Profiles

Mardi Dungey

UTAS Home Prof Mardi Dungey

Mardi Dungey

Professor of Economics & Finance
Tasmanian School of Business & Economics

Room 213, Centenary Building, Sandy Bay Campus

+61 3 6226 1839 (phone)

Mardi.Dungey@utas.edu.au

The transmission of financial crises, the weather, the stock market and convict bank accounts - what have all these things got in common? The University of Tasmania's Professor of Economics and Finance Mardi Dungey is fascinated by the possibilities for learning new things using data and modeling techniques developed in the field of economics.

"How much can we break down the connections between the financial sector and the real economy when it’s in stress, and thus protect the real economy"

Mardi Dungey - August 2013

The economics of decision making

Economic modeling reveals the interconnectedness of extremely diverse subjects

'I'm very interested in big data and how we extract information we can use for decision making,' said Mardi.

'Economists look at the past to inform our views of the future. Theoretical models reveal general principles, then we use empirical data to see whether these theories can be validated.

'An example lies in how people make decisions, for example during tough economic periods. Using real data lets us show how the theories work and how people's behaviour changes,' said Mardi.

Some of the data Mardi analyses is so-called high-frequency data, from stock and bond markets that deal with millions of trades that are sometimes made in micro-seconds.

'We can use high-frequency data to identify real periods of stress in markets quickly so that regulatory bodies can respond more quickly. We aim to identify stress within a single day, which gives financial institutions and governments time to form a response.

'Theoretical models reveal general principles, then we use empirical data to see whether these theories can be validated.'

'I'm especially interested in the growth of the Chinese economy. We don't have high-quality data going back a long way about China's financial market, so we don't know how shocks that affect China will feed back into the rest of the world. This is a big risk and dependency for Australia. Shocks in the rest of the world may require our policy makers to respond, in ways that affect employment and household finances such as through mortgages. These shocks really do affect people's daily lives,' said Mardi.

A new interest for Mardi is network finance, which makes use of techniques developed by physicists and applies them to networks between financial institutions.

'I'm interested in how the fragility of those networks affects how we design our markets. For example, if we design them so our banks are large and interconnected, is this good or bad?'

A joint project with Associate Professor Hamish Maxwell-Stewart demonstrates the diverse application of Mardi's expertise. Their project titled Founders and Survivors: Australian Life Courses in Historical Context 1803–1920 is an investigation into convict bank accounts.

'It seems hard to believe, but convicts under sentence earned money and they banked it. Records show what convicts brought with them from Britain and Ireland and what they earned while they were under sentence. It is fascinating to investigate how well these financial resources helped convicts to integrate into the new colonial society,' said Mardi.

Professor Mardi Dungey is a Fellow of the Academy of Social Sciences in Australia, and leads the finance group at the University. She works in applied empirical economics and finance with a particular emphasis on the interaction between financial markets and the economy. Her work features novel solutions to measuring the effects of financial market shocks during crises transmitting across the globe via contagion, and the risks inherent in the financial sector for the rest of the economy. She is also interested in the effects of large economies, such as China and the US, on each other and the rest of the world through both their financial and trade linkages.

Career summary

Qualifications

Degree Title of Thesis University Country Awarded
PhD International Influences on a Small Open Economy Australian National University Australia 1998
 B.Ec. (Hons)    University of Tasmania Australia 1989

Biography

Mardi Dungey is Professor of Economics and Finance at the University of Tasmania, a Senior Research Associate at the Centre for Financial Analysis and Policy at the University of Cambridge and Adjunct Professor at the Centre for Applied Macroeconomic Policy at the Australian National University. Mardi's research interests combine the empirical sides of finance and economics, particularly in her interests in the effects of financial crises on open economies and policy assessment. She is responsible for developments in modelling frameworks for open economies and for applications to Australian and other economies. Mardi is an expert in contagion effects during financial crises and is actively working in high frequency financial econometrics.

Mardi moved to the University of Tasmania in October 2008, from a position as the Deputy Director of the Centre for Financial Analysis and Policy at the University of Cambridge where she had been since early 2005. Prior to that she has held academic positions at the Australian National University and La Trobe University. She has also worked at Econtech Consulting Group and the Reserve Bank of Australia, and held visiting positions at the IMF, University of Cambridge, Manchester University, Princeton University, the Federal Reserve Bank of Atlanta and Australian and New Zealand Treasuries.

Mardi has authored more than 50 peer-reviewed publications, including in the Journal of Banking and Finance, Journal of Applied Econometrics and Journal of Money, Credit and Banking and held 10 Australian Research Funded competitive grants. She was elected as a Fellow of the Academy of Social Sciences in Australia in 2013.

Transmission of Financial Crises and Contagion book cover

Research Themes

Mardi's research aligns with the University's research theme of Data, Knowledge and Decisions.  Her interests in economics and finance is firmly in finding solutions to big problems which face society; such as growth, stable financial systems and a better understanding of the global economy in which we live.

Her research interests firmly reflect a desire to understand how big data can be used to improve decision makers, particularly those affecting macroeconomic policy through the setting of interest rates and fiscal policy, and the regulation and design of financial markets to help the economy weather financial crises.

