Mardi H. Dungey

University of Tasmania

French Street

Sandy Bay

Tasmania, 7250

Australia

Financial Research Network (FIRN)

C/- University of Queensland Business School

St Lucia, 4071 Brisbane

Queensland

Australia

http://www.firn.org.au

  • University of Tasmania

SCHOLARLY PAPERS

19

DOWNLOADS
Rank 39,943

SSRN RANKINGS

Top 39,943

in Total Papers Downloads

1,052

CITATIONS
Rank 17,289

SSRN RANKINGS

Top 17,289

in Total Papers Citations

28

Scholarly Papers (19)

Actions:
Email selected abstracts
1.

The Emergence of Systemically Important Insurers

CIFR Paper No. WP038, FIRN Research Paper No. 2494030
Number of pages: 29 Posted: 11 Sep 2014
Mardi H. Dungey, Matteo Luciani and David Veredas
University of Tasmania, Federal Reserve Board and Vlerick Business School
Downloads 230 (131,266)
Citation 4

Abstract:

Loading...

banking, insurance, systemic risk

2.

Strategic Bidding of Electric Power Generating Companies: Evidence from the Australian National Energy Market

CESifo Working Paper Series No. 6819
Number of pages: 36 Posted: 21 Feb 2018
Mardi H. Dungey, Ali Ghahremanlou and Ngo Van Long
University of Tasmania, University of Tasmania and McGill University - Department of Economics
Downloads 133 (214,181)

Abstract:

Loading...

electricity markets, Australia, rebidding

3.

Surfing Through the GFC: Systemic Risk in Australia

Downloads 131 (215,471)

Surfing Through the GFC: Systemic Risk in Australia

CIFR Paper No. WP061/2015, FIRN Research Paper No. 2617117
Number of pages: 25 Posted: 11 Jun 2015
Mardi H. Dungey, Matteo Luciani, Marius Matei and David Veredas
University of Tasmania, Federal Reserve Board, University of Tasmania and Vlerick Business School
Downloads 130 (217,498)

Abstract:

Loading...

banking, insurance, systemic risk

Surfing Through the GFC: Systemic Risk in Australia

Economic Record, Vol. 93, Issue 300, pp. 1-19, 2017
Number of pages: 19 Posted: 09 Mar 2017
Mardi H. Dungey, Matteo Luciani and David Veredas
University of Tasmania, Federal Reserve Board and Vlerick Business School
Downloads 1 (675,648)
  • Add to Cart

Abstract:

Loading...

4.

Systematic and Liquidity Risk in Subprime-Mortgage Backed Securities

Number of pages: 43 Posted: 12 Sep 2011
Mardi H. Dungey, Gerald P. Dwyer and Thomas Flavin
University of Tasmania, Clemson University and National University of Ireland, Maynooth (NUI Maynooth) - Department of Economics
Downloads 126 (221,970)
Citation 2

Abstract:

Loading...

asset backed securities, subprime mortgages, financial crisis, factor models, Kalman Filter

5.

A SVECM Model of the UK Economy and the Term Premium

Number of pages: 28 Posted: 02 Aug 2011
Mardi H. Dungey and Tugrul Vehbi
University of Tasmania and affiliation not provided to SSRN
Downloads 70 (325,292)

Abstract:

Loading...

Structural VECM Models, Term Premium, Crisis

6.

Equity Market Contagion During the Global Financial Crisis: Evidence from the World's Eight Largest Economies

Downloads 66 (335,703)
Citation 3

Equity Market Contagion During the Global Financial Crisis: Evidence from the World's Eight Largest Economies

Number of pages: 27 Posted: 11 Nov 2014
Dinesh Gajurel and Mardi H. Dungey
University of New Brunswick - Fredericton and University of Tasmania
Downloads 66 (339,859)
Citation 3

Abstract:

Loading...

Global financial crisis, financial contagion, financial markets

7.

The Changing International Network of Sovereign Debt and Financial Institutions

CIFR Paper No. 121/2016
Number of pages: 52 Posted: 30 Aug 2016
Mardi H. Dungey, David John Harvey and Vladimir Volkov
University of Tasmania, University of Auckland and University of Tasmania
Downloads 53 (373,690)
Citation 2

Abstract:

Loading...

network, sovereign debt, financial institutions, systemic risk, contagion

8.

Endogenous Crisis Dating and Contagion Using Smooth Transition Structural GARCH

FIRN Research Paper
Number of pages: 26 Posted: 04 Dec 2012 Last Revised: 10 Apr 2015
Mardi H. Dungey, George Milunovich, Susan Thorp and Minxian Yang
University of Tasmania, Macquarie University - Department of Economics, University of Sydney Business School and UNSW Australia Business School, School of Economics
Downloads 52 (376,960)
Citation 10

Abstract:

Loading...

Contagion, Structural GARCH, Global Financial Crisis

9.

Chinese Resource Demand and the Natural Resource Supplier

CAMA working paper no 54/2013
Number of pages: 27 Posted: 21 Aug 2013
Mardi H. Dungey, Renee Fry-McKibbin and Verity Linehan
University of Tasmania, Australian National University (ANU) - Crawford School of Public Policy and Australian National University
Downloads 39 (423,037)
Citation 9

Abstract:

Loading...

