Search Results

Discussion of The Economic Consequences of Oil Shocks: Differences across Countries and Time,
Mardi Dungey, from Reserve Bank of Australia (2010)
Keywords: oil demand shocks; oil supply shocks; cross-country differences; pass-through; SVAR models

Why Tax Foreign Exchange? Comments on a Proposed Tobin Tax,
Mardi Dungey, from School of Economics, La Trobe University (1998)
Keywords: Taxes, Financial Market EDIRC Provider-Institution: RePEc:edi:smlatau

Decomposing Exchange Rate Volatility Around the Pacific Rim,
Mardi Dungey, from School of Economics, La Trobe University (1999)
Keywords: Exchange Rate, Volatility, Economics EDIRC Provider-Institution: RePEc:edi:smlatau

Why Tax Foreign Exchange? Comments on a Proposed Tobin Tax,
Mardi Dungey, from School of Economics, La Trobe University (1998)
Keywords: Taxes, Financial Market

Decomposing Exchange Rate Volatility Around the Pacific Rim,
Mardi Dungey, from School of Economics, La Trobe University (1999)
Keywords: Exchange Rate, Volatility, Economics

International Shocks and the Role of Domestic Policy in Australia,
Mardi Dungey, from Centre for Economic Policy Research, Research School of Economics, Australian National University (2001)
Keywords: VAR, open economy, monetary policy

Comments on "Monetary independence in a financially integrated world: what do measures of interest rate co-movement tell us?",
Mardi Dungey, from Bank for International Settlements (2016)

Registered author: Mardi Dungey

Can monetary policy surprise the market?,
Mardi Dungey Edda Claus, from Laurier Centre for Economic Research and Policy Analysis (2015)
Keywords: monetary policy, central banks, latent factor model

MODELLING LARGE OPEN ECONOMIES WITH INTERNATIONAL LINKAGES: THE USA AND EURO AREA,
Mardi Dungey and Denise Osborn, in Journal of Applied Econometrics (2014)

Credit Limits and Long-Term Covered Interest Arbitrage,
Mardi Dungey and L Gower, from Australian National University - Department of Economics (1997)
Keywords: CREDIT ; EXCHANGE RATE ; INFORMATION ; INTEREST

U.S. Monetary Policy Surprises: Identification with Shifts and Rotations in the Term Structure,
Edda Claus and Mardi Dungey, in Journal of Money, Credit and Banking (2012)

Systematic Contagion Effects of the Global Finance Crisis: Evidence from the World’s Largest Advanced and Emerging Equity Markets,
Dinesh Gajurel and Mardi Dungey, in JRFM (2023)
Keywords: financial contagion; financial sector; generalized method of moments

The influences of international output shocks from the US and China on ASEAN economies,
Mardi Dungey and Tugrul Vehbi, in Journal of Asian Economics (2015)
Keywords: Structural VAR; East Asia;

R&D and wholesale trade are critical to the economy: Identifying dominant sectors from economic networks,
Mardi Dungey and Vladimir Volkov, in Economics Letters (2018)
Keywords: Networks; Input–output tables; Sectors; Research and development;

Equity market contagion during the global financial crisis: Evidence from the world's eight largest economies,
Mardi Dungey and Dinesh Gajurel, in Economic Systems (2014)
Keywords: Global financial crises; Financial contagion; Financial markets;

The Steady Inflation Rate of Economic Growth,
Mardi Dungey and John Pitchford, in The Economic Record (2000)

The Gains from Catch‐up for China and the USA: An Empirical Framework,
Mardi Dungey and Denise Osborn, in The Economic Record (2020)

A Perspective on Modelling the Australian Real Trade Weighted Index since the Float,
Shakila Aruman and Mardi Dungey, in Australian Economic Papers (2003)

Equity portfolio diversification with high frequency data,
Vitali Alexeev and Mardi Dungey, in Quantitative Finance (2015)

Should ASEAN-5 monetary policy-makers act pre-emptively against stock market bubbles?,
Mala Raghavan and Mardi Dungey, in Applied Economics (2015)

A Structural VAR Model of the Australian Economy,
Mardi Dungey and Adrian Pagan, in The Economic Record (2000)

Extending a SVAR Model of the Australian Economy,
Mardi Dungey and Adrian Pagan, in The Economic Record (2009)

Towards a Strucrural VAR Model of the Australian Economy,
Mardi Dungey and Adrian Pagan, from Australian National University - Department of Economics (1997)
Keywords: ECONOMETRICS;METHODOLOGY

Prospects for Output and Employment Growth with Steady Inflation,
Mardi Dungey and John Pitchford, from Reserve Bank of Australia (1998)
Keywords: employment; output growth; inflation