Currently, projects run in the Economics and Finance group include using transaction level data from financial markets to assess how shocks originating in the financial sector affect firms in other parts of the economy. We aim to detect the existence and size of these transmissions. Understanding these effects helps us to provide advice on how to structure financial regulation to reduce the risk of financial crises and policies and strategies to manage financial crises in order to minimise their impact on society.

The economics and finance group also work to develop tools to effectively utilise the large pools of data being generated in many fields – particularly the sciences – to answer questions relevant to the everyday lives of our citizens. We ask question such as how we can use the data generated by weather forecasters to better predict the impact of disasters on households; and how that same weather data can be used to use the world's scarce resources more effectively by aligning the demand and supply of goods which are weather sensitive, including electricity or even householders' demand for foodstuffs.  Other questions include developing methods to understand the interactions between Australia's largest trading partners, the US and China, and how those interactions affect our own economy. All of these questions need the interaction of effective tools with data to provide answers to how we decide to implement economic policy which in turn directly impacts on every member of society.

Memberships

Professional practice

Fellow of Academy of Social Sciences in Australia

Committee associations

Other

  • Member of the  CAMA RBA Shadow Board. This group of academics and industry professionals provides regular forecasts of their views on the stance of monetary policy in Australia, in advance of each announcement from the Reserve Bank of Australia.
  • Member of the CEDA Council on Economic Policy This group of industry professionals and academics provide guidance to the research agendas of the Council for Economic Development in Australia.

Administrative expertise

Mardi is currently Associate Dean for Research for the TSBE and Discipline leader for the Economics and Finance group. She has been the inaugural Deputy-Director of two major research centres, the Centre for Financial Analysis and Policy at Cambridge University and the Centre for Applied Macroeconomic Analysis at the Australian National University.

Teaching

Financial Econometrics, Macroeconomics, International Finance

Teaching expertise

Mardi has a wide variety of teaching experience at undergraduate and post-graduate level across many institutions, including specialist cross-institutional courses in empirical finance, contagion and financial crises.

Teaching responsibility

Mardi has a minor teaching role at present while she continues in the position of Associate Dean Research. Her teaching interests encompass Macroeconomics, Financial Econometrics and International Finance.

Research Appointments

  • 2005-2008  Deputy Director, Centre for Financial Analysis and Policy, University of Cambridge
  • 2003-2005  Deputy Director, Centre for Applied Macroeconomic Analysis, ANU
  • 2000-2005  Research Fellow, Research School of Pacific and Asian Studies, ANU
  • 1998-2000  Lecturer, LaTrobe University
  • 1989-1993 Reserve Bank of Australia

Research Invitations

  • 2014/2015 Hallsworth Fellowship, University of Manchester
  • Nov 2014 Keynote speaker Accounting and Finance Research Forum 2014, University of Western Australia, Perth.
  • Sept 2014 Invited speaker Financial Crises: Transmission and Recovery, National University Ireland, Maynooth
  • July 2013 Keynote New Zealand Conference of Economists
  • Mar 2013 Invited speaker 3rd Macquarie Risk Day, Sydney
  • May 2011 Keynote address to National Institutes of Accountants Tasmania Congress
  • 'Detecting and Deterring Contagion in Financial Crises', Cradle Mt Tasmania.
    May 2011 
  • Marie Curie High Frequency Research Training Workshop: Keynote on 4-5th May, Berlin
  • Member of the CEDA Council on Economic Policy. This group of industry professionals and academics provide guidance to the research agendas of the Council for Economic Development in Australia.
  • ARC College of Experts member 2011-2013

View more on Professor Mardi Dungey in WARP

Expertise

Mardi works in applied empirical macroeconomics and finance with a particular emphasis on macroeconomic and financial system regulatory policy.  Her work features novel solutions to detecting and measuring the effects of financial market shocks transmitted across the globe and the risks inherent in the financial sector for the rest of the economy. She is interested in monetary policy, banking regulation, open economy macroeconomics, financial contagion, household finance with an emphasis on mortgage markets, and economic and financial history.

Awards

  • 2012   FIRN Best Team Paper Prize for: Endogeneous Crisis Dating and Contagion using Smooth Transition Structural GARCH, with George Milunovich, Susan Thorp and Minxian Yang
  • 2011   Runner Up award for: Modelling Trade Duration in US Treasury Markets at the Finance and Corporate Governance Conference, 28-29 April 2011, Melbourne
  • 2001   Best paper award for:  A Structural VAR model of the Australian economy,      Economic Record, 2000, 76 (235), pp.321-342 with Adrian Pagan.

Collaboration

Mardi is involved in numerous international projects associated with her work on the interactions of financial markets and economies. Currently she has research partners at the University of Manchester, Brown University, the Free University of Brussels, Maynooth University (Ireland) and Liverpool University.

Current projects

High frequency empirical finance:
This big data project uses high frequency transaction based data on financial markets to assess questions in empirical finance. Current topics include assessments of jump and continuous beta in emerging markets, detection of stressful conditions using high frequency tools, development of new tools, and the measurement and detection of contagion effects between markets.

Open economy Vector Autoregression Models:
The interactions between economies are critical to understanding how shocks, both real and financial, are transmitted. This project develops new tools to interlink large open economies in a VAR framework, particularly targeting interactions between China and the rest of the world.

Systemic Risk:
This project uses and develops new tools in network finance to assess the risk the financial sector poses to the rest of the economy – known as systemic risk. Empirical networks capture the interactions between large numbers of firms, governments and financial institutions across the globe.

