

2009

23. 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 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) View citations (14) (2010)

2008

24. 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 View citations (10)

2007

25. Some Issues in Using Sign Restrictions for Identifying Structural VARs
    NCER Working Paper Series, National Centre for Econometric Research View citations (155)
26. 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

27. COMMODITY CURRENCIES AND CURRENCY COMMODITIES
    CAMA Working Papers, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University View citations (6)
    Also in Economics Discussion / Working Papers, The University of Western Australia, Department of Economics (2006) View citations (7)
    See also Journal Article Commodity currencies and currency commodities, Resources Policy, Elsevier (2008) View citations (46) (2008)
28. ENDOGENOUS CONTAGION - A PANEL DATA ANALYSIS
    CAMA Working Papers, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University View citations (5)
29. 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

30. 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)
31. 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 View citations (52)

2004

32. 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)
33. 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 (283) (2005)

2003

34. Characterizing Global Investors' Risk Appetite for Emerging Market Debt During Financial Crises
    IMF Working Papers, International Monetary Fund View citations (9)
35. 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)
36. 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

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

2000

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

Journal Articles

2023

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

2022

2. Higher-order comoment contagion among G20 equity markets during the COVID-19 pandemic
   Finance Research Letters, 2022, 45, (C) View citations (9)
   See also Working Paper Higher-order comoment contagion among G20 equity markets during the COVID-19 pandemic, CAMA Working Papers (2021) View citations (2) (2021)

2021

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

2020

5. 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

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

2018

9. Extremal dependence tests for contagion
   Econometric Reviews, 2018, 37, (6), 626-649 View citations (43)
   See also Working Paper Extremal dependence tests for contagion, CAMA Working Papers (2015) View citations (13) (2015)
10. Global and regional financial integration in East Asia and the ASEAN
    The North American Journal of Economics and Finance, 2018, 46, (C), 202-221 View citations (12)

2016

11. Effects of the US monetary policy shocks during financial crises – a threshold vector autoregression approach
    Applied Economics, 2016, 48, (59), 5802-5823 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) View citations (11) (2016)

2014

12. 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)
13. Contagion and Global Financial Crises: Lessons from Nine Crisis Episodes
    Open Economies Review, 2014, 25, (3), 521-570 View citations (37)
14. Financial contagion and asset pricing
    Journal of Banking & Finance, 2014, 47, (C), 296-308 View citations (33)
    See also Working Paper Financial Contagion and Asset Pricing, CAMA Working Papers (2013) View citations (2) (2013)

2013

15. Currency intervention: A case study of an emerging market
    Journal of International Money and Finance, 2013, 37, (C), 25-47 View citations (7)
    See also Working Paper Currency Intervention: A Case Study of an Emerging Market, CAMA Working Papers (2012) View citations (1) (2012)

2011

16. Sign Restrictions in Structural Vector Autoregressions: A Critical Review
    Journal of Economic Literature, 2011, 49, (4), 938-60 View citations (555)
    See also Working Paper Sign Restrictions in Structural Vector Autoregressions: A Critical Review, CAMA Working Papers (2010) View citations (16) (2010)

2010

17. A New Class of Tests of Contagion With Applications
    Journal of Business & Economic Statistics, 2010, 28, (3), 423-437 View citations (116)
18. Overvaluation in Australian Housing and Equity Markets: Wealth Effects or Monetary Policy?
    The Economic Record, 2010, 86, (275), 465-485 View citations (14)
    See also Working Paper Overvaluation in Australian housing and equity markets: Wealth effects or monetary policy?, CAMA Working Papers (2009) View citations (2) (2009)

2009

19. 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)
20. Multivariate contagion and interdependence
    Journal of Asian Economics, 2009, 20, (4), 353-366 View citations (35)
21. 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)

2008

22. Commodity currencies and currency commodities
    Resources Policy, 2008, 33, (2), 55-73 View citations (46)
    See also Working Paper COMMODITY CURRENCIES AND CURRENCY COMMODITIES, CAMA Working Papers (2006) View citations (6) (2006)
23. 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)

2007

24. 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)

2006

25. 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)
26. Contagion in international bond markets during the Russian and the LTCM crises
    Journal of Financial Stability, 2006, 2, (1), 1-27 View citations (81)
27. Correlation, Contagion, and Asian Evidence
    Asian Economic Papers, 2006, 5, (2), 32-72 View citations (21)

2005

28. Empirical modelling of contagion: a review of methodologies
    Quantitative Finance, 2005, 5, (1), 9-24 View citations (283)
    See also Working Paper Empirical Modeling of Contagion: A Review of Methodologies, IMF Working Papers (2004) View citations (59) (2004)

2004

29. CURRENCY MARKET CONTAGION IN THE ASIA‐PACIFIC REGION
    Australian Economic Papers, 2004, 43, (4), 379-395 View citations (25)
30. 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)
31. International demand and liquidity shocks in a SVAR model of the Australian economy
    Applied Economics, 2004, 36, (8), 849-863 View citations (2)

2003

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

2011

2. Financial Crises Propagation
   A chapter in The Impact of the Global Financial Crisis on Emerging Financial Markets, 2011, pp 495-522
3. 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

2010

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