eCite Digital Repository

Author: Dungey, MH (Professor Mardi Dungey)

Number of items: 78

Journal Article
Dungey, M, Surfing through the GFC: Systemic risk in Australia, The Economic Record ISSN 0013-0249 (In Press) [Refereed Article] 
Dungey, M and Erdemlioglu, D and Matei, M and Yang, X, Testing for mutually exciting jumps and financial flights in high frequency data, Journal of Econometrics pp. 1-73. ISSN 0304-4076 (In Press) [Refereed Article]
Dungey, M and Volkov, V, R&D and wholesale trade are critical to the economy: Identifying dominant sectors from economic networks, Economics Letters, 162 pp. 81-85. ISSN 0165-1765 (2018) [Refereed Article]
Parlapiano, F and Alexeev, V and Dungey, M, Exchange rate risk exposure and the value of European Firms, The European Journal of Finance, 23, (2) pp. 111-129. ISSN 1351-847X (2017) [Refereed Article] 
Dungey, M and Jacobs, JPAM and Tian, J, Forecasting output gaps in the G-7 countries: the role of correlated innovations and structural breaks, Applied Economics, 49, (45) pp. 4554-4566. ISSN 0003-6846 (2017) [Refereed Article] 
Dungey, M and Renault, E, Identifying contagion, Journal of Applied Econometrics pp. 1-24. ISSN 0883-7252 (2017) [Refereed Article] 
Dungey, M and Luciana, M and Veredas, D, Systemic risk in the US: Interconnectedness as a circuit breaker, Economic Modelling pp. 1-11. ISSN 0264-9993 (2017) [Refereed Article]
Alexeev, V and Dungey, M and Yao, W, Time-varying continuous and jump betas: The role of firm characteristics and periods of stress, Journal of Empirical Finance, 40 pp. 1-19. ISSN 0927-5398 (2017) [Refereed Article]
Claus, E and Dungey, M, Can monetary policy surprises affect the term structure?, Journal of Macroeconomics, 47 pp. 68-83. ISSN 0164-0704 (2016) [Refereed Article] 
Alexeev, V and Dungey, M and Yao, W, Continuous and jump betas: implications for portfolio diversification, Econometrics, 3, (27) pp. 1-15. ISSN 2225-1146 (2016) [Refereed Article]
Dungey, M and Gajurel, D, Contagion and banking crisis - International evidence for 2007-2009, Journal of Banking and Finance, 60 pp. 271-283. ISSN 0378-4266 (2015) [Refereed Article]
Dungey, M and Milunovich, G and Thorp, S and Yang, M, Endogenous crisis dating and contagion using smooth transition structural GARCH, Journal of Banking and Finance, 58 pp. 71-79. ISSN 0378-4266 (2015) [Refereed Article] 
Alexeev, V and Dungey, M, Equity portfolio diversification with high frequency data, Quantitative Finance, 15, (7) pp. 1205-1215. ISSN 1469-7688 (2015) [Refereed Article] 
Dungey, M and Doko Tchatoka, FD and Wells, GM and Yanotti, MB, Mortgage Choice Determinants: The Role of Risk and Bank Regulation, Economic Record, 91, (295) pp. 417-437. ISSN 0013-0249 (2015) [Refereed Article] 
Raghavan, M and Dungey, M, Should ASEAN-5 monetary policy-makers act preemptively against stock market bubbles?, Applied Economics, 47, (11) pp. 1086-1105. ISSN 0003-6846 (2015) [Refereed Article] 
Dungey, M and Vehbi, T, The influences of international output shocks from the US and China on ASEAN economies, Journal of Asian Economics, 39 pp. 59-71. ISSN 1049-0078 (2015) [Refereed Article] 
Dungey, M and Jacobs, JPAM and Lestano, The Internationalisation of Financial Crises: Banking and currency crises 1883-2008, North American Journal of Economics and Finance, 32 pp. 29-47. ISSN 1062-9408 (2015) [Refereed Article] 
Dungey, MH and Jacobs, J and Tian, J and Norden Van, S, Trend in cycle or cycle in trend? New structural identifications for unobserved-components models of U.S. real GDP, Macroeconomic Dynamics, 19, (4) pp. 776-790. ISSN 1365-1005 (2015) [Refereed Article] 
Dungey, MH and Long, X and Ullah, A and Wang, Y, A semiparametric conditional duration model, Economics Letters, 124, (3) pp. 362-366. ISSN 0165-1765 (2014) [Refereed Article] 
Dungey, MH and Fry-McKibbin, R and Linehan, V, Chinese resource demand and the natural resource supplier, Applied Economics, 46, (2) pp. 167-178. ISSN 0003-6846 (2014) [Refereed Article] 
