Renee Fry-McKibbin

Australian National University (ANU) - Crawford School of Public Policy

7 Liversidge Street

Lennox Crossing

Canberra, ACT 0200

Australia

Australian National University (ANU) - Centre for Applied Macroeconomic Analysis (CAMA), Crawford School of Public Policy

Canberra, Australian Capital Territory 0200

Australia

SCHOLARLY PAPERS

16

DOWNLOADS

589

SSRN CITATIONS
Rank 33,107

SSRN RANKINGS

Top 33,107

in Total Papers Citations

14

CROSSREF CITATIONS

8

Scholarly Papers (16)

1.

Financial Contagion and Asset Pricing

CAMA working paper no 61/2013
Number of pages: 41 Posted: 02 Sep 2013
Renee Fry-McKibbin, Vance L. Martin and Chrismin Tang
Australian National University (ANU) - Crawford School of Public Policy, University of Melbourne - Department of Economics and University of Melbourne
Downloads 80 (332,497)
Citation 3

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financial crises, contagion, exchange options, Delta hedging

2.

Firm Performance, the Financial Crisis and the US Tourism Industry

30th Australasian Finance and Banking Conference 2017
Number of pages: 20 Posted: 17 Aug 2017 Last Revised: 04 Nov 2017
Renee Fry-McKibbin, Cody Hsiao and Alice Zhang
Australian National University (ANU) - Crawford School of Public Policy, Macao University of Science and Technology (MUST) - School of Business and Macao University of Science and Technology (MUST) - School of Business
Downloads 79 (334,906)

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Contagion test, …financial crisis, fi…rm performance, tourism industry

3.

Extremal Dependence Tests for Contagion

CAMA Working Paper No. 40/2015
Number of pages: 53 Posted: 10 May 2014 Last Revised: 03 Nov 2015
Renee Fry-McKibbin and Cody Yu-Ling Hsiao
Australian National University (ANU) - Crawford School of Public Policy and University of New South Wales (UNSW)
Downloads 63 (378,982)
Citation 4

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Co-skewness, Co-kurtosis, Co-volatility, Contagion testing, Extremal dependence, Financial crisis, Lagrangian multiplier tests

Joint Tests of Contagion with Applications to Financial Crises

CAMA Working Paper No. 23/2017
Number of pages: 42 Posted: 27 Mar 2017
Renee Fry-McKibbin, Cody Hsiao and Vance L. Martin
Australian National University (ANU) - Crawford School of Public Policy, Macao University of Science and Technology (MUST) - School of Business and University of Melbourne - Department of Economics
Downloads 34 (500,361)

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Coskewness, Cokurtosis, Covolatility, Lagrange multiplier tests, European debt crisis, equity markets

Joint Tests of Contagion with Applications to Financial Crises

CAMA Working Paper No. 65/2017
Number of pages: 43 Posted: 31 Oct 2017
Renee Fry-McKibbin, Cody Hsiao and Vance L. Martin
Australian National University (ANU) - Crawford School of Public Policy, Macao University of Science and Technology (MUST) - School of Business and University of Melbourne - Department of Economics
Downloads 16 (615,384)
Citation 2

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Coskewness, Cokurtosis, Covolatility, Lagrange Multiplier Tests, European Financial Crisis, Equity Markets

5.

A Regime Switching Skew-Normal Model for Measuring Financial Crisis and Contagion

CAMA Working Paper 15/2013
Number of pages: 41 Posted: 19 Jul 2013
Joshua C. C. Chan, Cody Yu-Ling Hsiao and Renee Fry-McKibbin
University of Technology Sydney (UTS) - UTS Business School, University of New South Wales (UNSW) and Australian National University (ANU) - Crawford School of Public Policy
Downloads 49 (426,086)
Citation 2

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Great Recession, Crisis tests, Contagion tests, Co-skewness, Regime switching skew-normal model, Gibbs sampling, Bayesian model comparison

6.

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 (deceased), Australian National University (ANU) - Crawford School of Public Policy and Australian National University
Downloads 41 (457,506)
Citation 8

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7.

Effects of US Monetary Policy Shocks during Financial Crises ― A Threshold Vector Autoregression Approach

CAMA Working Paper No. 25/2016
Number of pages: 59 Posted: 10 May 2016
Renee Fry-McKibbin and Jasmine Zheng
Australian National University (ANU) - Crawford School of Public Policy and Australian National University (ANU)
Downloads 40 (461,844)
Citation 1

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Monetary Policy, Financial Stress, Threshold Vector Autoregression Models

8.