Australian Mortgage Markets:
The structure of mortgage markets around the world differs quite significantly. The Australian mortgage market is one of the least distorted by regulatory intervention. Using individual mortgage records this project provides empirical evidence of the theoretical determinants of mortgage product choices by households.

Research Fields

  • Financial Econometrics (150202)
  • Time-Series Analysis (140305)
  • Macroeconomics (incl. Monetary and Fiscal Theory) (140212)

Research Impact

  • Savings and Investments (910109)
  • Exchange Rates (910104)
  • Monetary Policy (910108)

Publications

The most influential papers that Mardi has published concern the development of tools to measure the transmission of financial crises between markets through the channel of contagion. She also has a strong research agenda concerning modelling the interactions of large economies, and how their influence might affect the decisions of policy makers in the Australian economy.

Mardi is retiring co-editor of the premier Australian based economics journal, The Economic Record (co-editor from 2010-2015, member of the Editorial Board 2004-2010). She is currently Associate Editor at the Journal of Banking and Finance, Journal of Applied Econometrics, Journal of Asian Economics and Multinational Finance Journal.

Total publications

68

Highlighted publications

(11 outputs)
YearTypeCitationAltmetrics
2014Journal ArticleDungey M, Osborn DR, 'Modelling large open economies with international linkages: the USA and Euro area', Journal of Applied Econometrics, 29, (3) pp. 377-393. ISSN 1099-1255 (2014) [Refereed Article]

DOI: 10.1002/jae.2323 [eCite] [Details]

Citations: Web of Science - 3

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2012Journal ArticleDungey M, Hvozdyk L, 'Cojumping: Evidence from the US Treasury bond and futures markets', Journal of Banking and Finance, 36, (5) pp. 1563-1575. ISSN 0378-4266 (2012) [Refereed Article]

DOI: 10.1016/j.jbankfin.2012.01.005 [eCite] [Details]

Citations: Scopus - 14Web of Science - 13

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2012Journal ArticleClaus E, Dungey M, 'U.S. monetary policy surprises: identification with shifts and rotations in the term structure', Journal of Money, Credit and Banking, 44, (7) pp. 1443-1453. ISSN 0022-2879 (2012) [Refereed Article]

DOI: 10.1111/j.1538-4616.2012.00539.x [eCite] [Details]

Citations: Web of Science - 1

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2010Journal ArticleDungey M, Milunovich G, Thorp S, 'Unobservable shocks as carriers of contagion', Journal of Banking and Finance, 34, (5) pp. 1008-1021. ISSN 0378-4266 (2010) [Refereed Article]

DOI: 10.1016/j.jbankfin.2009.11.006 [eCite] [Details]

Citations: Scopus - 21Web of Science - 15

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2009Journal ArticleDungey M, Fakhrutdinova L, Goodhart C, 'After-hours trading in electronic futures markets', Journal of Futures Markets, 29, (2) pp. 114-136. ISSN 0270-7314 (2009) [Refereed Article]

DOI: 10.1002/fut.20354 [eCite] [Details]

Citations: Scopus - 4Web of Science - 5

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2009Journal ArticleDungey M, Fry R, 'The identification of fiscal and monetary policy in a structural VAR', Economic Modelling, 26, (6) pp. 1147-1160. ISSN 0264-9993 (2009) [Refereed Article]

DOI: 10.1016/j.econmod.2009.05.001 [eCite] [Details]

Citations: Scopus - 22Web of Science - 18

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2009Journal ArticleDungey MH, McKenzie M, Smith V, 'Empirical evidence on jumps in the term structure of the US treasury market', Journal of Empirical Finance, 16, (3) pp. 430-445. ISSN 0927-5398 (2009) [Refereed Article]

DOI: 10.1016/j.jempfin.2008.12.002 [eCite] [Details]

Citations: Scopus - 20Web of Science - 20

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2007Journal ArticleDungey MH, Martin V, 'Unravelling Financial Market Linkages During Crises', Journal of Applied Econometrics, 22, (1) pp. 89-119. ISSN 0883-7252 (2007) [Refereed Article]

DOI: 10.1002/jae.936 [eCite] [Details]

Citations: Scopus - 72Web of Science - 52

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2005Journal ArticleDungey MH, Fry R, Gonzalez-Hermosillo B, Martin V, 'Empirical Modelling of Contagion: A Review of Methodologies', Quantitative Finance, 5, (1) pp. 9-24. ISSN 1469-7688 (2005) [Refereed Article]

DOI: 10.1080/14697680500142045 [eCite] [Details]

Citations: Scopus - 147Web of Science - 96

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2000Journal ArticleDungey MH, Martin V, Pagan A, 'A Multivariate Latent Factor Decomposition of International Bond Yield Spreads', Journal of Applied Econometrics, 15, (6) pp. 697-715. ISSN 0883-7252 (2000) [Refereed Article]

DOI: 10.1002/jae.584 [eCite] [Details]

Citations: Web of Science - 27

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2000Journal ArticleDungey MH, Pagan A, 'A Structural VAR model of the Australian economy', The Economic Record, 76, (235) pp. 321-342. ISSN 0013-0249 (2000) [Refereed Article]

DOI: 10.1111/j.1475-4932.2000.tb00030.x [eCite] [Details]