Unravelling financial market linkages during crises,
Vance Martin and Mardi Dungey, in Journal of Applied Econometrics (2007)

A Multifactor Model of Exchange Rates with Unanticipated Shocks: Measuring Contagion in the East Asian Currency Crisis,
Mardi Dungey and Vance Martin, in Journal of Emerging Market Finance (2004)
Keywords: Latent factor; volatility; indirect estimation; currency crisis; contagion

U.S. Monetary Policy Surprises: Identification with Shifts and Rotations in the Term Structure,
Edda Claus and Mardi Dungey, in Journal of Money, Credit and Banking (2012)

Can monetary policy surprises affect the term structure?,
Edda Claus and Mardi Dungey, in Journal of Macroeconomics (2016)
Keywords: Monetary policy shocks; Interest rates; Central bank preferences; Transparency; Latent factor model;

Cojumping: Evidence from the US Treasury bond and futures markets,
Mardi Dungey and Lyudmyla Hvozdyk, in Journal of Banking & Finance (2012)
Keywords: US Treasury markets; High frequency data; Cojump test;

Contagion and banking crisis – International evidence for 2007–2009,
Mardi Dungey and Dinesh Gajurel, in Journal of Banking & Finance (2015)
Keywords: Global financial crisis; Financial contagion; Banking institutions; Asset pricing;

Modelling International Linkages for Large Open Economies: US and Euro Area,
Mardi Dungey and Denise Osborn, from Economics, The University of Manchester (2009)

Dating Changes in Monetary Policy in Australia,
Mardi Dungey and Ben Hayward, in Australian Economic Review (2000)

Detecting Contagion with Correlation: Volatility and Timing Matter,
Mardi Dungey and Abdullah Yalama, from University of Tasmania, Tasmanian School of Business and Economics (2010)
Keywords: Contagion, interdependence, timing, volatility spillover

Cojumping: Evidence from the US Treasury Bond and Future Markets (Discussion Paper 2010-06),
Mardi Dungey and Lyudmyla Hvozdyk, from University of Tasmania, Tasmanian School of Business and Economics (2010)
Keywords: US Treasury markets, high frequency data, cojump test

International Transmissions to Australia: The Roles of the US and Euro Area,
Mardi Dungey and Denise Osborne, from University of Tasmania, Tasmanian School of Business and Economics (2013)
Keywords: VAR, open economy, Australia

Equity Market Contagion during the Global Financial Crisis: Evidence from the World’s Eight Largest Economies,
Mardi Dungey and Dinesh Gajurel, from University of Tasmania, Tasmanian School of Business and Economics (2013)
Keywords: Global financial crises; financial contagion; financial markets; advanced countries; emerging countries

Equity portfolio diversification with high frequency data,
Vitali Alexeev and Mardi Dungey, from University of Tasmania, Tasmanian School of Business and Economics (2013)
Keywords: Portfolio diversification, high frequency, realized variance, realized correlation

Should ASEAN-5 Monetary Policymakers Act Pre-emptively Against Stock Market Bubbles?,
Mala Raghavan and Mardi Dungey, from University of Tasmania, Tasmanian School of Business and Economics (2014)
Keywords: SVECM, monetary policy, stock market, ASEAN

Contagion and banking crisis — internatonal evidence for 2007-2009,
Mardi Dungey and Dinesh Gajurel, from University of Tasmania, Tasmanian School of Business and Economics (2014)
Keywords: Global financial crisis, financial contagion, banking institutions, asset pricing, GARCH

R&D and wholesale trade are critical to the economy: Identifying dominant sectors from economic networks,
Mardi Dungey and Vladimir Volkov, from University of Tasmania, Tasmanian School of Business and Economics (2017)
Keywords: Networks, input-output tables, sectors, research and development

Prospects for Output and Employment Growth with Steady Inflation,
Mardi Dungey and J. Pitchford, from Centre for Economic Policy Research, Research School of Economics, Australian National University (1998)
Keywords: EMPLOYMENT ; INFLATION ; PRODUCTION

The Steady Inflation Rate of Economic Growth,
Mardi Dungey and John Pitchford, from Centre for Economic Policy Research, Research School of Economics, Australian National University (1999)
Keywords: inflation, growth , import prices, monetary policy

An Empirical Analysis of the Effect of Growth on Inflation, Australia, Canada and the United States,
Mardi Dungey and John Pitchford, from Centre for Economic Policy Research, Research School of Economics, Australian National University (2001)
Keywords: Inflation, growth, potential growth, monetary policy

A Perspective on Modelling the Real Trade Weighted Index Since the Float,
Shakila Aruman and Mardi Dungey, from Centre for Economic Policy Research, Research School of Economics, Australian National University (2001)
Keywords: exchange rates, cointegration