10.

Can Monetary Policy Surprise the Market?

CAMA Working Paper No. 5/2015
Number of pages: 28 Posted: 21 Feb 2015 Last Revised: 23 Feb 2015
Edda Claus and Mardi H. Dungey
Wilfrid Laurier University and University of Tasmania
Downloads 36 (435,264)

Abstract:

Loading...

monetary policy, central banks, latent factor model

11.

Signed Spillover Effects Building on Historical Decompositions

CAMA Working Paper No. 52/2017
Number of pages: 53 Posted: 29 Aug 2017
Mardi H. Dungey, John Harvey, Pierre L. Siklos and Vladimir Volkov
University of Tasmania, Tasmanian School of Business and Economics, University of Tasmania, Wilfrid Laurier University - School of Business & Economics and University of Tasmania
Downloads 30 (461,585)
Citation 1

Abstract:

Loading...

Historical decomposition, DY Spillover, Granger Causality, Networks

12.

Trend-Cycle Decomposition: Implications from an Exact Structural Identification

CIRANO - Scientific Publications 2013s-23
Number of pages: 37 Posted: 19 Oct 2013
Mardi H. Dungey, Jan P. A. M. Jacobs, Jing Tian and Simon van Norden
University of Tasmania, University of Groningen - Faculty of Economics and Business, University of Tasmania and HEC Montreal - Department of Finance
Downloads 23 (498,104)

Abstract:

Loading...

trend-cycle decomposition, data revision, state-space form

13.

Recovery from Dutch Disease

CAMA Working Paper No. 69/2017
Number of pages: 24 Posted: 08 Nov 2017
Mardi H. Dungey, Renee Fry-McKibbin, Verity Todoroski and Vladimir Volkov
University of Tasmania, Australian National University (ANU) - Crawford School of Public Policy, Centre for Applied Macroeconomic Analysis, ANU and University of Tasmania
Downloads 19 (521,053)

Abstract:

Loading...

Dutch Disease, Australia, China, SVAR, Historical Decomposition, Empirical Steady-State Gap

14.

On the Correspondence between Data Revision and Trend-Cycle Decomposition

CAMA Working Paper No. 16/2012
Number of pages: 12 Posted: 28 Mar 2012
Mardi H. Dungey, Jan P. A. M. Jacobs, Jing Tian and Simon van Norden
University of Tasmania, University of Groningen - Faculty of Economics and Business, University of Tasmania and HEC Montreal - Department of Finance
Downloads 19 (521,053)

Abstract:

Loading...

data revisions, state-space models, Kalman filter, Kalman smoother, trend-cycle decomposition

15.

The Changing Network of Financial Market Linkages: The Asian Experience

Asian Development Bank Economics Working Paper Series No. 558 (September, 2018)
Number of pages: 50 Posted: 22 Feb 2019
Biplob Chowdhury, Mardi H. Dungey, Moses Kangogo, Mohammad Abu Sayeed and Vladimir Volkov
University of Tasmania, University of Tasmania, University of Tasmania, University of Tasmania, Tasmanian School of Business and Economics, Students and University of Tasmania
Downloads 14 (550,201)

Abstract:

Loading...

Asian markets, financial crises, network

16.

The Gains from Catch-up for China and the US: An Empirical Framework

CAMA Working Paper No. 07/2019
Number of pages: 37 Posted: 24 Jan 2019
Mardi H. Dungey and Denise R. Osborn
University of Tasmania and University of Manchester - School of Social Sciences
Downloads 11 (568,364)

Abstract:

Loading...

China, SVAR, convergence, catch-up

17.

Mortgage Choice Determinants: The Role of Risk and Bank Regulation

Economic Record, Vol. 91, Issue 295, pp. 417-437, 2015
Number of pages: 21 Posted: 09 Dec 2015
Mardi H. Dungey, Firmin Doko Tchatoka, Graeme Wells and Maria Yanotti
University of Tasmania, University of Adelaide, University of Tasmania and University of Tasmania
Downloads 0 (661,885)
  • Add to Cart

Abstract:

Loading...

18.

Contagion and Banking Crisis - International Evidence for 2007-2009

Journal of Banking and Finance, Vol. 60, Pp. 271–283, November 2015. DOI:10.1016/j.jbankfin.2015.08.007, FIRN Research Paper No. 2641630
Posted: 10 Aug 2015 Last Revised: 05 Oct 2015
Dinesh Gajurel and Mardi H. Dungey
University of New Brunswick - Fredericton and University of Tasmania

Abstract:

Loading...

Global financial crisis, financial contagion, banking institutions, asset pricing, GARCH

19.

International Transmissions to Australia: The Roles of the USA and Euro Area

Economic Record, Vol. 90, Issue 291, pp. 421-446, 2014
Number of pages: 26 Posted: 17 Dec 2014
Mardi H. Dungey, Mala Raghavan and Denise R. Osborn
University of Tasmania, Monash University and University of Manchester - School of Social Sciences
Downloads 0 (661,885)
Citation 2
  • Add to Cart

Abstract:

Loading...