Citations: Web of Science - 60

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Journal Article

(62 outputs)
YearCitationAltmetrics
2016Alexeev V, Dungey M, Yao W, 'Continuous and Jump Betas: Implications for Portfolio Diversification', Econometrics, 3, (27) pp. 1-15. ISSN 2225-1146 (2016) [Refereed Article]

DOI: 10.3390/econometrics4020027 [eCite] [Details]

Co-authors: Alexeev V; Yao W

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2016Claus E, Dungey M, 'Can monetary policy surprises affect the term structure?', Journal of Macroeconomics, 47 pp. 68-83. ISSN 0164-0704 (2016) [Refereed Article]

DOI: 10.1016/j.jmacro.2015.10.004 [eCite] [Details]

Citations: Scopus - 1

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2015Dungey M, Doko Tchatoka FD, Wells GM, Yanotti MB, 'Mortgage Choice Determinants: The Role of Risk and Bank Regulation', Economic Record, 91, (295) pp. 417-437. ISSN 0013-0249 (2015) [Refereed Article]

DOI: 10.1111/1475-4932.12205 [eCite] [Details]

Co-authors: Wells GM; Yanotti MB

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2015Dungey M, Jacobs JPAM, Lestano, 'The Internationalisation of Financial Crises: Banking and currency crises 1883-2008', North American Journal of Economics and Finance, 32 pp. 29-47. ISSN 1062-9408 (2015) [Refereed Article]

DOI: 10.1016/j.najef.2015.01.003 [eCite] [Details]

Citations: Scopus - 3

Co-authors: Jacobs JPAM

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2015Dungey M, Milunovich G, Thorp S, Yang M, 'Endogenous crisis dating and contagion using smooth transition structural GARCH', Journal of Banking and Finance, 58 pp. 71-79. ISSN 0378-4266 (2015) [Refereed Article]

DOI: 10.1016/j.jbankfin.2015.04.006 [eCite] [Details]

Citations: Scopus - 1

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2015Dungey M, Vehbi T, 'The influences of international output shocks from the US and China on ASEAN economies', Journal of Asian Economics, 39 pp. 59-71. ISSN 1049-0078 (2015) [Refereed Article]

DOI: 10.1016/j.asieco.2015.05.003 [eCite] [Details]

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2015Dungey MH, Jacobs J, Tian J, Norden Van S, 'Trend in cycle or cycle in trend? New structural identifications for unobserved-components models of U.S. real GDP', Macroeconomic Dynamics, 19, (4) pp. 776-790. ISSN 1365-1005 (2015) [Refereed Article]

DOI: 10.1017/S1365100513000606 [eCite] [Details]

Co-authors: Jacobs J; Tian J

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2015Parlapiano F, Alexeev V, Dungey M, 'Exchange rate risk exposure and the value of European Firms', The European Journal of Finance pp. 1-19. ISSN 1351-847X (2015) [Refereed Article]

DOI: 10.1080/1351847X.2015.1072570 [eCite] [Details]

Co-authors: Parlapiano F; Alexeev V

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2015Raghavan M, Dungey M, 'Should ASEAN-5 monetary policy-makers act preemptively against stock market bubbles?', Applied Economics, 47, (11) pp. 1086-1105. ISSN 0003-6846 (2015) [Refereed Article]

DOI: 10.1080/00036846.2014.990622 [eCite] [Details]

Co-authors: Raghavan M

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2015Alexeev V, Dungey M, 'Equity portfolio diversification with high frequency data', Quantitative Finance, 15, (7) pp. 1205-1215. ISSN 1469-7688 (2015) [Refereed Article]

DOI: 10.1080/14697688.2014.973898 [eCite] [Details]

Co-authors: Alexeev V

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2015Dungey M, Gajurel D, 'Contagion and banking crisis - International evidence for 2007-2009', Journal of Banking and Finance, 60 pp. 271-283. ISSN 0378-4266 (2015) [Refereed Article]

DOI: 10.1016/j.jbankfin.2015.08.007 [eCite] [Details]

Co-authors: Gajurel D

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2014Dungey M, 'Classroom ideas: Finance is fun! Maths and money', Australian Mathematics Teacher, 70, (4) pp. 35-40. ISSN 0045-0685 (2014) [Contribution to Refereed Journal]

[eCite] [Details]

2014Dungey M, Osborn DR, 'Modelling large open economies with international linkages: the USA and Euro area', Journal of Applied Econometrics, 29, (3) pp. 377-393. ISSN 1099-1255 (2014) [Refereed Article]

DOI: 10.1002/jae.2323 [eCite] [Details]

Citations: Web of Science - 3

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2014Dungey MH, Fry-McKibbin R, Linehan V, 'Chinese resource demand and the natural resource supplier', Applied Economics, 46, (2) pp. 167-178. ISSN 0003-6846 (2014) [Refereed Article]

DOI: 10.1080/00036846.2013.835483 [eCite] [Details]

Citations: Scopus - 5Web of Science - 5

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2014Dungey MH, Gajurel DP, 'Equity market contagion during the global financial crisis: Evidence from the world's eight largest economies', Economic Systems, 38, (2) pp. 161-177. ISSN 0939-3625 (2014) [Refereed Article]

DOI: 10.1016/j.ecosys.2013.10.003 [eCite] [Details]

