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Contagion

This project is focussed on quantifying the impact of contagion across different countries and asset classes from various crises. If you follow the papers chronologically you see the development of the model. The key papers are those in the Journal of Applied Econometrics and Quantitative Finance. The Quantitative Finance paper gives an overview of a number of standard tests for contagion and how they interrelate. The newer paper on small sample properties shows the poor performance of most tests.


Are All Crises Alike?, with Renee Fry, Brenda Gonzalez-Hermosillo and Vance L. Martin, 2008 (work in progress) pdf

Unobservable Shocks as Carriers of Contagion: A Dynamic Analysis Using Identified Structural GARCH, with George Milunovich and Susan Thorp, 2008 (work in progress) pdf

Characterizing Global Investor's Risk Appetite for Emerging Market Debt During Financial Crises, with Renee Fry, Brenda Gonzalez-Hermosillo and Vance L. Martin, 2007 (work in progress) pdf

Sampling Properties of Contagion Tests, with Renee Fry, Brenda Gonzalez-Hermosillo and Vance L. Martin, 2006 (work in progress) pdf

Synchronisation of Financial Crises, with Jan Jacobs and Lestano, 2005 (work in progress) pdf | CAMA Working Paper 20-2005

Unravelling Financial Market Linkages During Crises, Journal of Applied Econometrics, 2007, 22(1),89-119, with Vance L. Martin pdf

Contagion in global equity markets in 1998: The effects of the Russian and LTCM crises, North American Journal of Finance and Economics, 2007, 18, 155-174, with Renee Fry, Brenda Gonzalez-Hermosillo and Vance L. Martin pdf | CAMA Working Paper 15-2005

Correlation, Contagion and Asian Evidence, Asian Economic Journal, 2006, 5 (2), 32-72, with Renee Fry and Vance L. Martin pdf

Contagion in International Bond Markets During the Russian and LTCM Crises, Journal of Financial Stability, 2006, 2(1),1-27, with Renee Fry, Brenda Gonzalez-Hermosillo and Vance L. Martin

A Web of Shocks: Crises Across Asian Real Estate Markets, Journal of Real Estate Finance, 2006, 32(3), with Shaun Bond and Renee Fry pdf | data and code

Empirical Modelling of Contagion: A Review of Methodologies, Quantitative Finance, 2005, 5(1),9-24, with Renee Fry, Brenda Gonzalez-Hermosillo and Vance L. Martin

Identifying International Financial Contagion: Progress and Challenges, M.Dungey and D.Tambakis (eds), Oxford University Press, New York, 2005

A Comparison of Alternative Tests of Contagion with Applications, with Renee Fry, Brenda Gonzalez-Hermosillo and Vance L. Martin, in , 2005, Oxford University Press, New York, pp.60-85 data and code

Contagion: What should we be looking for?, with D.Tambakis, in M.Dungey and D.Tambakis, 2005, Oxford University Press, New York

Currency Market Contagion in the Asia-Pacific Region, Australian Economic Papers, 2004, 43(4),379-395, with Renee Fry and Vance L. Martin

A Multifactor Model of Exchange Rates with Unanticipated Shocks: Measuring Contagion in the East Asian Currency Market, Journal of Emerging Markets Finance, 2004, 3(3),305-330, with Vance L. Martin

Equity Transmission Mechanisms from Asia to Australia: Interdependence or Contagion?, Australian Journal of Management, 2003, 28(2),157-182, with Renee Fry and Vance L. Martin

The Transmission of Contagion in Developed and Developing International Bond Markets, conference held 7-8 March 2002, Bank for International Settlements Conference Volume, 2002

Testing for Contagion using Correlations: Some Words of Caution, with Diana Shumabekova, 2001 (unpublished research)

Contagion in the East Asian Currency Crisis, with Vance L. Martin, Research in Asian Economic Studies, 2000, Volume 4, pp.69-84

Contagion in Currency Markets: What to we mean?, 1999 (working paper) pdf


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