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Publications

by members of

Cambridge Endowment for Research in Finance (CERF)
Cambridge Finance
University of Cambridge
Cambridge, United Kingdom

These are publications listed in RePEc written by members of the above institution who are registered with the RePEc Author Service. Thus this compiles the works all those currently affiliated with this institutions, not those affilated at the time of publication. List of registered members. Register yourself. This page is updated in the first days of each month.
| Working papers | Journal articles | Books | Chapters |

Working papers

2011

  1. Mardi Dungey & M.Tugrul Vehbi, 2011. "A SVECM Model of the UK Economy and The Term Premium," CAMA Working Papers 2011-26, Australian National University, Centre for Applied Macroeconomic Analysis.
  2. Dungey, Mardi & Dwyer, Gerald P. & Flavin, Thomas, 2011. "Systematic and Liquidity Risk in Subprime-Mortgage Backed Securities," Working Papers 11817, University of Tasmania, Department of Economics and Finance.
  3. Sule Alan & Ruxandra Dumitrescu & Gyongyi Loranth, 2011. "Subprime Consumer Credit Demand: Evidence from a Lender's Pricing Experiment," TÜSÝAD-Koç University Economic Research Forum Working Papers 1105, TUSIAD-Koc University Economic Research Forum.
  4. Jean-Baptiste Gossé & Cyriac Guillaumin, 2011. "The impact of external shocks on the eurozone: a structural VAR model," CEPN Working Papers hal-00610024, HAL.
  5. Jean-Baptiste Gossé & Dominique Plihon, 2011. "The Future of Financial Markets and Regulation: What Strategy for Europe?," CEPN Working Papers hal-00613251, HAL.
  6. Jean-Baptiste Gossé & Cyriac Guillaumin, 2011. "Christopher A. Sims et la représentation VAR," CEPN Working Papers hal-00642920, HAL.

2010

  1. Lestano & Jacobs, Jan & Dungey, Mardi, 2010. "The internationalisation of financial crises: Banking and currency crises 1883-2008," Research Report 10002, University of Groningen, Research Institute SOM (Systems, Organisations and Management).
  2. Mardi Dungey & Lyudmyla Hvozdyk, 2010. "Cojumping: Evidence from the US Treasury Bond and Futures Markets," NCER Working Paper Series 56, National Centre for Econometric Research, revised 20 Jul 2010.
  3. Heather M. Anderson & Mardi Dungey & Denise R Osborn & Farshid Vahid, 2010. "Financial Integration and the Construction of Historical Financial Data for the Euro Area," Centre for Growth and Business Cycle Research Discussion Paper Series 152, Economics, The Univeristy of Manchester.
  4. Franklin Allen & Ana Babus & Elena Carletti, 2010. "Financial Connections and Systemic Risk," Economics Working Papers ECO2010/26, European University Institute.
  5. Ana Babus & Casper G. de Vries, 2010. "Global Stochastic Properties of Dynamic Models and their Linear Approximations," Tinbergen Institute Discussion Papers 10-081/2, Tinbergen Institute.
  6. Jean-Baptiste Gossé & Cyriac Guillaumin, 2010. "L'impact des chocs externes sur et dans la zone euro : un modèle VAR structurel," CEPN Working Papers hal-00493384, HAL.

2009

  1. Mardi Dungey & Abdullah Yalama, 2009. "Detecting Contagion with Correlation: Volatility and Timing Matter," CAMA Working Papers 2009-23, Australian National University, Centre for Applied Macroeconomic Analysis.
  2. Mardi Dungey & Denise Osborn, 2009. "Modelling International Linkages for Large Open Economies: US and Euro Area," CAMA Working Papers 2009-24, Australian National University, Centre for Applied Macroeconomic Analysis.
  3. Sule Alan & Kadir Atalay & Thomas F. Crossley & Sung-Hee Jeon, 2009. "New Evidence on Taxes and Portfolio Choice," Quantitative Studies in Economics and Population Research Reports 431, McMaster University.
  4. Jean-Baptiste Gossé, 2009. "The Real and Financial Implications of the Global Saving Glut: A Three-Country Model," CEPN Working Papers hal-00380417, HAL.