Citations: Scopus - 12Web of Science - 10

Co-authors: Gajurel DP

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2014Dungey MH, Jeyasreedharan N, Li T, 'Duration Dynamics in the After-Hours Electronic Futures Market during the Global Financial Crisis', Review of Futures Markets, 22, (1) pp. 71-97. ISSN 1933-7116 (2014) [Refereed Article]

[eCite] [Details]

Co-authors: Jeyasreedharan N; Li T

2014Bui A, Dungey MH, Nguyen C, Pham TP, 'The impact of natural disasters on household income, expenditure, poverty and inequality: evidence from Vietnam', Applied Economics, 46, (15) pp. 1751-1766. ISSN 0003-6846 (2014) [Refereed Article]

DOI: 10.1080/00036846.2014.884706 [eCite] [Details]

Citations: Scopus - 3Web of Science - 2

Co-authors: Pham TP

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2014Dungey MH, Osborn DR, Raghavan MV, 'International Transmissions to Australia: The Roles of the USA and Euro Area', Economic Record, 90, (291) pp. 421-446. ISSN 1475-4932 (2014) [Refereed Article]

DOI: 10.1111/1475-4932.12137 [eCite] [Details]

Citations: Scopus - 1Web of Science - 1

Co-authors: Osborn DR; Raghavan MV

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2014Yanotti M, Dungey M, 'Mortgage product choice in Australia: The impact of market stress', JASSA, (4) pp. 44-52. ISSN 0313-5934 (2014) [Refereed Article]

[eCite] [Details]

Co-authors: Yanotti M

2014Dungey MH, Long X, Ullah A, Wang Y, 'A semiparametric conditional duration model', Economics Letters, 124, (3) pp. 362-366. ISSN 0165-1765 (2014) [Refereed Article]

DOI: 10.1016/j.econlet.2014.06.013 [eCite] [Details]

Citations: Scopus - 1Web of Science - 1

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2013Dungey M, Dwyer GP, Flavin T, 'Systematic and liquidity risk in subprime-mortgage backed securities', Open Economies Review, 24, (1) pp. 5-32. ISSN 0923-7992 (2013) [Refereed Article]

DOI: 10.1007/s11079-012-9254-4 [eCite] [Details]

Citations: Scopus - 3Web of Science - 2

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2013Dungey M, Jacobs JPAM, Tian J, van Norden S, 'On the correspondence between data revision and trend-cycle decomposition', Applied Economics Letters, 20, (4) pp. 312-315. ISSN 1350-4851 (2013) [Refereed Article]

DOI: 10.1080/13504851.2012.697118 [eCite] [Details]

Co-authors: Tian J

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2013Dungey M, McKenzie M, Yalama A, 'The cross market effects of short sale restrictions', The North American Journal of Economics and Finance, 26, (December) pp. 53-71. ISSN 1062-9408 (2013) [Refereed Article]

DOI: 10.1016/j.najef.2013.06.001 [eCite] [Details]

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2013Dungey M, Henry O, McKenzie M, 'Modeling trade duration in U.S. Treasury markets', Quantitative Finance, 13, (9) pp. 1431-1442. ISSN 1469-7688 (2013) [Refereed Article]

DOI: 10.1080/14697688.2012.745011 [eCite] [Details]

Citations: Scopus - 2Web of Science - 2

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2012Claus E, Dungey M, 'U.S. monetary policy surprises: identification with shifts and rotations in the term structure', Journal of Money, Credit and Banking, 44, (7) pp. 1443-1453. ISSN 0022-2879 (2012) [Refereed Article]

DOI: 10.1111/j.1538-4616.2012.00539.x [eCite] [Details]

Citations: Web of Science - 1

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2012Dungey M, Yalama A, 'Detecting contagion with correlation: Volatility and timing matter', International Journal of Applied Business and Economic Research, 10, (1) pp. 85-95. ISSN 0972-7302 (2012) [Refereed Article]

[eCite] [Details]

Citations: Scopus - 2

2012Dungey M, Hvozdyk L, 'Cojumping: Evidence from the US Treasury bond and futures markets', Journal of Banking and Finance, 36, (5) pp. 1563-1575. ISSN 0378-4266 (2012) [Refereed Article]

DOI: 10.1016/j.jbankfin.2012.01.005 [eCite] [Details]

Citations: Scopus - 14Web of Science - 13

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2011Anderson HM, Dungey M, Osborn DR, Vahid F, 'Financial integration and the construction of historical financial data for the Euro Area', Economic Modelling, 28, (4) pp. 1498-1509. ISSN 0264-9993 (2011) [Refereed Article]

DOI: 10.1016/j.econmod.2011.02.027 [eCite] [Details]

Citations: Scopus - 6Web of Science - 6

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2011Dungey M, Wells G, Thompson S, 'First Home Buyers' Support Schemes in Australia', Australian Economic Review, 44, (4) pp. 468-79. ISSN 0004-9018 (2011) [Refereed Article]

DOI: 10.1111/j.1467-8462.2011.00654.x [eCite] [Details]

Citations: Scopus - 5Web of Science - 1

Co-authors: Wells G; Thompson S

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2010Dungey M, Milunovich G, Thorp S, 'Unobservable shocks as carriers of contagion', Journal of Banking and Finance, 34, (5) pp. 1008-1021. ISSN 0378-4266 (2010) [Refereed Article]

