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Publications

chronological | by project | by type

List of Publications by Project

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

Australia

Yield Curve Responses to Monetary Policy in the Presence of Asymmetric Information, with Edda Claus, 2006 (work in progress)
pdf

Revisiting an SVAR Model of the Australian Economy, Economic Record, 2009, 85(268),1-20, with Adrian Pagan pdf | Data and GAUSS Codes

Monetary Policy in Illiquid Markets: Options for a Small Open Economy, Open Economies Review, 2008, 19(3), 305-336, with Edda Claus and Renee Fry pdf

Creating a Sense of 'CLOSURE': Providing confidence intervals on some recent estimates of indigenous populations, Canadian Studies in Population, 2006, 33(1),1-23, with Boyd Hunter

Potential Growth and Inflation: Estimates for Australia, the US and Canada, Australian Economic Review, 2004, 37(1),89-101, with John Pitchford

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

International Shocks on Australia - The Japanese Effect, Australian Economic Papers, 2003, 42(2),499-515, with Renee Fry

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

International Shocks and the Role of Domestic Policy in Australia, Australian Journal of Labour Economics, 2002, 5(2),143-163

A Structural VAR model of the Australian Economy, Economic Record, 2000, 76,pp.321-342, with Adrian Pagan pdf | data and code

Dating Changes in Monetary Policy in Australia, Australian Economic Review, 2000, 33(3),281-285, with Ben Hayward An electronic version of the updated data

Why Tax Foreign Exchange? Comments on a Proposed Tobin Tax, Australian Economic Papers, 2000, 17(3),41-46

The Steady Inflation Rate of Economic Growth, Economic Record, 2000, 76,pp.386-400, with John Pitchford

Comments on Brischetto and Voss (1999): Forecasting Australian Economic Activity Using Leading Indicators, 1999 (working paper) pdf | RBA Working Papers

Tobin tax wont shelter us from storm, 1998 (other)

Head to Head: Is Australia Heading for a Major Recession?, 1998 (other)

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

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Contagion

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

Are All Crises Alike?, with Renee Fry, Brenda Gonzalez-Hermosillo, Vance L. Martin and Chrismin Tang, in Robert Kolb, 2011, Wiley, New Jersey, forthcoming

Are All Crises Alike? Comparing Financial Crises, with Renee Fry, Brenda Gonzalez-Hermosillo and Vance L. Martin, in Mardi Dungey, Renee Fry, Brenda Gonzalez-Hermosillo and Vance L. Martin, 2010, Oxford University Press, New York, pp.105-158 pdf

Unobservable Shocks as Carriers of Contagion: A Dynamic Analysis Using Identified Structural GARCH, Journal of Banking and Finance, 2010, 34,1008-1021, with George Milunovich and Susan Thorp pdf

Transmission of Financial Crises and Contagion: A Latent Factor Approach, Renee Fry, Brenda Gonzalez-Hermosillo and Vance L. Martin, Oxford University Press, New York, 2010

Characterizing Global Investor's Risk Appetite for Emerging Market Debt During Financial Crises, with Renee Fry, Brenda Gonzalez-Hermosillo and Vance L. Martin, in Mardi Dungey, Renee Fry, Brenda Gonzalez-Hermosillo and Vance L. Martin, 2010, Oxford University Press, New York, pp159-188 pdf

The Tsunami: Measures of Contagion in the 2007-08 Credit Crunch, CESifo Forum, 2009, 9(4),33-34 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

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

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

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

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

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

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

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

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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International Finance

Modelling the Time Between Trades in the After-Hours Electronic Equity Futures Market, with Nagaratnam Jeyasreedharan and Tuo Li, 2011 (work in progress)
pdf

Financial Integration and the Construction of Historical Financial Data for the Euro Area, 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 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

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

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

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

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

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

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Macro Modelling

Modelling large open economies with international linkages: The US and Euro Area, with Denise Osborn, 2010 (work in progress)
pdf

The Term Premium and the UK economy 1980 - 2007, with Tugrul Vehbi, 2010 (work in progress) pdf

Yield Curve Responses to Monetary Policy in the Presence of Asymmetric Information, with Edda Claus, 2006 (work in progress) pdf

Identifying Fiscal and Monetary Policy in a Small Open Economy VAR, Economic Modelling, 2009, 26, 1147-1160, with Renee Fry pdf | CAMA Working Paper No 29-2007

Revisiting an SVAR Model of the Australian Economy, Economic Record, 2009, 85(268),1-20, with Adrian Pagan pdf | Data and GAUSS Codes

Monetary Policy in Illiquid Markets: Options for a Small Open Economy, Open Economies Review, 2008, 19(3), 305-336, with Edda Claus and Renee Fry pdf

Revealed Commonality: Linkages in Consumption, Investment and Output in East Asia, in G.de Brouwer and M.Kawai (eds), 2004, Routledge, London, chapter 3

Potential Growth and Inflation: Estimates for Australia, the US and Canada, Australian Economic Review, 2004, 37(1),89-101, with John Pitchford

International Shocks on Australia - The Japanese Effect, Australian Economic Papers, 2003, 42(2),499-515, with Renee Fry

A Structural VAR model of the Australian Economy, Economic Record, 2000, 76,pp.321-342, with Adrian Pagan pdf | data and code

The Steady Inflation Rate of Economic Growth, Economic Record, 2000, 76,pp.386-400, with John Pitchford

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US Treasury Market

Cojumping: Evidence from the US Treasury Bond and Futures Markets, with Lyudmyla Hvozdyk, 2010 (work in progress)
pdf

Intertrade Durations in US Treasuries: a FIACD Model, with Olan Henry and Michael McKenzie, 2008 (work in progress) pdf

From Trade-to-Trade in US Treasuries: Durations, Workups and News Effects, with Olan Henry and Michael McKenzie, 2009 (work in progress) pdf

Yield Curve Responses to Monetary Policy in the Presence of Asymmetric Information, with Edda Claus, 2006 (work in progress) pdf

Rational Traders and Price Bubbles, with Michael McKenzie and Demosthenes Tambakis, 2006 (work in progress) pdf

Flight to Quality and Asymmetric Volatility Response in US Treasuries, Global Finance Journal, 2009, 19,252-267, with Michael McKenzie and Demosthenes Tambakis pdf

Empirical Evidence on Jumps in the Term Structure of the US Treasury Market, Journal of Empirical Finance, 2009, 16, 430-445, with Michael McKenzie and Vanessa Smith pdf | CAMA Working Paper No.25-2007

Flight to Quality and Asymmetric Response in US Treasuries, Global Finance Journal, 2009, 19,252-267, with Michael McKenzie and Demosthenes Tambakis pdf

The US Treasury Market in August 1998: Untangling the Effects of Hong Kong an Russia, International Journal of Finance and Economics, 2008, 13, 40-52, with Charles Goodhart and Demosthenes Tambakis pdf

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