2008

  1. Mardi Dungey & Adrian Pagan, 2008. "Extending an SVAR Model of the Australian Economy," NCER Working Paper Series 21, National Centre for Econometric Research.
  2. MArdi Dungey & Renee Fry & Brenda Gonzales-Hermosillo & Vance L. Martin & Chrismin Tang, 2008. "Are Financial Crises Alike?," CAMA Working Papers 2008-15, Australian National University, Centre for Applied Macroeconomic Analysis.
  3. Mardi Dungey & George Milunovich & Susan Thorp, 2008. "Unobservable Shocks as Carriers of Contagion: A Dynamic Analysis Using Identified Structural GARCH," NCER Working Paper Series 22, National Centre for Econometric Research.
  4. Jean-Baptiste Gossé, 2008. "Le cycle britannique des déséquilibres financiers internationaux (XVIe siècle - 1944)," CEPN Working Papers halshs-00377453, HAL.

2007

  1. Heather Anderson & Mardi Dungey & Denise Osborn & Farshid Vahid, 2007. "Constructing Historical Euro Area Data," Money Macro and Finance (MMF) Research Group Conference 2006 99, Money Macro and Finance Research Group.
  2. Mardi Dungey & Michael McKenzie & Vanessa Smith, 2007. "Empirical Evidence On Jumps In The Term Structure Of The Us Treasury Market," CAMA Working Papers 2007-25, Australian National University, Centre for Applied Macroeconomic Analysis.
  3. Mardi Dungey & Renee Fry, 2007. "The Identification Of Fiscal And Monetary Policy In A Structural Var," CAMA Working Papers 2007-29, Australian National University, Centre for Applied Macroeconomic Analysis.
  4. Sule Alan & Kadir Atalay & Thomas F. Crossley, 2007. "The Adequacy of Retirement Savings: Subjective Survey Reports by Retired Canadians," Quantitative Studies in Economics and Population Research Reports 418, McMaster University.
  5. Jean-Baptiste Gossé & Julio Raffo, 2007. "Les déséquilibres des paiements internationaux : croissance, polarisation et financiarisation," CEPN Working Papers halshs-00377454, HAL.

2006

  1. Edda Claus & Mardi Dungey & Renee Fry, 2006. "Monetary Policy In Illiquid Markets: Options For A Small Open Economy," CAMA Working Papers 2006-17, Australian National University, Centre for Applied Macroeconomic Analysis.
  2. Ana Babus, 2006. "The Formation of Financial Networks," Tinbergen Institute Discussion Papers 06-093/2, Tinbergen Institute.
  3. Sule Alan & Søren Leth-Petersen, 2006. "Tax Incentives and Household Portfolios: A Panel Data Analysis," CAM Working Papers 2006-13, University of Copenhagen. Department of Economics. Centre for Applied Microeconometrics.
  4. Sule Alan & Kadir Atalay & Thomas F. Crossley, 2006. "Do the Rich Save More in Canada?," Social and Economic Dimensions of an Aging Population Research Papers 153, McMaster University.
  5. Sule Alan & Martin Browning, 2006. "Estimating Intertemporal Allocation Parameters using Simulated Expectation Errors," Economics Series Working Papers 284, University of Oxford, Department of Economics.

2005

  1. Mardi Dungey & Charles Goodhart & Demosthenes Tambakis, 2005. "The Us Treasury Market In August 1998: Untangling The Effects Og Hong Kong And Russia With High Frequency Data," CAMA Working Papers 2005-25, Australian National University, Centre for Applied Macroeconomic Analysis.
  2. Mardi Dungey & Renee Fry & Brenda Gonzales-Hermosillo & Vance L. Martin, 2005. "Shocks And Systemic Influences: Contagion In Global Equity Markets In 1998," CAMA Working Papers 2005-15, Australian National University, Centre for Applied Macroeconomic Analysis.
  3. Mardi Dungey & Jan P.A.M. Jacobs & Lestano, 2005. "Synchronisation Of Financial Crises," CAMA Working Papers 2005-20, Australian National University, Centre for Applied Macroeconomic Analysis.
  4. Sule Alan, 2005. "Entry costs and stock market participation over the life cycle," IFS Working Papers W05/01, Institute for Fiscal Studies.
  5. Sule Alan & Orazio Attanasio & Martin Browning, 2005. "Estimating Euler Equations with Noisy Data: Two Exact GMM Estimators," CAM Working Papers 2005-10, University of Copenhagen. Department of Economics. Centre for Applied Microeconometrics.