DOI: 10.1016/j.jbankfin.2009.11.006 [eCite] [Details]

Citations: Scopus - 21Web of Science - 15

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2009Dungey M, Fakhrutdinova L, Goodhart C, 'After-hours trading in electronic futures markets', Journal of Futures Markets, 29, (2) pp. 114-136. ISSN 0270-7314 (2009) [Refereed Article]

DOI: 10.1002/fut.20354 [eCite] [Details]

Citations: Scopus - 4Web of Science - 5

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2009Dungey M, Fry R, 'The identification of fiscal and monetary policy in a structural VAR', Economic Modelling, 26, (6) pp. 1147-1160. ISSN 0264-9993 (2009) [Refereed Article]

DOI: 10.1016/j.econmod.2009.05.001 [eCite] [Details]

Citations: Scopus - 22Web of Science - 18

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2009Dungey MH, 'The Tsunami: Measures of Contagion in the 2007-08 Credit Crunch', CESifo Forum, 9, (4) pp. 33-43. ISSN 1615-245X (2009) [Non Refereed Article]

[eCite] [Details]

2009Dungey MH, Fry R, 'More Confusion in Contagion Tests: the Effects of a Crisis Sourced in US Credit Markets', Journal of Economic Asymmetries, 6, (3) pp. 41-70. ISSN 1703-4949 (2009) [Refereed Article]

[eCite] [Details]

2009Dungey MH, McKenzie M, Smith V, 'Empirical evidence on jumps in the term structure of the US treasury market', Journal of Empirical Finance, 16, (3) pp. 430-445. ISSN 0927-5398 (2009) [Refereed Article]

DOI: 10.1016/j.jempfin.2008.12.002 [eCite] [Details]

Citations: Scopus - 20Web of Science - 20

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2009Dungey MH, McKenzie M, Tambakis D, 'Flight to quality and asymmetric volatility response in US treasuries', Global Finance Journal, 19, (3) pp. 252-267. ISSN 1044-0283 (2009) [Refereed Article]

DOI: 10.1016/j.gfj.2008.09.008 [eCite] [Details]

Citations: Scopus - 5

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2009Dungey MH, Pagan A, 'Extending a SVAR Model of the Australian Economy', The Economic Record, 85, (268) pp. 1-20. ISSN 0013-0249 (2009) [Refereed Article]

DOI: 10.1111/j.1475-4932.2008.00525.x [eCite] [Details]

Citations: Scopus - 18Web of Science - 17

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2008Claus E, Dungey MH, Fry R, 'Monetary Policy in Illiquid Markets: Options for a Small Open Economy', Open Economies Review, 19, (3) pp. 305-336. ISSN 0923-7992 (2008) [Refereed Article]

DOI: 10.1007/s11079-007-9059-z [eCite] [Details]

Citations: Scopus - 2Web of Science - 2

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2008Dungey MH, Goodhart C, Tambakis D, 'The US Treasury Market in August 1998: Untangling the Effects of Hong Kong and Russia with High Frequency Data', International Journal of Finance and Economics, 13, (1) pp. 40-52. ISSN 1076-9307 (2008) [Refereed Article]

DOI: 10.1002/ijfe.356 [eCite] [Details]

Citations: Scopus - 2Web of Science - 1

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2008Dungey M, Frino A, McKenzie MD, 'Public information, price volatility, and trading volume in U.S. bond markets', Review of Futures Markets, 17, (1) pp. 17-44. ISSN 1933-7116 (2008) [Refereed Article]

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2007Dungey MH, Fry R, Gonzalez-Hermosillo B, Vance M, 'Shocks and Systemic Influences: Contagion in Global Equity Markets in 1998', The North American Journal of Economics & Finance, 18, (2) pp. 155-174. ISSN 1062-9408 (2007) [Refereed Article]

DOI: 10.1016/j.najef.2007.05.003 [eCite] [Details]

Citations: Scopus - 20

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2007Dungey MH, Martin V, 'Unravelling Financial Market Linkages During Crises', Journal of Applied Econometrics, 22, (1) pp. 89-119. ISSN 0883-7252 (2007) [Refereed Article]

DOI: 10.1002/jae.936 [eCite] [Details]

Citations: Scopus - 72Web of Science - 52

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2006Bond S, Dungey MH, Fry R, 'A Web of Shocks: Crises Across Asian Real Estate Markets', Journal of Real Estate Finance and Economics, 32, (3) pp. 253-274. ISSN 0895-5638 (2006) [Refereed Article]

DOI: 10.1007/s11146-006-6800-0 [eCite] [Details]

Citations: Scopus - 30Web of Science - 18

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2006Dungey MH, Fry R, Gonzalez-Hermosillo B, Martin V, 'Contagion in International Bond Markets During the Russian and LTCM crises', Journal of Financial Stability, 2, (1) pp. 1-27. ISSN 1572-3089 (2006) [Refereed Article]

DOI: 10.1016/j.jfs.2005.01.001 [eCite] [Details]

Citations: Scopus - 35

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2006Dungey MH, Fry R, Martin V, 'Correlation, Contagion and Asian Evidence', Asian Economic Papers, 5, (2) pp. 32-72. ISSN 1535-3516 (2006) [Refereed Article]