Does Inflation Targeting Outperform Alternative Policies During Global Downturns?

CAMA Working Paper No. 64/2014
Number of pages: 27 Posted: 16 Oct 2014 Last Revised: 17 Oct 2014
Renee Fry-McKibbin and Chen Wang
Australian National University (ANU) - Crawford School of Public Policy and Australian National University (ANU), Research school of Finance, Actuarial Studies and Applied Statistics, Students
Downloads 40 (461,844)
Citation 1

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Inflation, Inflation targeting, Financial crisis, Propensity score matching

9.

Foreign Reserve Accumulation and the Mercantilist Motive Hypothesis

CAMA Working Paper No. 18/2014
Number of pages: 41 Posted: 13 Feb 2014 Last Revised: 26 Nov 2014
Patrick Carvalho and Renee Fry-McKibbin
Australian National University (ANU), Centre for Applied Macroeconomic Analysis and the Research School of Economics and Australian National University (ANU) - Crawford School of Public Policy
Downloads 33 (493,379)

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Foreign exchange intervention, currency intervention, exchange rate volatility, reserve accumulation, factor model, emerging markets

10.

Recovery from Dutch Disease

CAMA Working Paper No. 69/2017
Number of pages: 24 Posted: 08 Nov 2017
University of Tasmania (deceased), Australian National University (ANU) - Crawford School of Public Policy, Centre for Applied Macroeconomic Analysis, ANU and University of Tasmania
Downloads 27 (524,720)

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

11.

Disentangling Commodity Demand, Commodity Supply, and International Liquidity Shocks on An Emerging Market

CAMA Working Paper No. 18/2020
Number of pages: 25 Posted: 02 Mar 2020
Renee Fry-McKibbin and Rodrigo da Silva Souza
Australian National University (ANU) - Crawford School of Public Policy and Federal University of Viçosa
Downloads 23 (548,678)

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commodity demand shocks, commodity supply shocks, emerging market interest rates, liquidity, Brazil, SVAR

12.

Measuring Financial Interdependence in Asset Returns with an Application to Euro Zone Equities

CAMA Working Paper No. 5/2018
Number of pages: 51 Posted: 17 Jan 2018
Renee Fry-McKibbin, Cody Hsiao and Vance L. Martin
Australian National University (ANU) - Crawford School of Public Policy, Macao University of Science and Technology (MUST) - School of Business and University of Melbourne - Department of Economics
Downloads 22 (554,974)

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Entropy theory, generalized exponential family, higher order comoment decomposition, independence testing

13.

Chinese Resource Demand or Commodity Price Shocks: Macroeconomic Effects For an Emerging Market Economy

CAMA Working Paper No. 45/2018
Number of pages: 88 Posted: 01 Oct 2018 Last Revised: 07 Nov 2018
Renee Fry-McKibbin and Rodrigo da Silva Souza
Australian National University (ANU) - Crawford School of Public Policy and Federal University of Viçosa
Downloads 21 (561,278)

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Brazil, EME business cycles, Dutch disease, SVAR

14.

Transmission of a Resource Boom: The Case of Australia

CAMA Working Paper No. 63/2019
Number of pages: 31 Posted: 04 Sep 2019 Last Revised: 19 Sep 2019
Mardi H. Dungey, Renee Fry-McKibbin and Vladimir Volkov
University of Tasmania (deceased), Australian National University (ANU) - Crawford School of Public Policy and Tasmania School of Business and Economics, University of Tasmania
Downloads 12 (620,827)
Citation 1

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Chinese resource demand, SVAR, multivariate historical decomposition, commodity demand shock, commodity supply shock

15.

Capital Market Liberalization and Equity Market Interdependence

CAMA Working Paper No. 55/2020
Number of pages: 17 Posted: 01 Jun 2020
Renee Fry-McKibbin and Ziyu Yan
Australian National University (ANU) - Crawford School of Public Policy and Crawford School of Public Policy, ANU
Downloads 8 (648,974)

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Shanghai-Hong Kong Stock Connect, Shenzhen Hong-Kong Stock Connect, Contagion, Spillovers

16.

Comments on 'Impact of Relative Price Changes and Asymmetric Adjustments on Aggregate Inflation: Evidence from the Philippines'

BIS Paper No. 111l
Number of pages: 5 Posted: 17 Apr 2020
Renee Fry-McKibbin
Australian National University (ANU) - Crawford School of Public Policy
Downloads 1 (708,849)

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