Identifying contagion,
Mardi Dungey and Eric Renault, in Journal of Applied Econometrics (2018)

The gains from catch-up for China and the US: An empirical framework,
Mardi Dungey and Denise Osborn, from Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University (2019)
Keywords: China, SVAR, convergence, catch-up

Can monetary policy surprise the market?,
Edda Claus and Mardi Dungey, from Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University (2015)
Keywords: monetary policy, central banks, latent factor model

A SVECM Model of the UK Economy and The Term Premium,
Mardi Dungey and M.tugrul Vehbi, from Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University (2011)

Detecting Contagion with Correlation: Volatility and Timing Matter,
Mardi Dungey and Abdullah Yalama, from Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University (2009)

Modelling International Linkages for Large Open Economies: US and Euro Area,
Mardi Dungey and Denise Osborn, from Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University (2009)

Testing for contagion using correlations: some words of caution,
Mardi Dungey and Diana Zhumabekova, from Federal Reserve Bank of San Francisco (2001)
Keywords: Financial crises; Financial markets

Factor analysis of a model of stock market returns using simulation-based estimation techniques,
Mardi Dungey and Diana Zhumabekova, from Federal Reserve Bank of San Francisco (2001)
Keywords: Stock market; Asia

Identifying International Financial Contagion: Progress and Challenges,
Mardi Dungey and Demosthenes Tambakis, from Oxford University Press (2005)

Cojumping: Evidence from the US Treasury Bond and Futures Markets,
Mardi Dungey and Lyudmyla Hvozdyk, from National Centre for Econometric Research (2010)
Keywords: US Treasury markets, high frequency data, cojump test

Extending an SVAR Model of the Australian Economy,
Mardi Dungey and Adrian Pagan, from National Centre for Econometric Research (2008)

After‐hours trading in equity futures markets,
Mardi Dungey, Luba Fakhrutdinova and Charles Goodhart, in Journal of Futures Markets (2009)

The changing international network of sovereign debt and financial institutions,
Mardi Dungey, John Harvey and Vladimir Volkov, in Journal of International Financial Markets, Institutions and Money (2019)
Keywords: Network; Sovereign debt; Financial institutions; Systemic risk; Contagion;

Volatility of the Australian Dollar Exchange Rate,
Lindsay Boulton, Mardi Dungey and Melissa Parkin, from Reserve Bank of Australia (1990)

Quantile relationships between standard, diffusion and jump betas across Japanese banks,
Biplob Chowdhury, Nagaratnam Jeyasreedharan and Mardi Dungey, in Journal of Asian Economics (2018)
Keywords: Beta; Jumps; High-frequency data; Quantile regression; Japanese banks;

Flight-to-quality and asymmetric volatility responses in US Treasuries,
Mardi Dungey, Michael McKenzie and Demosthenes Tambakis, in Global Finance Journal (2009)
Keywords: Flight-to-quality Volatility Asymmetric GARCH Financial crises Emerging markets

The identification of fiscal and monetary policy in a structural VAR,
Mardi Dungey and Renee Fry-McKibbin, in Economic Modelling (2009)
Keywords: Identification Fiscal policy Monetary policy SVAR Permanent and transitory shocks Sign restrictions

Crisis transmission: Visualizing vulnerability,
Mardi Dungey, Raisul Islam and Vladimir Volkov, in Pacific-Basin Finance Journal (2020)
Keywords: Systemic risk; Networks;

International Shocks on Australia – The Japanese Effect,
Mardi Dungey and Renee Fry-McKibbin, in Australian Economic Papers (2003)

Empirical Modelling of Contagion: A Review of Methodologies,
Vance Martin, Mardi Dungey and M., from Econometric Society (2004)
Keywords: Contagion, Financial Crises

Exchange rate risk exposure and the value of European firms,
Fabio Parlapiano, Vitali Alexeev and Mardi Dungey, in The European Journal of Finance (2017)

Systemic risk in the US: Interconnectedness as a circuit breaker,
Mardi Dungey, Matteo Luciani and David Veredas, in Economic Modelling (2018)
Keywords: Historical decomposition; DY spillover; Granger causality; Networks;

Modelling Financial Contagion Using High Frequency Data,
Wenying Yao, Mardi Dungey and Vitali Alexeev, in The Economic Record (2020)

Time-varying continuous and jump betas: The role of firm characteristics and periods of stress,
Vitali Alexeev, Mardi Dungey and Wenying Yao, in Journal of Empirical Finance (2017)
Keywords: Systematic risk; Jumps; Equity risk premium; High-frequency data;

Forecasting output gaps in the G-7 countries: the role of correlated innovations and structural breaks,
Mardi Dungey, Jan Jacobs and Jing Tian, in Applied Economics (2017)

