Renee Fry-McKibbin

Comments by Renée A. Fry

Publisher: MIT Press - Journals

Date: 2010

DOI: 10.1162/ASEP.2010.9.1.113

Chinese resource demand and the natural resource supplier

Publisher: Informa UK Limited

Date: 26-09-2014

DOI: 10.1080/00036846.2013.835483

Correlation, Contagion, and Asian Evidence

Publisher: MIT Press - Journals

Date: 06-2006

DOI: 10.1162/ASEP.2006.5.2.32

Abstract: This paper examines the empirical literature on financial market contagion in Asia during the 1997–98 financial crises with respect to existing tests of contagion. Empirical evidence shows that contagion affects both developed and emerging markets and does not seem to vary with the relative fundamental economic health or trade and financial linkages of the Asian economies. Contagion occurs across both asset types and geographical borders and tends to have larger effects in equity markets than in currency and bond markets. There is evidence to support the hypothesis that contagion is regional and transmitted through developed markets. A discussion of the behavior of correlation coefficients in the presence of contagion and financial crises suggests that they are not a reliable metric for detecting contagion.

The identification of fiscal and monetary policy in a structural VAR

Publisher: Elsevier BV

Date: 11-2009

DOI: 10.1016/J.ECONMOD.2009.05.001

Extremal dependence tests for contagion

Publisher: Informa UK Limited

Date: 04-06-2016

DOI: 10.1080/07474938.2015.1122270

Empirical modelling of contagion: a review of methodologies

Publisher: Informa UK Limited

Date: 02-2005

DOI: 10.1080/14697680500142045

Comments by Renée Fry

Publisher: MIT Press - Journals

Date: 05-2007

DOI: 10.1162/ASEP.2007.6.2.14

Identification of common and idiosyncratic shocks in real equity prices: Australia, 1982–2002

Publisher: Elsevier BV

Date: 2004

DOI: 10.1016/J.GFJ.2003.10.008

Contagion in international bond markets during the Russian and the LTCM crises

Publisher: Elsevier BV

Date: 04-2006

DOI: 10.1016/J.JFS.2005.01.001

Effects of the US monetary policy shocks during financial crises – a threshold vector autoregression approach

Publisher: Informa UK Limited

Date: 13-06-2016

DOI: 10.1080/00036846.2016.1186792

Correlation, Contagion, and Asian Evidence

Publisher: MIT Press - Journals

Date: 06-2006

DOI: 10.1162/ASEP.2006.5.2.32

Abstract: This paper examines the empirical literature on financial market contagion in Asia during the 1997–98 financial crises with respect to existing tests of contagion. Empirical evidence shows that contagion affects both developed and emerging markets and does not seem to vary with the relative fundamental economic health or trade and financial linkages of the Asian economies. Contagion occurs across both asset types and geographical borders and tends to have larger effects in equity markets than in currency and bond markets. There is evidence to support the hypothesis that contagion is regional and transmitted through developed markets. A discussion of the behavior of correlation coefficients in the presence of contagion and financial crises suggests that they are not a reliable metric for detecting contagion.

Measuring financial interdependence in asset markets with an application to eurozone equities

Publisher: Elsevier BV

Date: 2021

DOI: 10.1016/J.JBANKFIN.2020.105985

Monetary Policy in Illiquid Markets: Options for a Small Open Economy

Publisher: Springer Science and Business Media LLC

Date: 19-08-2007

DOI: 10.1007/S11079-007-9059-Z

Joint tests of contagion with applications

Publisher: Informa UK Limited

Date: 08-2019

DOI: 10.1080/14697688.2018.1475747

Comments by Renée A. Fry

Publisher: MIT Press - Journals

Date: 2010

DOI: 10.1162/ASEP.2010.9.1.113

International Shocks on Australia – The Japanese Effect

Publisher: Wiley

Date: 06-2003

DOI: 10.1111/1467-8454.00193

Equity Transmission Mechanisms from Asia to Australia: Interdependence or Contagion?

Publisher: SAGE Publications

Date: 09-2003

DOI: 10.1177/031289620302800203

Abstract: The linkages between daily Asian and Australian equity market returns over the period 1995–2001 are investigated within the framework of a latent factor model. Transmission mechanisms arising from both market interdependence and contagion are studied. The empirical results reveal that co-movements in Asian and Australian equity markets are largely determined by interdependent linkages arising from common systemic factors. There is little significant evidence of contagion, although negative shocks have more effect than positive ones.

Commodity currencies and currency commodities

Publisher: Elsevier BV

Date: 06-2008

DOI: 10.1016/J.RESOURPOL.2007.10.004

A New Class of Tests of Contagion With Applications

Publisher: Informa UK Limited

Date: 07-2010

DOI: 10.1198/JBES.2010.06060

Financial contagion and asset pricing

Publisher: Elsevier BV

Date: 10-2014

DOI: 10.1016/J.JBANKFIN.2014.05.002

Geologic and kinematic constraints on Late Cretaceous to mid Eocene plate boundaries in the southwest Pacific

Publisher: Elsevier BV

Date: 2015

DOI: 10.1016/J.EARSCIREV.2014.10.008

Currency intervention: A case study of an emerging market

Publisher: Elsevier BV

Date: 10-2013

DOI: 10.1016/J.JIMONFIN.2013.05.007

Global liquidity and commodity market interactions: Macroeconomic effects on a commodity exporting emerging market

Publisher: Elsevier BV

Date: 11-2021

DOI: 10.1016/J.IREF.2021.07.008

The evolution of commodity market financialization: Implications for portfolio diversification

