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Renée A. Fry
Fellow Research Associate Centre for Applied Macroeconomic Analysis (CAMA), Cambridge Endowment for Research in Finance College of Business and Economics, The University of Cambridge The Australian National University http://www.cerf.cam.ac.uk
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Email: renee.fry@anu.edu.au Telephone: +61 2 6125 3387 Address: CAMA, ANU, Canberra, ACT 0200
Centre for Applied Macroeconomic Anlaysis: Finance and the Macroeconomy Research Program Co-director (with Mardi Dungey) Please follow the links for more information on our program and CAMA. “Multivariate Contagion and Interdependence”, with D. Baur. “Sampling Properties of Contagion Tests”, with M. Dungey, B. González-Hermosillo and V.L. Martin. “Characterising Global Risk in Emerging Markets During Finance Crises: 1998-1999”, with M. Dungey, B. González-Hermosillo and Martin, V.L. “A New Class of Tests of Contagion: Application to Asian Real Estate and Equity Markets”, with V.L. Martin and C. Tang. “Some Issues in Using Sign Restrictions for Identifying Structural VARs”, NCER Working Paper #14, with A.R. Pagan. “Higher Order Comovements in Real Estate Markets”, with C. Tang. "Are Financial Crises Alike?", with M. Dungey, B. González-Hermosillo, V.L. Martin and C. Tang. "Identifying Fiscal and Monetary Policy in a Structural VAR", CAMA Working Paper # 29/2007with M. Dungey. pdf.
2008 “The Role of Portfolio Shocks in a SVAR Model of the Australian Economy”, Economic Record, 264(84), 17-33, with J. Hocking and V.L. Martin. 2007 “Commodity Currencies and Currency Commodities”, Resources Policy, with K. Clements, forthcoming. Working paper version. “Monetary Policy in Illiquid Markets: Options for a Small Open Economy”, Open Economies Review, with E. Claus and M. Dungey, Working paper version. “Shocks and Systemic Influences: Contagion in Global Equity Markets in 1998”, The North American Journal of Economics and Finance, with M. Dungey, B. González-Hermosillo and V.L. Martin, 18, 155-174. Working paper version, previous IMF Working paper version. 2006 “Web of Shocks: Crises across Asian Real Estate Markets”, Journal of Real Estate Finance and Economics, 32(3), 253 – 274, with S.A. Bond and M. Dungey. Working Paper Version “Contagion in International Bond Markets During the Russian and LTCM Crises”, Journal of Financial Stability, 2, 1-27, with M. Dungey, B. González-Hermosillo and V.L. Martin. IMF Working Paper version. “Correlation, Contagion and Asian Evidence”, Asian Economic Papers, 5(2), 32-72, with M. Dungey and V.L. Martin. 2005 “Empirical Modelling of Contagion: A Review of Methodologies”, Quantitative Finance, 5(1), 9-24, with M. Dungey, B. González-Hermosillo and V.L. Martin. IMF Working paper version. CERF working paper version. 2004 “International Demand and Liquidity Shocks in a SVAR Model of the Australian Economy”, Applied Economics, 36(8), 849-864. “Currency Market Contagion in the Asia-Pacific Region”, Australian Economic Papers, 43(4), 379-395, with M. Dungey and V.L. Martin. “Identification of Common and Idiosyncratic Shocks in Real Equity Prices: Australia 1982 to 2002”, Global Finance Journal, 15(1), 81-102, with M. Dungey and V.L. Martin. 2003 “International Shocks on Australia – The Japanese Effect”, Australian Economic Papers, 42, 158-182, with M. Dungey. “Equity Transmission Mechanisms from Asia to Australia: Interdependence or Contagion?”, Australian Journal of Management, 28(2), 157-182, with M. Dungey and V.L. Martin. 2005 “A Comparison of Alternative Tests of Contagion with Applications”, chapter 3 in M. Dungey and D. Tambakis (eds), Identifying International Financial Contagion: Progress and Challenges, Oxford University Press, New York. 2005, with M. Dungey, B. González-Hermosillo and V.L. Martin. 