2004

  1. Vance L. Martin & Brenda Gonzalez-Hermosillo, & Mardi Dungey & Renee A. Fry, 2004. "Empirical Modelling of Contagion: A Review of Methodologies," Econometric Society 2004 Australasian Meetings 243, Econometric Society.
  2. Lestano & Mardi Dungey & Jan Jacobs, 2004. "On Synchronisation of Financial Crises," Econometric Society 2004 Australasian Meetings 226, Econometric Society.
  3. Mardi Dungey & Renee Fry & Vance Martin & Brenda González-Hermosillo, 2004. "Characterizing Global Investors' Risk Appetite for Emerging Market Debt During Financial Crises," IMF Working Papers 03/251, International Monetary Fund.
  4. Sule Alan, 2004. "Precautionary Wealth and Portfolio Allocation: Evidence from Canadian Microdata," Social and Economic Dimensions of an Aging Population Research Papers 117, McMaster University.

2003

  1. Mardi Dungey & Renee Fry, 2003. "Identification of Common and Idiosyncratic Shocks in Real Equity Prices: Australia 1982 to 2002," Departmental Working Papers 2003-18, Australian National University, Arndt-Corden Department of Economics.
  2. Mardi Dungey & Renee Fry & Vance Martin & Brenda González-Hermosillo, 2003. "Unanticipated Shocks and Systemic Influences: The Impact of Contagion in Global Equity Markets in 1998," IMF Working Papers 03/84, International Monetary Fund.
  3. Alan, Sule & Crossley, Thomas F. & Grootendorst, Paul & Veall, Michael R., 2003. "Out-of-Pocket Prescription Drug Expenditures and Public Prescription Drug Programs," IZA Discussion Papers 695, Institute for the Study of Labor (IZA).
  4. Sule Alan & Martin Browning, 2003. "Estimating Intertemporal Allocation Parameters using Simulated Residual Estimation," CAM Working Papers 2003-03, University of Copenhagen. Department of Economics. Centre for Applied Microeconometrics.

2002

  1. Mardi Dungey & Renee Fry & Vance Martin & Brenda González-Hermosillo, 2002. "International Contagion Effects from the Russian Crisis and the LTCM Near-Collapse," IMF Working Papers 02/74, International Monetary Fund.

2001

  1. Diana Zhumabekova & Mardi Dungey, 2001. "Factor analysis of a model of stock market returns using simulation-based estimation techniques," Pacific Basin Working Paper Series 01-08, Federal Reserve Bank of San Francisco.
  2. Mardi Dungey & Diana Zhumabekova, 2001. "Testing for contagion using correlations: some words of caution," Pacific Basin Working Paper Series 01-09, Federal Reserve Bank of San Francisco.
  3. Mardi Dungey, 2001. "International Shocks and the Role of Domestic Policy in Australia," CEPR Discussion Papers 443, Centre for Economic Policy Research, Research School of Economics, Australian National University.
  4. Mardi Dungey & John Pitchford, 2001. "An Empirical Analysis of the Effect of Growth on Inflation, Australia, Canada and the United States," CEPR Discussion Papers 438, Centre for Economic Policy Research, Research School of Economics, Australian National University.
  5. Shakila Aruman & Mardi Dungey, 2001. "A Perspective on Modelling the Real Trade Weighted Index Since the Float," CEPR Discussion Papers 435, Centre for Economic Policy Research, Research School of Economics, Australian National University.