Publisher: Elsevier BV

Date: 12-2023

DOI: 10.1016/J.JCOMM.2023.100360

Contagion and Global Financial Crises: Lessons from Nine Crisis Episodes

Publisher: Springer Science and Business Media LLC

Date: 15-10-2014

DOI: 10.1007/S11079-013-9289-1

CURRENCY MARKET CONTAGION IN THE ASIA-PACIFIC REGION

Publisher: Wiley

Date: 12-2004

DOI: 10.1111/J.1467-8454.2004.00238.X

Tectonic drivers and the influence of the Kerguelen plume on seafloor spreading during formation of the early Indian Ocean

Publisher: Elsevier BV

Date: 07-2016

DOI: 10.1016/J.GR.2016.03.009

More Confusion in Contagion Tests: the Effects of a Crisis Sourced in US Credit Markets

Publisher: Elsevier BV

Date: 12-2009

DOI: 10.1016/S1703-4949(16)30051-2

Comments by Renée Fry

Publisher: MIT Press - Journals

Date: 05-2007

DOI: 10.1162/ASEP.2007.6.2.14

International demand and liquidity shocks in a SVAR model of the Australian economy

Publisher: Informa UK Limited

Date: 10-05-2004

DOI: 10.1080/0003684042000229569

Multivariate contagion and interdependence

Publisher: Elsevier BV

Date: 09-2009

DOI: 10.1016/J.ASIECO.2009.04.008

A Web Of Shocks: Crises Across Asian Real Estate Markets

Publisher: Springer Science and Business Media LLC

Date: 29-03-2006

DOI: 10.1007/S11146-006-6800-0

Contagion in global equity markets in 1998: The effects of the Russian and LTCM crises

Publisher: Elsevier BV

Date: 08-2007

DOI: 10.1016/J.NAJEF.2007.05.003

The Role of Portfolio Shocks in a Structural Vector Autoregressive Model of the Australian Economy

Publisher: Wiley

Date: 03-2008

DOI: 10.1111/J.1475-4932.2008.00444.X

Large-scale trans-eQTLs affect hundreds of transcripts and mediate patterns of transcriptional co-regulation Short: trans-eQTLs reveal patterns of transcriptional co-regulation

Publisher: Cold Spring Harbor Laboratory

Date: 31-05-2016

DOI: 10.1101/056283

Abstract: Genetic variation affecting gene regulation is a driver of phenotypic differences between in iduals and can be used to uncover how biological processes are organized in a cell. Although detecting cis -eQTLs is now routine, trans -eQTLs have proven more challenging to find due to the modest variance explained and the multiple testing burden when comparing millions of SNPs for association to thousands of transcripts. Here, we provide evidence for the existence of trans -eQTLs by looking for SNPs associated with the expression of multiple genes simultaneously. We find substantial evidence of trans -eQTLs, with an 1.8-fold enrichment in nominally significant markers in all three populations and significant overlap between results across the populations. These trans -eQTLs target the same genes and show the same direction of effect across populations. We define a high-confidence set of eight independent trans -eQTLs which are associated to multiple transcripts in all three populations, and affect the same targets in all three populations with the same direction of effect. We then show that target transcripts of trans -eQTLs encode proteins that interact more frequently than expected by chance, and are enriched for pathway annotations indicative of roles in basic cell homeostasis. Thus, we have demonstrated that trans -eQTLs can be accurately identified even in studies of limited s le size.

A regime switching skew-normal model of contagion

Publisher: Walter de Gruyter GmbH

Date: 11-08-2019

DOI: 10.1515/SNDE-2017-0001

Abstract: A flexible multivariate model of a time-varying joint distribution of asset returns is developed which allows for regime switching and a joint skew-normal distribution. A suite of tests for linear and nonlinear financial market contagion is developed within the framework. The model is illustrated through an application to contagion between US and European equity markets during the Global Financial Crisis. The results show that correlation contagion dominates coskewness contagion, but that coskewness contagion is significant for Greece. A flight to safety to the US is also evident in the significance of breaks in the skewness parameter in the crisis regime. Comparison to the Asian crisis shows that similar patterns emerge, with a flight to safety to Japan, and Malaysia affected by coskewnes contagion with Hong Kong.

Overvaluation in Australian Housing and Equity Markets: Wealth Effects or Monetary Policy?

Publisher: Wiley

Date: 23-05-2010

DOI: 10.1111/J.1475-4932.2010.00639.X

Australian National University

Location: Australia

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University Of Melbourne

Location: Australia

View Organisation

Discovery Projects - Grant ID: DP0556371

Start Date: 2005

End Date: 12-2008

Amount: $105,000.00

Funder: Australian Research Council

Discovery Projects - Grant ID: DP0985783

Start Date: 2009

End Date: 12-2015

Amount: $310,000.00

Funder: Australian Research Council

Discovery Projects - Grant ID: DP200101963

Start Date: 06-2020

End Date: 12-2024

Amount: $208,000.00

Funder: Australian Research Council

Discovery Projects - Grant ID: DP0664024

Start Date: 2006

End Date: 06-2009

Amount: $250,000.00

Funder: Australian Research Council

Discovery Projects - Grant ID: DP0343418

Start Date: 2003

End Date: 12-2005

Amount: $92,000.00

Funder: Australian Research Council

Discovery Projects - Grant ID: DP120103443

Start Date: 2012

End Date: 12-2017

Amount: $300,000.00

Funder: Australian Research Council

Linkage Projects - Grant ID: LP150100991

Start Date: 02-2016

End Date: 12-2020

Amount: $110,000.00

Funder: Australian Research Council