Dungey, M, Classroom ideas: Finance is fun! Maths and money, Australian Mathematics Teacher, 70, (4) pp. 35-40. ISSN 0045-0685 (2014) [Contribution to Refereed Journal]
Dungey, MH and Jeyasreedharan, N and Li, T, Duration Dynamics in the After-Hours Electronic Futures Market during the Global Financial Crisis, Review of Futures Markets, 22, (1) pp. 71-97. ISSN 1933-7116 (2014) [Refereed Article] 
Dungey, MH and Gajurel, DP, Equity market contagion during the global financial crisis: Evidence from the world's eight largest economies, Economic Systems, 38, (2) pp. 161-177. ISSN 0939-3625 (2014) [Refereed Article] 
Dungey, MH and Osborn, DR and Raghavan, MV, International Transmissions to Australia: The Roles of the USA and Euro Area, Economic Record, 90, (291) pp. 421-446. ISSN 1475-4932 (2014) [Refereed Article] 
Dungey, M and Osborn, DR, Modelling large open economies with international linkages: the USA and Euro area, Journal of Applied Econometrics, 29, (3) pp. 377-393. ISSN 1099-1255 (2014) [Refereed Article] 
Yanotti, M and Dungey, M, Mortgage product choice in Australia: The impact of market stress, JASSA, (4) pp. 44-52. ISSN 0313-5934 (2014) [Refereed Article] 
Bui, A and Dungey, MH and Nguyen, C and Pham, TP, The impact of natural disasters on household income, expenditure, poverty and inequality: evidence from Vietnam, Applied Economics, 46, (15) pp. 1751-1766. ISSN 0003-6846 (2014) [Refereed Article] 
Dungey, M and Henry, O and McKenzie, M, Modeling trade duration in U.S. Treasury markets, Quantitative Finance, 13, (9) pp. 1431-1442. ISSN 1469-7688 (2013) [Refereed Article] 
Dungey, M and Jacobs, JPAM and Tian, J and van Norden, S, On the correspondence between data revision and trend-cycle decomposition, Applied Economics Letters, 20, (4) pp. 312-315. ISSN 1350-4851 (2013) [Refereed Article] 
Dungey, M and Dwyer, GP and Flavin, T, Systematic and liquidity risk in subprime-mortgage backed securities, Open Economies Review, 24, (1) pp. 5-32. ISSN 0923-7992 (2013) [Refereed Article] 
Dungey, M and McKenzie, M and Yalama, A, The cross market effects of short sale restrictions, North American Journal of Economics and Finance, 26, (December) pp. 53-71. ISSN 1062-9408 (2013) [Refereed Article] 
Dungey, M and Hvozdyk, L, Cojumping: Evidence from the US Treasury bond and futures markets, Journal of Banking and Finance, 36, (5) pp. 1563-1575. ISSN 0378-4266 (2012) [Refereed Article] 
Dungey, M and Yalama, A, Detecting contagion with correlation: Volatility and timing matter, International Journal of Applied Business and Economic Research, 10, (1) pp. 85-95. ISSN 0972-7302 (2012) [Refereed Article] 
Claus, E and Dungey, M, U.S. monetary policy surprises: identification with shifts and rotations in the term structure, Journal of Money, Credit and Banking, 44, (7) pp. 1443-1453. ISSN 0022-2879 (2012) [Refereed Article] 
Anderson, HM and Dungey, M and Osborn, DR and Vahid, F, Financial integration and the construction of historical financial data for the Euro Area, Economic Modelling, 28, (4) pp. 1498-1509. ISSN 0264-9993 (2011) [Refereed Article]
Dungey, M and Wells, G and Thompson, S, First Home Buyers' Support Schemes in Australia, Australian Economic Review, 44, (4) pp. 468-79. ISSN 0004-9018 (2011) [Refereed Article]
Dungey, M and Milunovich, G and Thorp, S, Unobservable shocks as carriers of contagion, Journal of Banking and Finance, 34, (5) pp. 1008-1021. ISSN 0378-4266 (2010) [Refereed Article]
Dungey, M and Fakhrutdinova, L and Goodhart, C, After-hours trading in electronic futures markets, Journal of Futures Markets, 29, (2) pp. 114-136. ISSN 0270-7314 (2009) [Refereed Article]
Dungey, MH and McKenzie, M and Smith, V, Empirical evidence on jumps in the term structure of the US treasury market, Journal of Empirical Finance, 16, (3) pp. 430-445. ISSN 0927-5398 (2009) [Refereed Article]
Dungey, MH and Pagan, A, Extending a SVAR Model of the Australian Economy, The Economic Record, 85, (268) pp. 1-20. ISSN 0013-0249 (2009) [Refereed Article]