2000

  1. Dungey, Mardi & Fry, Renee, 2000. "A Multi-Country Structural VAR Model," Departmental Working Papers 2001-04, Australian National University, Arndt-Corden Department of Economics.

1999

  1. Mardi Dungey & John Pitchford, 1999. "The Steady Inflation Rate of Economic Growth," CEPR Discussion Papers 414, Centre for Economic Policy Research, Research School of Economics, Australian National University.
  2. Mardi H Dungey, 1999. "Decomposing Exchange Rate Volatility Around the Pacific Rim," Working Papers 1999.12, School of Economics, La Trobe University.

1998

  1. Dungey, M. & Pitchford, J., 1998. "Prospects for Output and Employment Growth with Steady Inflation," CEPR Discussion Papers 387, Centre for Economic Policy Research, Research School of Economics, Australian National University.
  2. Mardi H Dungey, 1998. "Why Tax Foreign Exchange? Comments on a Proposed Tobin Tax," Working Papers 1998.04, School of Economics, La Trobe University.

1997

  1. Dungey, M. & Pagan, A., 1997. "Towards a Strucrural VAR Model of the Australian Economy," Papers 319, Australian National University - Department of Economics.
  2. Dungey, M., 1997. "A Multilateral Approach to Decomposing Volatility in Belateral Exchange Rates," Papers 320, Australian National University - Department of Economics.
  3. Dungey, M & Gower, L, 1997. "Credit Limits and Long-Term Covered Interest Arbitrage," Papers 325, Australian National University - Department of Economics.

1990

  1. Lindsay F. Boulton & Mardi H. Dungey & Melissa B. Parkin, 1990. "Volatility of the Australian Dollar Exchange Rate," RBA Research Discussion Papers rdp9010, Reserve Bank of Australia.

Journal articles

2011

  1. Anderson, Heather M. & Dungey, Mardi & Osborn, Denise R. & Vahid, Farshid, 2011. "Financial integration and the construction of historical financial data for the Euro Area," Economic Modelling, Elsevier, vol. 28(4), pages 1498-1509, July.

2010

  1. Dungey, Mardi & Milunovich, George & Thorp, Susan, 2010. "Unobservable shocks as carriers of contagion," Journal of Banking & Finance, Elsevier, vol. 34(5), pages 1008-1021, May.
  2. Babus, Ana & de Vries, Casper G., 2010. "Global stochastic properties of dynamic models and their linear approximations," Journal of Economic Dynamics and Control, Elsevier, vol. 34(5), pages 817-824, May.
  3. Sule Alan & Martin Browning, 2010. "Estimating Intertemporal Allocation Parameters using Synthetic Residual Estimation," Review of Economic Studies, Wiley Blackwell, vol. 77(4), pages 1231-1261, October.

2009

  1. Tourkolias, C. & Mirasgedis, S. & Damigos, D. & Diakoulaki, D., 2009. "Employment benefits of electricity generation: A comparative assessment of lignite and natural gas power plants in Greece," Energy Policy, Elsevier, vol. 37(10), pages 4155-4166, October.
  2. Damigos, D. & Tourkolias, C. & Diakoulaki, D., 2009. "Households' willingness to pay for safeguarding security of natural gas supply in electricity generation," Energy Policy, Elsevier, vol. 37(5), pages 2008-2017, May.
  3. Dungey, Mardi & McKenzie, Michael & Tambakis, Demosthenes N., 2009. "Flight-to-quality and asymmetric volatility responses in US Treasuries," Global Finance Journal, Elsevier, vol. 19(3), pages 252-267.
  4. Mardi Dungey & Adrian Pagan, 2009. "Extending a SVAR Model of the Australian Economy," The Economic Record, The Economic Society of Australia, vol. 85(268), pages 1-20, 03.
  5. Dungey, Mardi & McKenzie, Michael & Smith, L. Vanessa, 2009. "Empirical evidence on jumps in the term structure of the US Treasury Market," Journal of Empirical Finance, Elsevier, vol. 16(3), pages 430-445, June.
  6. Dungey, Mardi & Fry, Renée, 2009. "The identification of fiscal and monetary policy in a structural VAR," Economic Modelling, Elsevier, vol. 26(6), pages 1147-1160, November.
  7. Mardi Dungey, 2009. "Monetary Policy, Inflation, and the Business Cycle: An Introduction to the New Keynesian Framework," The Economic Record, The Economic Society of Australia, vol. 85(271), pages 493-493, December.
  8. Franklin Allen & Ana Babus & Elena Carletti, 2009. "Financial Crises: Theory and Evidence," Annual Review of Financial Economics, Annual Reviews, vol. 1(1), pages 97-116, November.