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2006Dungey MH, Hunter B, 'Creating a sense of 'CLOSURE': Providing confidence intervals on some recent estimates of indigenous populations', Canadian Studies in Population, 33, (1) pp. 1-23. ISSN 0380-1489 (2006) [Refereed Article]

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2005Dungey MH, Fry R, Gonzalez-Hermosillo B, Martin V, 'Empirical Modelling of Contagion: A Review of Methodologies', Quantitative Finance, 5, (1) pp. 9-24. ISSN 1469-7688 (2005) [Refereed Article]

DOI: 10.1080/14697680500142045 [eCite] [Details]

Citations: Scopus - 147Web of Science - 96

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2004Dungey MH, 'Identifying Terms of Trade Effects in Real Exchange Rate Movements: Evidence from Asia', Journal of Asian Economics, 15, (2) pp. 217-235. ISSN 1049-0078 (2004) [Refereed Article]

DOI: 10.1016/j.asieco.2004.01.001 [eCite] [Details]

Citations: Scopus - 3

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2004Dungey MH, Fry R, Martin V, 'Currency Market Contagion in the Asia-Pacific Region', Australian Economic Papers, 43, (4) pp. 379-395. ISSN 0004-900X (2004) [Refereed Article]

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2004Dungey MH, Fry R, Martin V, 'Identifying the Sources of Shocks to Australian Real Equity Prices: 1982-2002', Global Finance Journal, 15, (1) pp. 81-102. ISSN 1044-0283 (2004) [Refereed Article]

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2004Dungey MH, Martin V, 'A Multifactor Model of Exchange Rates with Unanticipated Shocks: Measuring Contagion in the East Asian Currency Market', Journal of Emerging Market Finance, 3, (3) pp. 305-330. ISSN 0972-6527 (2004) [Refereed Article]

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2004Dungey MH, Pitchford J, 'Potential Growth and Inflation: Estimates for Australia, the US and Canada', The Australian Economic Review, 37, (1) pp. 89-101. ISSN 0004-9018 (2004) [Refereed Article]

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2003Aruman S, Dungey MH, 'A Perspective on Modelling the Australian Real Trade Weighted Index since the Float', Australian Economic Papers, 42, (1) pp. 56-76. ISSN 0004-900X (2003) [Refereed Article]

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2003Dungey MH, Fry R, 'International Shocks on Australia - the Japanese Effect', Australian Economic Papers, 42, (2) pp. 499-515. ISSN 0004-900X (2003) [Refereed Article]

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2003Dungey MH, Fry R, Martin V, 'Equity Transmission Mechanisms from Asia to Australia: Interdependence or Contagion?', Australian Journal of Management, 28, (2) pp. 157-182. ISSN 0312-8962 (2003) [Refereed Article]

DOI: 10.1177/031289620302800203 [eCite] [Details]

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2002Dungey MH, 'International Shocks and the Role of Domestic Policy in Australia', Australian Journal of Labour Economics, 5, (2) pp. 143-163. ISSN 1328-1143 (2002) [Refereed Article]

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2000Dungey MH, Hayward B, 'Dating Changes in Monetary Policy in Australia', The Australian Economic Review, 33, (3) pp. 281-85. ISSN 0004-9018 (2000) [Refereed Article]

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2000Dungey MH, Martin V, Pagan A, 'A Multivariate Latent Factor Decomposition of International Bond Yield Spreads', Journal of Applied Econometrics, 15, (6) pp. 697-715. ISSN 0883-7252 (2000) [Refereed Article]

DOI: 10.1002/jae.584 [eCite] [Details]

Citations: Web of Science - 27

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2000Dungey MH, Pagan A, 'A Structural VAR model of the Australian economy', The Economic Record, 76, (235) pp. 321-342. ISSN 0013-0249 (2000) [Refereed Article]

DOI: 10.1111/j.1475-4932.2000.tb00030.x [eCite] [Details]

Citations: Web of Science - 60

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2000Dungey MH, Pitchford J, 'The Steady Inflation Rate of Economic Growth', The Economic Record, 76, (235) pp. 386-400. ISSN 0013-0249 (2000) [Refereed Article]

DOI: 10.1111/j.1475-4932.2000.tb00035.x [eCite] [Details]

Citations: Web of Science - 3

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1999Dungey MH, 'Decomposing Exchange Rate Volatility around the Pacific Rim', Journal of Asian Economics, 10, (4) pp. 525-535. ISSN 1049-0078 (1999) [Refereed Article]

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1999Dungey MH, 'Why Tax Foreign Exchange? Comments on a Proposed Tobin Tax', Australian Economic Papers, 17, (3) pp. 41-46. ISSN 0004-900X (1999) [Refereed Article]

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Book

(2 outputs)
YearCitationAltmetrics
2011Dungey M, Fry RA, Gonzalez-Hermosillo B, Martin VL, 'Transmission of Financial Crises and Contagion: A Latent Factor Approach', Oxford University Press, New York, pp. 219. ISBN 978-0-19-973983-7 (2011) [Authored Research Book]

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2005Dungey MH, Tambakis DN, 'Identifying International Financial Contagion Progress and Challenges', Oxford University Press, New York, pp. 240. ISBN 0195187180 (2005) [Edited Book]

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Chapter in Book

(3 outputs)
YearCitationAltmetrics
2015Dungey MH, Vehbi T, 'The influences of international and domestic shocks on East Asia', Rebalancing Economies in Financially Integrating East Asia, Routledge, Corbett J and Xu Y (ed), United Kingdom, pp. 181-216. ISBN 9780415859363 (2015) [Research Book Chapter]

