Web Access Research Portal

Researcher: Dungey, MH (Professor Mardi Dungey)

Fields of Research

Macroeconomics (incl. Monetary and Fiscal Theory)
International Economics and International Finance
Financial Econometrics
Financial Economics
Finance
Investment and Risk Management
Economic Models and Forecasting
Time-Series Analysis
Economic Development and Growth
Financial Institutions (incl. Banking)
Applied Economics
Environment and Resource Economics
Banking, Finance and Investment
Public Economics- Publically Provided Goods
Social Policy
Australian History (excl. Aboriginal and Torres Strait Islander History)
Urban and Regional Economics
Housing Markets, Development, Management
Econometrics
Renewable Power and Energy Systems Engineering (excl. Solar Cells)
Causes and Prevention of Crime

Research Objectives

Monetary Policy
Finance Services
Fiscal Policy
Macroeconomics
Savings and Investments
Investment Services (excl. Superannuation)
Exchange Rates
Economic Growth
Market-Based Mechanisms
Measurement Standards and Calibration Services
International Trade
Preference, Behaviour and Welfare
Public Services Policy Advice and Analysis
Expanding Knowledge in Economics
Microeconomics
Energy Systems Analysis
Ecosystem Assessment and Management of Antarctic and Sub-Antarctic Environments
Understanding Australia's Past
Supply and Demand
Industry Policy
Technological and Organisational Innovation
Financial Services
Coastal and Marine Management Policy
Sustainability Indicators

Career Best Publications

A Multivariate Latent Factor Decomposition of International Bond Yield Spreads; Journal of Applied Econometrics
A Structural VAR model of the Australian economy; The Economic Record
After-hours trading in electronic futures markets; Journal of Futures Markets
Chinese resource demand and the natural resource supplier; Applied Economics
Cojumping: Evidence from the US Treasury bond and futures markets; Journal of Banking and Finance
Empirical evidence on jumps in the term structure of the US treasury market; Journal of Empirical Finance
Empirical Modelling of Contagion: A Review of Methodologies; Quantitative Finance
Endogenous crisis dating and contagion using smooth transition structural GARCH; Journal of Banking and Finance
Modelling large open economies with international linkages: the USA and Euro area; Journal of Applied Econometrics
The identification of fiscal and monetary policy in a structural VAR; Economic Modelling
Time-varying continuous and jump betas: The role of firm characteristics and periods of stress; Journal of Empirical Finance
U.S. monetary policy surprises: identification with shifts and rotations in the term structure; Journal of Money, Credit and Banking
Unobservable shocks as carriers of contagion; Journal of Banking and Finance
Unravelling Financial Market Linkages During Crises; Journal of Applied Econometrics