On Synchronisation of Financial Crises,
Lestano Lestano, Mardi Dungey and Jan Jacobs, from Econometric Society (2004)
Keywords: financial crisis, contagion, synchronisation, concordance

International trade and the transmission of shocks: The case of ASEAN-4 and NIE-4 economies,
Mardi Dungey, Faisal Khan and Mala Raghavan, in Economic Modelling (2018)
Keywords: SVAR models; ASEAN; NIE; Trade links;

The internationalisation of financial crises: Banking and currency crises 1883–2008,
Mardi Dungey, Jan Jacobs and Lestano Lestano, in The North American Journal of Economics and Finance (2015)
Keywords: Financial crises; Currency crisis; Banking crisis; Synchronisation; Concordance indices;

International Transmissions to Australia: The Roles of the USA and Euro Area,
Mardi Dungey, Denise Osborn and Mala Raghavan, in The Economic Record (2014)

A multivariate latent factor decomposition of international bond yield spreads,
Mardi Dungey, Vance Martin and Adrian Pagan, in Journal of Applied Econometrics (2000)

Continuous and Jump Betas: Implications for Portfolio Diversification,
Vitali Alexeev, Mardi Dungey and Wenying Yao, in Econometrics (2016)
Keywords: systematic risk; jump diffusion; portfolio diversification; high-frequency data

Changing vulnerability in Asia: contagion and spillovers,
Moses Kangogo, Mardi Dungey and Vladimir Volkov, in Empirical Economics (2023)
Keywords: Financial stability, Financial networks, Asian markets, Financial crises, Spillover and contagion

Dynamic effects of network exposure on equity markets,
Mardi Dungey, Moses Kangogo and Vladimir Volkov, in Eurasian Economic Review (2022)
Keywords: Financial markets, Financial networks, Financial stability

The US treasury market in August 1998: untangling the effects of Hong Kong and Russia with high-frequency data,
Mardi Dungey, Charles Goodhart and Demosthenes Tambakis, in International Journal of Finance & Economics (2008)

Modeling trade duration in U.S. Treasury markets,
Mardi Dungey, Ólan Henry and Michael Mckenzie, in Quantitative Finance (2013)

Examining stress in Asian currencies: A perspective offered by high frequency financial market data,
Mardi Dungey, Marius Matei and Sirimon Treepongkaruna, in Journal of International Financial Markets, Institutions and Money (2020)
Keywords: Jumps; Financial crises; Exchange rates; High frequency;

More Confusion in Contagion Tests: the Effects of a Crisis Sourced in US Credit Markets,
Mardi Dungey and Renee Fry-McKibbin, in The Journal of Economic Asymmetries (2009)
Keywords: E51; E52; E53; Contagion; Correlation; Factor models; Global financial crisis;

Unobservable shocks as carriers of contagion,
Mardi Dungey, George Milunovich and Susan Thorp, in Journal of Banking & Finance (2010)
Keywords: Contagion Structural GARCH

Systematic and Liquidity Risk in Subprime-Mortgage Backed Securities,
Mardi Dungey, Gerald Dwyer and Thomas Flavin, in Open Economies Review (2013)
Keywords: Asset backed securities, Subprime mortgages, Financial crisis, Factor models, Kalman filter, G12, G01, C32,

First Home Buyers’ Support Schemes in Australia,
Mardi Dungey, Graeme Wells and Sam Thompson, in Australian Economic Review (2011)

Strategic Bidding of Electric Power Generating Companies: Evidence from the Australian National Energy Market,
Mardi Dungey, Ali Ghahremanlou and Ngo Long, from CESifo (2017)
Keywords: electricity markets, Australia, rebidding

Ranking Systemically Important Financial Institutions,
Mardi Dungey, Matteo Luciani and David Veredas, from Tinbergen Institute (2012)
Keywords: Systemic risk, ranking, financial institutions, Lehman

From Trade-to-Trade in US Treasuries,
Mardi Dungey, Ólan Henry and Michael McKenzie, from University of Tasmania, Tasmanian School of Business and Economics (2010)
Keywords: US Treasuries, trade duration, workups, news

Modelling the Time Between Trades in the After-Hours Electronic Equity Futures Market,
Mardi Dungey, Nagaratnam Jeyasreedharan and Tuo Li, from University of Tasmania, Tasmanian School of Business and Economics (2012)
Keywords: duration, high frequency data, electronic futures markets

Financial crises in Asia: concordance by asset market or country?,
Mardi Dungey, Jan Jacobs and Lestano Lestano, from University of Tasmania, Tasmanian School of Business and Economics (2010)
Keywords: Asia, financial crisis, contagion, synchronisation, concordance indices