home | projects | publications | teaching | links | resume


Contagion | US Treasury Market | Macro Modelling | International Finance | Australia

International Finance

I have a number of other projects in train dealing with a range of international finance issues.


Modelling changing financial market integration: Eastern Europe, with Nektarios Aslanidis and Christos S. Savva, 2009 (work in progress) pdf

Constructing Historical Euro Area Data, with Heather Anderson, Denise Osborn and Farshid Vahid, 2007 (work in progress) pdf | CAMA Working Paper 18-2007

After Hours Trading in the Electronic Futures Markets, Journal of Futures Markets, 2009, 29(2), 114-130, with Luba Fakhrutinova and Charles Goodhart pdf

Public Information, Price Volatility and Trading Volume in US Bond Markets, Review of Futures Markets, 2008, 17(1),16-44, with Alex Frino and Michael McKenzie pdf

In Search of a New Bretton Woods: Reserve Currencies and Global Imbalances - A US Perspective, Associazione Guido Garli and Journal of Financial Stability, 2007

Identifying Terms of Trade Effects in Real Exchange Rate Movements: Evidence from Asia, Journal of Asian Economics, 2004, 15(2),217-235

Identifying Terms of Trade Effects in Real Exchange Rate Movements: Evidence from Asia, in C.Weimer and Heping Cao, 2004, Advanced Research in Asian Economics Vol 1, World Scientific Press

Identifying the Sources of Shocks to Australian Real Equity Prices: 1982-2002, Global Finance Journal, 2004, 15(1),81-102, with Renee Fry and Vance L. Martin

A Perspective on Modelling the Australian Real Trade Weighted Index Since the Float, Australian Economic Papers, 2003, 42(1),56-76, with Shakila Aruman

A Multivariate Latent Factor Decomposition of International Bond Yield Spreads, Journal of Applied Econometrics, 2000, 15,pp.697-715, with Vance L. Martin and Adrian Pagan

Decomposing Exchange Rate Volatility Around the Pacific Rim, Journal of Asian Economics, 1999, 10,pp.525-535

A Multilateral Approach to Decomposing Volatility in Bilateral Exchange Rates, 1997 (unpublished research) ANU Working Paper in Economics and Econometrics No. 320

Credit Limits and Long-Term Covered Interest Arbitrage, with Luke Gower, 1997 (unpublished research) ANU Working Paper in Economics and Econometrics No. 325

Volatility of the Australian Dollar Exchange Rate, Journal of Foreign Exchange and International Finance, 1991, 5(3),pp.207-215, with Lindsay Boulton and Melissa Parkin Also available as Reserve Bank of Australia Working Paper No. 9010


top

home | projects | publications | teaching | links | resume

Comments and feedback to m.dungey@cerf.cam.ac.uk
Site maintained by Ross Adams