Details about Matthew Greenwood-Nimmo

Access statistics for papers by Matthew Greenwood-Nimmo.

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

Short-id: pgr364

Working Papers

2024

1. Detecting Statistically Significant Changes in Connectedness: A Bootstrap-based Technique
   CAMA Working Papers, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University View citations (1)
   Also in Melbourne Institute Working Paper Series, Melbourne Institute of Applied Economic and Social Research, The University of Melbourne (2019)
   CESifo Working Paper Series, CESifo (2023) View citations (2)
   Working Papers IES, Charles University Prague, Faculty of Social Sciences, Institute of Economic Studies (2021)
   See also Journal Article Detecting statistically significant changes in connectedness: A bootstrap-based technique, Economic Modelling, Elsevier (2024) View citations (1) (2024)

2023

2. The Asymmetric Response of Dividends to Earnings News
   Working papers, Yonsei University, Yonsei Economics Research Institute View citations (2)
   See also Journal Article The asymmetric response of dividends to earnings news, Finance Research Letters, Elsevier (2023) View citations (2) (2023)

2022

3. A banklevel analysis of interest rate passthrough in South Africa
   Working Papers, South African Reserve Bank View citations (2)
   See also Journal Article A bank-level analysis of interest rate pass-through in South Africa, Journal of Macroeconomics, Elsevier (2024) (2024)
4. Can information on the distribution of ZAR returns be used to improve SARBs ZAR forecasts
   Working Papers, South African Reserve Bank

2021

5. 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 (8) (2022)
6. Recent Developments of the Autoregressive Distributed Lag Modelling Framework
   Working papers, Yonsei University, Yonsei Economics Research Institute View citations (11)
7. Risk and Return Spillovers in a Global Model of the Foreign Exchange Network
   Working Papers, South African Reserve Bank View citations (2)

2020

8. On the International Spillover Effects of Country-Specific Financial Sector Bailouts and Sovereign Risk Shocks
   Melbourne Institute Working Paper Series, Melbourne Institute of Applied Economic and Social Research, The University of Melbourne
   See also Journal Article On the International Spillover Effects of Country‐Specific Financial Sector Bailouts and Sovereign Risk Shocks*, The Economic Record, The Economic Society of Australia (2021) (2021)

2019

9. Two-Step Estimation of the Nonlinear Autoregressive Distributed Lag Model
   Working papers, Yonsei University, Yonsei Economics Research Institute View citations (3)

2017

10. What’s Mine Is Yours: Sovereign Risk Transmission during the European Debt Crisis
    Melbourne Institute Working Paper Series, Melbourne Institute of Applied Economic and Social Research, The University of Melbourne View citations (6)

2016

11. Heads I Win, Tails You Lose: Asymmetry in Exchange Rate Pass-Through Into Import Prices
    MPRA Paper, University Library of Munich, Germany View citations (7)
    See also Journal Article Heads I win; tails you lose: asymmetry in exchange rate pass-through into import prices, Journal of the Royal Statistical Society Series A, Royal Statistical Society (2017) View citations (15) (2017)
12. Risk and Return Spillovers among the G10 Currencies
    Melbourne Institute Working Paper Series, Melbourne Institute of Applied Economic and Social Research, The University of Melbourne View citations (94)
    See also Journal Article Risk and return spillovers among the G10 currencies, Journal of Financial Markets, Elsevier (2016) View citations (92) (2016)

2012

13. International Linkages of the Korean Economy: The Global Vector Error-Correcting Macroeconometric Modelling Approach
    Melbourne Institute Working Paper Series, Melbourne Institute of Applied Economic and Social Research, The University of Melbourne View citations (6)

Journal Articles

2025

1. A three-sector structural VAR model for Australia
   Journal of Economic Dynamics and Control, 2025, 170, (C)

2024

2. A bank-level analysis of interest rate pass-through in South Africa
   Journal of Macroeconomics, 2024, 82, (C)
   See also Working Paper A banklevel analysis of interest rate passthrough in South Africa, Working Papers (2022) View citations (2) (2022)
3. Detecting statistically significant changes in connectedness: A bootstrap-based technique
   Economic Modelling, 2024, 140, (C) View citations (1)
   See also Working Paper Detecting Statistically Significant Changes in Connectedness: A Bootstrap-based Technique, CAMA Working Papers (2024) View citations (1) (2024)