Dungey, MH and McKenzie, M and Tambakis, D, Flight to quality and asymmetric volatility response in US treasuries, Global Finance Journal, 19, (3) pp. 252-267. ISSN 1044-0283 (2009) [Refereed Article]
Dungey, MH and Fry, R, More Confusion in Contagion Tests: the Effects of a Crisis Sourced in US Credit Markets, Journal of Economic Asymmetries, 6, (3) pp. 41-70. ISSN 1703-4949 (2009) [Refereed Article]
Dungey, M and Fry, R, The identification of fiscal and monetary policy in a structural VAR, Economic Modelling, 26, (6) pp. 1147-1160. ISSN 0264-9993 (2009) [Refereed Article]
Dungey, MH, The Tsunami: Measures of Contagion in the 2007-08 Credit Crunch, CESifo Forum, 9, (4) pp. 33-43. ISSN 1615-245X (2009) [Non Refereed Article] 
Claus, E and Dungey, MH and Fry, R, Monetary Policy in Illiquid Markets: Options for a Small Open Economy, Open Economies Review, 19, (3) pp. 305-336. ISSN 0923-7992 (2008) [Refereed Article] 
Dungey, M and Frino, A and McKenzie, MD, Public information, price volatility, and trading volume in U.S. bond markets, Review of Futures Markets, 17, (1) pp. 17-44. ISSN 1933-7116 (2008) [Refereed Article]
Dungey, MH and Goodhart, C and Tambakis, D, The US Treasury Market in August 1998: Untangling the Effects of Hong Kong and Russia with High Frequency Data, International Journal of Finance and Economics, 13, (1) pp. 40-52. ISSN 1076-9307 (2008) [Refereed Article]
Dungey, MH and Fry, R and Gonzalez-Hermosillo, B and Vance, M, Shocks and Systemic Influences: Contagion in Global Equity Markets in 1998, North American Journal of Economics & Finance, 18, (2) pp. 155-174. ISSN 1062-9408 (2007) [Refereed Article] 
Dungey, MH and Martin, V, Unravelling Financial Market Linkages During Crises, Journal of Applied Econometrics, 22, (1) pp. 89-119. ISSN 0883-7252 (2007) [Refereed Article]
Bond, S and Dungey, MH and Fry, R, A Web of Shocks: Crises Across Asian Real Estate Markets, Journal of Real Estate Finance and Economics, 32, (3) pp. 253-274. ISSN 0895-5638 (2006) [Refereed Article]
Dungey, MH and Fry, R and Gonzalez-Hermosillo, B and Martin, V, Contagion in International Bond Markets During the Russian and LTCM crises, Journal of Financial Stability, 2, (1) pp. 1-27. ISSN 1572-3089 (2006) [Refereed Article] 
Dungey, MH and Fry, R and Martin, V, Correlation, Contagion and Asian Evidence, Asian Economic Papers, 5, (2) pp. 32-72. ISSN 1535-3516 (2006) [Refereed Article] 
Dungey, MH and Hunter, B, Creating a sense of 'CLOSURE': Providing confidence intervals on some recent estimates of indigenous populations, Canadian Studies in Population, 33, (1) pp. 1-23. ISSN 0380-1489 (2006) [Refereed Article] 
Dungey, MH and Fry, R and Gonzalez-Hermosillo, B and Martin, V, Empirical Modelling of Contagion: A Review of Methodologies, Quantitative Finance, 5, (1) pp. 9-24. ISSN 1469-7688 (2005) [Refereed Article]
Dungey, MH and Martin, V, A Multifactor Model of Exchange Rates with Unanticipated Shocks: Measuring Contagion in the East Asian Currency Market, Journal of Emerging Market Finance, 3, (3) pp. 305-330. ISSN 0972-6527 (2004) [Refereed Article] 
Dungey, MH and Fry, R and Martin, V, Currency Market Contagion in the Asia-Pacific Region, Australian Economic Papers, 43, (4) pp. 379-395. ISSN 0004-900X (2004) [Refereed Article] 
Dungey, MH, Identifying Terms of Trade Effects in Real Exchange Rate Movements: Evidence from Asia, Journal of Asian Economics, 15, (2) pp. 217-235. ISSN 1049-0078 (2004) [Refereed Article]
Dungey, MH and Fry, R and Martin, V, Identifying the Sources of Shocks to Australian Real Equity Prices: 1982-2002, Global Finance Journal, 15, (1) pp. 81-102. ISSN 1044-0283 (2004) [Refereed Article] 
Dungey, MH and Pitchford, J, Potential Growth and Inflation: Estimates for Australia, the US and Canada, The Australian Economic Review, 37, (1) pp. 89-101. ISSN 0004-9018 (2004) [Refereed Article] 
Aruman, S and Dungey, MH, A Perspective on Modelling the Australian Real Trade Weighted Index since the Float, Australian Economic Papers, 42, (1) pp. 56-76. ISSN 0004-900X (2003) [Refereed Article] 
