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

SCHOLARLY PAPERS

19

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CITATIONS
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28

Scholarly Papers (19)

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

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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)

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electricity markets, Australia, rebidding

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)

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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)
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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

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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)

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Structural VECM Models, Term Premium, Crisis

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

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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

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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
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

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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

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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)

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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
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

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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
University of Tasmania, University of Groningen - Faculty of Economics and Business, University of Tasmania and HEC Montreal - Department of Finance
Downloads 23 (498,104)

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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
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)

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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
University of Tasmania, University of Groningen - Faculty of Economics and Business, University of Tasmania and HEC Montreal - Department of Finance
Downloads 19 (521,053)

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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
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)

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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)

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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
University of Tasmania, University of Adelaide, University of Tasmania and University of Tasmania
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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

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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
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