2023

4. The asymmetric response of dividends to earnings news
   Finance Research Letters, 2023, 54, (C) View citations (2)
   See also Working Paper The Asymmetric Response of Dividends to Earnings News, Working papers (2023) View citations (2) (2023)
5. The effect of clean energy investment on CO2 emissions: Insights from a Spatial Durbin Model
   Energy Economics, 2023, 126, (C) View citations (2)
6. What is mine is yours: Sovereign risk transmission during the European debt crisis
   Journal of Financial Stability, 2023, 65, (C) View citations (7)

2022

7. Bootstrap-based probabilistic analysis of spillover scenarios in economic and financial networks
   Journal of Financial Markets, 2022, 59, (PA) View citations (1)
8. Higher-order comoment contagion among G20 equity markets during the COVID-19 pandemic
   Finance Research Letters, 2022, 45, (C) View citations (8)
   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)
9. Quantile Connectedness: Modeling Tail Behavior in the Topology of Financial Networks
   Management Science, 2022, 68, (4), 2401-2431 View citations (212)

2021

10. Measuring the Connectedness of the Global Economy
    International Journal of Forecasting, 2021, 37, (2), 899-919 View citations (33)
11. On the International Spillover Effects of Country‐Specific Financial Sector Bailouts and Sovereign Risk Shocks*
    The Economic Record, 2021, 97, (317), 285-309
    See also Working Paper On the International Spillover Effects of Country-Specific Financial Sector Bailouts and Sovereign Risk Shocks, Melbourne Institute Working Paper Series (2020) (2020)

2019

12. Financial sector bailouts, sovereign bailouts, and the transfer of credit risk
    Journal of Financial Markets, 2019, 42, (C), 121-142 View citations (21)

2017

13. An Introduction to Data Cleaning Using Internet Search Data
    Australian Economic Review, 2017, 50, (3), 363-372
14. Heads I win; tails you lose: asymmetry in exchange rate pass-through into import prices
    Journal of the Royal Statistical Society Series A, 2017, 180, (2), 587-612 View citations (15)
    See also Working Paper Heads I Win, Tails You Lose: Asymmetry in Exchange Rate Pass-Through Into Import Prices, MPRA Paper (2016) View citations (7) (2016)

2016

15. Monetary shocks, macroprudential shocks and financial stability
    Economic Modelling, 2016, 56, (C), 11-24 View citations (20)
16. Risk and return spillovers among the G10 currencies
    Journal of Financial Markets, 2016, 31, (C), 43-62 View citations (92)
    See also Working Paper Risk and Return Spillovers among the G10 Currencies, Melbourne Institute Working Paper Series (2016) View citations (94) (2016)

2014

17. Inflation targeting monetary and fiscal policies in a two-country stock–flow-consistent model
    Cambridge Journal of Economics, 2014, 38, (4), 839-867 View citations (10)

2013

18. On the Asymmetric U-Shaped Relationship between Inflation, Inflation Uncertainty, and Relative Price Skewness in the UK
    Journal of Money, Credit and Banking, 2013, 45, (7), 1431-1449 View citations (3)
    Also in Journal of Money, Credit and Banking, 2013, 45, (7), 1431-1449 (2013) View citations (1)
19. Taxation and the asymmetric adjustment of selected retail energy prices in the UK
    Economics Letters, 2013, 121, (3), 411-416 View citations (61)

2012

20. Probabilistic forecasting of output growth, inflation and the balance of trade in a GVAR framework
    Journal of Applied Econometrics, 2012, 27, (4), 554-573 View citations (45)

2009

21. La fallida búsqueda de la estabilidad
    EKONOMIAZ. Revista vasca de Economía, 2009, 72, (03), 224-243
22. The Self-Defeating Pursuit of Stability
    EKONOMIAZ. Revista vasca de Economía, 2009, 72, (03), 224-243