Dungey, MH and Fry, R and Martin, V, Equity Transmission Mechanisms from Asia to Australia: Interdependence or Contagion?, Australian Journal of Management, 28, (2) pp. 157-182. ISSN 0312-8962 (2003) [Refereed Article]
Dungey, MH and Fry, R, International Shocks on Australia - the Japanese Effect, Australian Economic Papers, 42, (2) pp. 499-515. ISSN 0004-900X (2003) [Refereed Article] 
Dungey, MH, International Shocks and the Role of Domestic Policy in Australia, Australian Journal of Labour Economics, 5, (2) pp. 143-163. ISSN 1328-1143 (2002) [Refereed Article] 
Dungey, MH and Martin, V and Pagan, A, A Multivariate Latent Factor Decomposition of International Bond Yield Spreads, Journal of Applied Econometrics, 15, (6) pp. 697-715. ISSN 0883-7252 (2000) [Refereed Article] 
Dungey, MH and Pagan, A, A Structural VAR model of the Australian economy, The Economic Record, 76, (235) pp. 321-342. ISSN 0013-0249 (2000) [Refereed Article] 
Dungey, MH and Hayward, B, Dating Changes in Monetary Policy in Australia, The Australian Economic Review, 33, (3) pp. 281-85. ISSN 0004-9018 (2000) [Refereed Article] 
Dungey, MH and Pitchford, J, The Steady Inflation Rate of Economic Growth, The Economic Record, 76, (235) pp. 386-400. ISSN 0013-0249 (2000) [Refereed Article] 
Dungey, MH, Decomposing Exchange Rate Volatility around the Pacific Rim, Journal of Asian Economics, 10, (4) pp. 525-535. ISSN 1049-0078 (1999) [Refereed Article] 
Dungey, MH, Why Tax Foreign Exchange? Comments on a Proposed Tobin Tax, Australian Economic Papers, 17, (3) pp. 41-46. ISSN 0004-900X (1999) [Refereed Article] 
Book
Dungey, M and Fry, RA and Gonzalez-Hermosillo, B and Martin, VL, Transmission of Financial Crises and Contagion: A Latent Factor Approach, Oxford University Press, New York, pp. 219. ISBN 978-0-19-973983-7 (2011) [Authored Research Book]
Dungey, MH and Tambakis, DN, Identifying International Financial Contagion Progress and Challenges, Oxford University Press, New York, pp. 240. ISBN 0195187180 (2005) [Edited Book] 
Chapter in Book
Dungey, MH and Vehbi, T, The influences of international and domestic shocks on East Asia, Rebalancing Economies in Financially Integrating East Asia, Routledge, Corbett J and Xu Y (ed), United Kingdom, pp. 181-216. ISBN 9780415859363 (2015) [Research Book Chapter] 
Dungey, M and Fry, RA and Gonzalez-hermosillo, B and Martin, VL and Tang, C, Contagion and the Transmission of Financial Crises, Financial Contagion: The Viral Threat to the Wealth of Nations, John Wiley & Sons, RW Kolb (ed), New Jersey, USA, pp. 129-136. ISBN 978-047092238-5 (2011) [Research Book Chapter] 
Dungey, MH and Fry, R and Gonzalez-Hermosillo, B and Martin, V, A Comparison of Alternative Tests of Contagion with Applications, Identifying International Financial Contagion: Progress and Challenges, Oxford University Press, M Dungey and D Tambakis (ed), New York, pp. 60-85. ISBN 978-0-19-518-718-2 (2005) [Research Book Chapter]
Dungey, MH and Tambakis, D, Contagion: What Should we be looking for?, Identifying International Financial Contagion Progress and Challenges, Oxford University Press, M Dungey and D Tambakis (ed), New York, pp. 3-33. ISBN 978-0-19-518-718-2 (2005) [Research Book Chapter]
Review
Dungey, M, Macro-financial Linkages in the Pacific Region, Asian-Pacific Economic Literature, 30, (2) pp. 113-114. ISSN 0818-9935 (2016) [Review Single Work]
Conference Publication
Dungey, M, Monetary independence in a financially integrated world: what do measures of interest rate co-movement tell us?, Bank for International Settlements proceedings, 19-21 August, Jakarta, pp. 207-212. (2016) [Non Refereed Conference Paper] 
Dungey, MH, The US Perspective, In Search of a New Bretton Woods: Reserve Currencies and Global Imbalances Fourth Florence Colloquium, October 20, 2006, Florence, Italy, pp. 15-43. (2007) [Non Refereed Conference Paper] 

This list was generated on Sun Dec 17 21:12:47 2017.