Vance L. Martin

University of Melbourne - Department of Economics

Melbourne, 3010

Australia

Australian National University (ANU) - Centre for Applied Macroeconomic Analysis (CAMA)

ANU College of Business and Economics

Canberra, Australian Capital Territory 0200

Australia

  • University of Melbourne - Department of Economics

SCHOLARLY PAPERS

14

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Scholarly Papers (14)

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1.

Monetary Policy Shocks and Security Market Responses

University of California, Berkeley Economics Working Paper
Number of pages: 29 Posted: 22 Nov 2003
Roger Craine and Vance L. Martin
University of California, Berkeley - Department of Economics and University of Melbourne - Department of Economics
Downloads 568 (81,081)
Citation 18

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Monetary policy, yield curve, stock market, factor model

2.

International Contagion Effects from the Russian Crisis and the Ltcm Near-Collapse

IMF Working Paper No. 02/74
Number of pages: 48 Posted: 15 Feb 2006
Mardi Dungey, Renée Fry, Brenda González-Hermosillo and Vance L. Martin
University of Cambridge - Cambridge Endowment for Research in Finance (CERF), affiliation not provided to SSRN, International Monetary Fund and University of Melbourne - Department of Economics
Downloads 473 (101,759)
Citation 1

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financial crises contagion effects international spillovers Russia LTCM

3.

Characterizing Global Investors' Risk Appetite for Emerging Market Debt During Financial Crises

Downloads 432 (112,926)

Characterizing Global Investors' Risk Appetite for Emerging Market Debt During Financial Crises

IMF Working Paper No. 03/251
Number of pages: 44 Posted: 07 Apr 2008
Mardi Dungey, Renee Fry, Vance L. Martin and Brenda González-Hermosillo
University of Cambridge - Cambridge Endowment for Research in Finance (CERF), Australian National University (ANU) - Department of Economics, University of Melbourne - Department of Economics and International Monetary Fund
Downloads 256 (197,661)

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Emerging markets, Bonds, Debt, Financial crisis, fINANCIAL RISK, Economic models

Characterizing Global Investors' Risk Appetite for Emerging Market Debt During Financial Crises

IMF Working Paper No. 03/251
Number of pages: 44 Posted: 27 Jan 2006
Mardi Dungey, Renee Fry, Brenda González-Hermosillo and Vance L. Martin
University of Cambridge - Cambridge Endowment for Research in Finance (CERF), Australian National University (ANU) - Department of Economics, International Monetary Fund and University of Melbourne - Department of Economics
Downloads 176 (281,146)

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Risk Aversion, Bond Markets, Financial Crises, SVAR

4.

Are Financial Crises Alike?

IMF Working Paper No. 10/14
Number of pages: 59 Posted: 18 Jan 2010
Mardi Dungey, Renee Fry, Vance L. Martin, Chrismin Tang, Chrismin Tang and Brenda González-Hermosillo
University of Cambridge - Cambridge Endowment for Research in Finance (CERF), Australian National University (ANU) - Department of Economics, University of Melbourne - Department of Economics, University of MelbourneAustralian National University (ANU) - Centre for Applied Macroeconomic Analysis (CAMA) and International Monetary Fund
Downloads 317 (159,354)

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Banking crisis, Capital markets, Cross country analysis, Developed countries, Economic models, Emerging markets, External shocks, Financial crisis, Spillovers

5.

COVID-19 and the Discounting of Real Economic Activity in the U.S. and European Stock Markets

Number of pages: 36 Posted: 24 Apr 2020 Last Revised: 27 Jan 2021
Juha-Pekka Junttila and Vance L. Martin
University of Jyväskylä - Jyväskylä International Macro & Finance Research Group (JyIMaF) and University of Melbourne - Department of Economics
Downloads 216 (233,831)

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COVID-19, discounting, stock markets, macro factors, rare disasters, tail risk, unconventional monetary policy

6.

Unanticipated Shocks and Systemic Influences: The Impact of Contagion in Global Equity Markets in 1998

IMF Working Paper No. 03/84
Number of pages: 28 Posted: 29 Jan 2006
Mardi Dungey, Renee Fry, Brenda González-Hermosillo and Vance L. Martin
University of Cambridge - Cambridge Endowment for Research in Finance (CERF), Australian National University (ANU) - Department of Economics, International Monetary Fund and University of Melbourne - Department of Economics
Downloads 152 (318,457)

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Financial Crises, Contagion, International Spillovers, Russia, LTCM, Equity Markets

7.

Exchange Rate Indicators and Optimal Currency Baskets: A Macroeconomic Analysis with Application to Developing Countries

IMF Working Paper No. 87/40
Number of pages: 26 Posted: 15 Feb 2006
Jocelyn Horne and Vance L. Martin
affiliation not provided to SSRN and University of Melbourne - Department of Economics
Downloads 112 (401,763)

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8.

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, Chrismin Tang and Chrismin Tang
Australian National University (ANU) - Crawford School of Public Policy, University of Melbourne - Department of Economics and University of MelbourneAustralian National University (ANU) - Centre for Applied Macroeconomic Analysis (CAMA)
Downloads 103 (426,434)
Citation 8

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financial crises, contagion, exchange options, Delta hedging

9.

Joint Tests of Contagion with Applications to Financial Crises

Downloads 99 (438,196)
Citation 5

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 59 (598,838)

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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 40 (712,767)
Citation 5

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

10.

Parametric Distributional Flexibility and Conditional Variance Models with an Application to Hourly Exchange Rates

IMF Working Paper No. 98/29
Number of pages: 39 Posted: 15 Feb 2006
Jenny N. Lye, Vance L. Martin and Leslie Teo
University of Melbourne - Department of Economics, University of Melbourne - Department of Economics and International Monetary Fund (IMF)
Downloads 80 (500,559)

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ARCH, Generalized Student t Distributions, Modeling Variance, Exchange Rates

11.

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 55 (608,818)
Citation 1

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

12.

News is Risky Business

Number of pages: 51 Posted: 25 Aug 2023
Kari Heimonen, Heikki Lehkonen and Vance L. Martin
University of Jyväskylä, University of Jyväskylä - School of Business and Economics and University of Melbourne - Department of Economics
Downloads 49 (640,987)

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Dynamic ICAPM, ESG, Portfolio management, Investor attention

13.

Real Sectoral Spillovers: A Dynamic Factor Analysis of the Great Recession

IMF Working Paper No. 18/100
Number of pages: 53 Posted: 01 Aug 2018
Nan Li and Vance L. Martin
International Monetary Fund (IMF) and University of Melbourne - Department of Economics
Downloads 37 (714,954)
Citation 5

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Spillovers, External shocks, Real sector, Business cycles, Output growth, Industrial production, Econometric models, United States, Intersectoral Linkages, Dynamic Factor Models, Real Business Cycles, Input-output Structure, Time-Series Models, Input-Output Models

14.

Time-Varying Relative Risk Aversion in Global Asset Markets

Number of pages: 48 Posted: 01 Jun 2023
Vance L. Martin and Saikat Sarkar
University of Melbourne - Department of Economics and Mount Allison University
Downloads 6 (980,293)

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Nonlinear risk factors, Mean impact surface, Shock spillovers, Portfolio diversi cation