2005 “Financial Crises Propagation to Albania: A Comparison of the Russian and Turkish Crises”, in Evaluating the Effectiveness of Monetary Policy, Conference Proceedings, organised by the Central Bank of Albania, March 24-25, 2005, Durres, Albania, 295-323, with E. Sojli. 2002 “The Transmission of Contagion in Developed and Developing International Bond Markets”, Bank for International Settlements Conference Volume, 2(4) October 2002, 61-74, with M. Dungey, B. González-Hermosillo and V.L. Martin. Refereed. 2007 Identifying Fiscal and Monetary Policy in a Structural VAR", CAMA Working Paper # 29/2007with M. Dungey. pdf. “Some Issues in Using Sign Restrictions for Identifying Structural VARs”, NCER Working Paper #14, with A.R. Pagan. 2006 “Commodity Currencies and Currency Commodities”, CAMA Working Paper 19/2006, and University of Western Australia Economics Working Paper 06-17, with K. Clements “Monetary Policy in Illiquid Markets: Options for a Small Open Economy”, CAMA Working Paper 17/2006, with E. Claus and M. Dungey. “Endogenous Contagion – A Panel Data Analysis”, CAMA Working Paper 9/06, Australian National University, with D. Baur; also published as CERF Working Paper 25, University of Cambridge. 2005 “Some Issues in Using VARs for Macroeconometric Research”, CAMA Working Paper 18/05, Australian National University, with A.R. Pagan. Latest version. “Shocks and Systemic Influences: Contagion in Global Equity Markets in 1998”, CAMA Working Paper 15/05, Australian National University, with M. Dungey, B. González-Hermosillo and V.L. Martin. Refereed. 2004 “Empirical Modelling of Contagion: A Review of Methodologies”, IMF Working Paper 04/78, and Cambridge Endowment for Research in Finance, University of Cambridge Working Paper No. 8, with M. Dungey, B. González-Hermosillo and V.L. Martin. Refereed. “Web of Shocks: Crises Across Asian Real Estate Markets”, CAMA Working Paper, 02/2004, Australian National University, with S. Bond and M. Dungey. Refereed. 2003 “Characterising Global Risk Aversion for Emerging Markets During Financial Crises”, IMF Working Paper, #03/2518, with M. Dungey, B. González-Hermosillo and V.L. Martin. Refereed. “Identification of Common and Idiosyncratic Shocks in Real Equity Prices: Australia, 1982 to 2002”, Australian National University Working Papers in Trade and Development, #2003/18, with M. Dungey and V.L. Martin. “Unanticipated Shocks and Systemic Influences: The Impact of Contagion in Global Equity Markets in 1998”, IMF Working Paper, WP/03/84, with M. Dungey, B. González-Hermosillo and V.L. Martin. Refereed. 2002 “International Contagion Effects from the Russian Crisis and the LTCM Near-Collapse”, IMF Working Paper, WP/02/74, with M. Dungey, B. González-Hermosillo and V.L. Martin. Refereed. “International SVAR Factor Modelling”, Queensland University of Technology Working Papers in Economics, Finance and International Competitiveness, #109. 2001 “A Multi-Country Structural VAR Model”, Australian National University Working Papers in Trade and Development, No. 2001/04, with M. Dungey.
Australian Research Council (ARC) Discovery Project Grant 2006 – 2008 Title: Empirical and Theoretical Coherence of Macroeconometric Models, with M. Dungey and W. McKibbin. Australian Research Council (ARC) Discovery Project Grant 2005 - 2007 Title: Securitised Real Estate and Private Dwellings: International and Domestic Linkages and Implications for the Macroeconomy. Australian Research Council (ARC) Discovery Project Grant 2003 - 2005 Title: Monetary Policy with Liquidity Constrained Debt Markets (joint with Mardi Dungey).
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