Research Publications

A Comparison of Alternative Tests of Contagion with Applications; Identifying International Financial Contagion: Progress and Challenges
A Multifactor Model of Exchange Rates with Unanticipated Shocks: Measuring Contagion in the East Asian Currency Market; Journal of Emerging Market Finance
A Multivariate Latent Factor Decomposition of International Bond Yield Spreads; Journal of Applied Econometrics
A Perspective on Modelling the Australian Real Trade Weighted Index since the Float; Australian Economic Papers
A semiparametric conditional duration model; Economics Letters
A Structural VAR model of the Australian economy; The Economic Record
A Web of Shocks: Crises Across Asian Real Estate Markets; Journal of Real Estate Finance and Economics
After-hours trading in electronic futures markets; Journal of Futures Markets
Can monetary policy surprises affect the term structure?; Journal of Macroeconomics
Chinese resource demand and the natural resource supplier; Applied Economics
Classroom ideas: Finance is fun! Maths and money; Australian Mathematics Teacher
Cojumping: Evidence from the US Treasury bond and futures markets; Journal of Banking and Finance
Contagion and banking crisis – International evidence for 2007–2009; Journal of Banking and Finance
Contagion and the Transmission of Financial Crises; Financial Contagion: The Viral Threat to the Wealth of Nations
Contagion in International Bond Markets During the Russian and LTCM crises; Journal of Financial Stability
Contagion: What Should we be looking for?; Identifying International Financial Contagion Progress and Challenges
Continuous and jump betas: implications for portfolio diversification; Econometrics
Correlation, Contagion and Asian Evidence; Asian Economic Papers
Creating a sense of 'CLOSURE': Providing confidence intervals on some recent estimates of indigenous populations; Canadian Studies in Population
Currency Market Contagion in the Asia-Pacific Region; Australian Economic Papers
Dating Changes in Monetary Policy in Australia; The Australian Economic Review
Decomposing Exchange Rate Volatility around the Pacific Rim; Journal of Asian Economics
Detecting contagion with correlation: Volatility and timing matter; International Journal of Applied Business and Economic Research
Duration Dynamics in the After-Hours Electronic Futures Market during the Global Financial Crisis; Review of Futures Markets
Empirical evidence on jumps in the term structure of the US treasury market; Journal of Empirical Finance
Empirical Modelling of Contagion: A Review of Methodologies; Quantitative Finance
Endogenous crisis dating and contagion using smooth transition structural GARCH; Journal of Banking and Finance
Equity market contagion during the global financial crisis: Evidence from the world’s eight largest economies; Economic Systems
Equity portfolio diversification with high frequency data; Quantitative Finance
Equity Transmission Mechanisms from Asia to Australia: Interdependence or Contagion?; Australian Journal of Management
Exchange rate risk exposure and the value of European Firms; The European Journal of Finance
Extending a SVAR Model of the Australian Economy; The Economic Record
Financial integration and the construction of historical financial data for the Euro Area; Economic Modelling
First Home Buyers' Support Schemes in Australia; Australian Economic Review
Flight to quality and asymmetric volatility response in US treasuries; Global Finance Journal
Forecasting output gaps in the G-7 countries: the role of correlated innovations and structural breaks; Applied Economics
Identifying International Financial Contagion Progress and Challenges; Oxford University Press
Identifying Terms of Trade Effects in Real Exchange Rate Movements: Evidence from Asia; Journal of Asian Economics
Identifying the Sources of Shocks to Australian Real Equity Prices: 1982-2002; Global Finance Journal
International Shocks and the Role of Domestic Policy in Australia; Australian Journal of Labour Economics
International Shocks on Australia - the Japanese Effect; Australian Economic Papers
International Transmissions to Australia: The Roles of the USA and Euro Area; Economic Record
Macro-financial Linkages in the Pacific Region
Modeling trade duration in U.S. Treasury markets; Quantitative Finance
Modelling large open economies with international linkages: the USA and Euro area; Journal of Applied Econometrics
Monetary independence in a financially integrated world: what do measures of interest rate co-movement tell us?; Bank for International Settlements proceedings
Monetary Policy in Illiquid Markets: Options for a Small Open Economy; Open Economies Review
More Confusion in Contagion Tests: the Effects of a Crisis Sourced in US Credit Markets; Journal of Economic Asymmetries
Mortgage Choice Determinants: The Role of Risk and Bank Regulation; Economic Record
Mortgage product choice in Australia: The impact of market stress; JASSA
On the correspondence between data revision and trend-cycle decomposition; Applied Economics Letters
Potential Growth and Inflation: Estimates for Australia, the US and Canada; The Australian Economic Review
Public information, price volatility, and trading volume in U.S. bond markets; Review of Futures Markets
Shocks and Systemic Influences: Contagion in Global Equity Markets in 1998; The North American Journal of Economics & Finance
Should ASEAN-5 monetary policy-makers act preemptively against stock market bubbles?; Applied Economics
Surfing through the GFC: Systemic risk in Australia; The Economic Record
Systematic and liquidity risk in subprime-mortgage backed securities; Open Economies Review
The cross market effects of short sale restrictions; The North American Journal of Economics and Finance
The identification of fiscal and monetary policy in a structural VAR; Economic Modelling
The impact of natural disasters on household income, expenditure, poverty and inequality: evidence from Vietnam; Applied Economics
The influences of international and domestic shocks on East Asia; Rebalancing Economies in Financially Integrating East Asia
The influences of international output shocks from the US and China on ASEAN economies; Journal of Asian Economics
The Internationalisation of Financial Crises: Banking and currency crises 1883-2008; North American Journal of Economics and Finance
The Steady Inflation Rate of Economic Growth; The Economic Record
The Tsunami: Measures of Contagion in the 2007-08 Credit Crunch; CESifo Forum
The US Perspective; In Search of a New Bretton Woods: Reserve Currencies and Global Imbalances
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
Time-varying continuous and jump betas: The role of firm characteristics and periods of stress; Journal of Empirical Finance
Transmission of Financial Crises and Contagion: A Latent Factor Approach; Oxford University Press
Trend in cycle or cycle in trend? New structural identifications for unobserved-components models of U.S. real GDP; Macroeconomic Dynamics
U.S. monetary policy surprises: identification with shifts and rotations in the term structure; Journal of Money, Credit and Banking
Unobservable shocks as carriers of contagion; Journal of Banking and Finance
Unravelling Financial Market Linkages During Crises; Journal of Applied Econometrics
Why Tax Foreign Exchange? Comments on a Proposed Tobin Tax; Australian Economic Papers

Research Projects

Capital Offending: Income, Work and Crime in Australia's Convict Era; Australian Research Council (ARC)
Detecting changes in econometric causality: Measuring systemic risk; Australian Research Council (ARC)
Detecting Financial Contagion using High Frequency Data; Australian Research Council (ARC)
Detecting Systemically Important Risk; Centre for International Finance and Regulation (CIFR)
Equity portfolio diversification: how many stocks are too many? Evidence from developed markets; Accounting & Finance Association of Australia and New Zealand Ltd (AFAANZ)
Household Mortgage Choice: Theoretical and Empirical Evidence; Australian Research Council (ARC)
Identifying Contagion; IdR_Quant Valley/Fdr (IDRQV)
Market behaviour around bankruptcy announcements during the Global Financial Crisis: Australia and the US evidence; Accounting & Finance Association of Australia and New Zealand Ltd (AFAANZ)
Mortgage choice by Australian households; University of Tasmania (UTAS)
Research In Finance; Liquidity, Crises and Contagion; University of Cambridge (UC)
The Economic Impact of the Antarctic and Southern Ocean Sector on the Tasmanian Economy; University of Tasmania (UTAS)
Understanding the Behaviour and Impact of Bond Markets; Australian Research Council (ARC)

Research Candidate Supervision

Corporate Governance Mechanisms and Post-IPO Performance Structures of Young Entrepreneurial Firms
Duration Modelling of the After-Hours Electronic Futures Market
Global and regional Systemic Risk Index- A Tool of Detecting Systemic Exposure of Firms
Global Financial Crises and International Contagion Effects (with reference to banking system)
Idiosyncratic Risk Assessment in the Mortgage Market
on the role of financial frictions in open economics
Overcoming Spatial Econometric Estimation Problems within the Sense-T Network