2008

  1. Mardi Dungey & Charles Goodhart & Demosthenes Tambakis, 2008. "The US treasury market in August 1998: untangling the effects of Hong Kong and Russia with high-frequency data," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 13(1), pages 40-52.
  2. Edda Claus & Mardi Dungey & Renée Fry, 2008. "Monetary Policy in Illiquid Markets: Options for a Small Open Economy," Open Economies Review, Springer, vol. 19(3), pages 305-336, July.
  3. Mardi Dungey, 2008. "The Tsunami: Measures of Contagion in the 2007–2008 Credit Crunch," CESifo Forum, Ifo Institute for Economic Research at the University of Munich, vol. 9(4), pages 33-43, December.
  4. Sule Alan & Kadir Atalay & Thomas F. Crossley, 2008. "The Adequacy of Retirement Savings: Subjective Survey Reports by Retired Canadians," Canadian Public Policy, University of Toronto Press, vol. 34(s1), pages 95-118, November.

2007

  1. Vance L. Martin & Mardi Dungey, 2007. "Unravelling financial market linkages during crises," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 22(1), pages 89-119.
  2. Dungey, Mardi & Fry, Renee & Gonzalez-Hermosillo, Brenda & Martin, Vance L., 2007. "Contagion in global equity markets in 1998: The effects of the Russian and LTCM crises," The North American Journal of Economics and Finance, Elsevier, vol. 18(2), pages 155-174, August.

2006

  1. Shaun Bond & Mardi Dungey & Renée Fry, 2006. "A Web Of Shocks: Crises Across Asian Real Estate Markets," The Journal of Real Estate Finance and Economics, Springer, vol. 32(3), pages 253-274, May.
  2. Dungey, Mardi & Fry, Renee & Gonzalez-Hermosillo, Brenda & Martin, Vance, 2006. "Contagion in international bond markets during the Russian and the LTCM crises," Journal of Financial Stability, Elsevier, vol. 2(1), pages 1-27, April.
  3. Mardi Dungey & Renée Fry & Vance L. Martin, 2006. "Correlation, Contagion, and Asian Evidence," Asian Economic Papers, MIT Press, vol. 5(2), pages 32-72, June.
  4. Sule Alan, 2006. "Entry Costs and Stock Market Participation over the Life Cycle," Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics, vol. 9(4), pages 588-611, October.
  5. Sule Alan, 2006. "Precautionary wealth accumulation: evidence from Canadian microdata," Canadian Journal of Economics, Canadian Economics Association, vol. 39(4), pages 1105-1124, November.

2005

  1. Mardi Dungey & Renee Fry & Brenda Gonzalez-Hermosillo & Vance Martin, 2005. "Empirical modelling of contagion: a review of methodologies," Quantitative Finance, Taylor and Francis Journals, vol. 5(1), pages 9-24.
  2. Sule Alan & Thomas Crossley & Paul Grootendorst & Michael Veall, 2005. "Distributional effects of `general population' prescription drug programs in Canada," Canadian Journal of Economics, Canadian Economics Association, vol. 38(1), pages 128-148, February.

2004

  1. Dungey, Mardi, 2004. "Identifying terms of trade effects in real exchange rate movements: evidence from Asia," Journal of Asian Economics, Elsevier, vol. 15(2), pages 217-235, April.
  2. Mardi Dungey & John Pitchford, 2004. "Potential Growth and Inflation: Estimates for Australia, the United States and Canada," Australian Economic Review, The University of Melbourne, Melbourne Institute of Applied Economic and Social Research, vol. 37(1), pages 89-101, 03.
  3. Dungey, Mardi & Fry, Renee & Martin, Vance L., 2004. "Identification of common and idiosyncratic shocks in real equity prices: Australia, 1982-2002," Global Finance Journal, Elsevier, vol. 15(1), pages 81-102.
  4. Mardi Dungey & Renee Fry & Vance L. Martin, 2004. "Currency Market Contagion In The Asia-Pacific Region," Australian Economic Papers, Wiley Blackwell, vol. 43(4), pages 379-395, December.

2003

  1. Shakila Aruman & Mardi Dungey, 2003. "A Perspective on Modelling the Australian Real Trade Weighted Index since the Float," Australian Economic Papers, Wiley Blackwell, vol. 42(1), pages 56-76, 03.
  2. Mardi Dungey & Renée Fry, 2003. "International Shocks on Australia - The Japanese Effect," Australian Economic Papers, Wiley Blackwell, vol. 42(2), pages 158-182, 06.

2002

  1. Mardi Dungey, 2002. "International Shocks and the Role of Domestic Policy in Australia," Australian Journal of Labour Economics (AJLE), The Centre for Labour Market Research (CLMR), Curtin Business School, vol. 5(2), pages 143-163, June.
  2. Alan, Sule & Crossley, Thomas F. & Grootendorst, Paul & Veall, Michael R., 2002. "The effects of drug subsidies on out-of-pocket prescription drug expenditures by seniors: regional evidence from Canada," Journal of Health Economics, Elsevier, vol. 21(5), pages 805-826, September.

2000

  1. Dungey, Mardi & Pagan, Adrian, 2000. "A Structural VAR Model of the Australian Economy," The Economic Record, The Economic Society of Australia, vol. 76(235), pages 321-42, December.
  2. Dungey, Mardi & Pitchford, John, 2000. "The Steady Inflation Rate of Economic Growth," The Economic Record, The Economic Society of Australia, vol. 76(235), pages 386-400, December.
  3. Mardi Dungey & Vance L Martin & Adrian R Pagan, 2000. "A multivariate latent factor decomposition of international bond yield spreads," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 15(6), pages 697-715.
  4. Mardi Dungey & Ben Hayward, 2000. "Dating Changes in Monetary Policy in Australia," Australian Economic Review, The University of Melbourne, Melbourne Institute of Applied Economic and Social Research, vol. 33(3), pages 281-285.

1999

  1. Dungey, M. H., 1999. "Decomposing exchange rate volatility around the Pacific Rim," Journal of Asian Economics, Elsevier, vol. 10(4), pages 525-535.

Books

2011

  1. Dungey, Mardi & Fry, Renee A. & Gonzalez-Hermosillo, Brenda & Martin, Vance L., 2011. "Transmission of Financial Crises and Contagion: A Latent Factor Approach," OUP Catalogue, Oxford University Press, number 9780199739837, December.

2005

  1. Dungey, Mardi & Tambakis, Demosthenes N. (ed.), 2005. "Identifying International Financial Contagion: Progress and Challenges," OUP Catalogue, Oxford University Press, number 9780195187182, December.

Chapters

2010

  1. Mardi Dungey, 2010. "Discussion of The Economic Consequences of Oil Shocks: Differences across Countries and Time," RBA Annual Conference Volume, in: Renée Fry & Callum Jones & Christopher Kent (ed.), Inflation in an Era of Relative Price Shocks Reserve Bank of Australia.

2005

  1. Mardi Dungey, 2005. "Discussion of 'Assessing the Sources of Changes in the Volatility of Real Growth'," RBA Annual Conference Volume, in: Christopher Kent & David Norman (ed.), The Changing Nature of the Business Cycle Reserve Bank of Australia.

1998

  1. Mardi Dungey & John Pitchford, 1998. "Prospects for Output and Employment Growth with Steady Inflation," RBA Annual Conference Volume, in: Guy Debelle & Jeff Borland (ed.), Unemployment and the Australian Labour Market Reserve Bank of Australia.