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2005Dungey MH, Fry R, Gonzalez-Hermosillo B, Martin V, 'A Comparison of Alternative Tests of Contagion with Applications', Identifying International Financial Contagion: Progress and Challenges, Oxford University Press, M Dungey and D Tambakis (ed), New York, pp. 60-85. ISBN 978-0-19-518-718-2 (2005) [Research Book Chapter]

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2005Dungey MH, Tambakis D, 'Contagion: What Should we be looking for?', Identifying International Financial Contagion Progress and Challenges, Oxford University Press, M Dungey and D Tambakis (ed), New York, pp. 3-33. ISBN 978-0-19-518-718-2 (2005) [Research Book Chapter]

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Conference Publication

(1 outputs)
YearCitationAltmetrics
2007Dungey MH, 'The US Perspective', In Search of a New Bretton Woods: Reserve Currencies and Global Imbalances Fourth Florence Colloquium, October 20, 2006, Florence, Italy, pp. 15-43. (2007) [Non Refereed Conference Paper]

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Grants & Funding

Mardi has been CI on 10 Australian Research Council Grants since 2000, as well as funding from other competitive sources.

Current grant-funded projects include:

Measuring contagion with high frequency data:  Financial crises are often characterized as 'fast and furious'. This project develops modeling frameworks to take advantage of new collections of transaction based data to detect and measure these rapid transmissions of stress events between markets.

Detecting Systemic Risk: When stress affects the financial sector as a whole this poses a threat to the rest of the economy. This project uses network finance to establish measures of systemic risk for the financial sector and individual firms on a global scale.

Convict Finances: Convicts had bank accounts, and detailed records of those bank accounts exist.  Using this new data we examine the effect of convict wealth on their post-emancipation behaviour and look at the issues this created for the convict-era colonial banking system.

Funding Summary

Number of grants

12

Total funding

$2,247,034

Projects

Detecting changes in econometric causality: Measuring systemic risk (2015 - 2017)$404,700
Description
Empirical measures of interconnectedness between financial institutions based on tests of Granger causality are currently used in detecting systemic risk. However, researchers need to define periods of calm and stress exogenously in order to implement these tests appropriately. This project develops a new procedure to identify changes in causal relationships and the timing of these changes. The new approach has the potential to be a significant improvement in the real-time identification of emerging turmoil in financial markets and provide an improved method for the detection of systemic risk. The new test procedure will be implemented using data for financial and non-financial institutions across Europe, the US and Australia.
Funding
Australian Research Council ($404,700)
Scheme
Grant-Discovery Projects
Administered By
Queensland University of Technology
Research Team
Hurn S; Dungey MH; Shi S
Period
2015 - 2017
Grant Reference
DP150101716
Identifying Contagion (2015)$15,009
Description
A modelling framework and empirical examples of the transmission of financial shocks accounting for conditional heteroskedasticity.
Funding
IdR_Quant Valley/Fdr ($15,009)
Scheme
Grant
Administered By
University of Tasmania
Research Team
Dungey MH
Year
2015
The Economic Impact of the Antarctic and Southern Ocean Sector on the Tasmanian Economy (2015)$7,000
Description
The project is a scoping study with the aim of establishing a justifiable methodology to properly evaluate the contribution of this sector to the economy of Tasmania.
Funding
University of Tasmania ($7,000)
Scheme
Grant-Cross-Disciplinary Incentive
Administered By
University of Tasmania
Research Team
Tinch DR; Dungey MH; Haward MG; Press AJ
Year
2015
Market behaviour around bankruptcy announcements during the Global Financial Crisis: Australia and the US evidence (2014)$4,300
Funding
Accounting & Finance Association of Australia and New Zealand Ltd ($4,300)
Scheme
Grant
Administered By
University of Wollongong
Research Team
Kim MH; Pham TP; Dungey MH; Michayluk D; Frino A
Year
2014
Capital Offending: Income, Work and Crime in Australia's Convict Era (2014 - 2017)$411,777
Funding
Australian Research Council ($342,777)
Scheme
Grant-Linkage Projects Round 1
Administered By
University of Tasmania
Research Team
Maxwell-Stewart HJ; Dungey MH; Inwood K; Frost Lucy; Latham Ross; Kippen Rebecca
Period
2014 - 2017
Grant Reference
LP140100783
Detecting Financial Contagion using High Frequency Data (2013 - 2015)$471,000
Description
When a financial crisis erupts in one market, it can spread extraordinarily rapidly to other markets. For example, the downgrade of the debt rating in a European country impacts the share markets of Asia and Australia with almost frightening speed - and not always in the direction anticipated. The unanticipated component is labelled contagion. To better understand the rapid evolution of crises and contagion this project will harness high frequency data from transactions prices across financial markets. Recent financial econometrics techniques for high frequency data form the basis for developing new models of crisis and contagion detection. Early detection will assist in providing time for authorities and portfolio managers to respond effectively.
Funding
Australian Research Council ($471,000)
Scheme
Grant-Discovery Projects
Administered By
University of Tasmania
Research Team
Dungey MH
Period
2013 - 2015
Grant Reference
DP130100168
Detecting Systemically Important Risk (2013 - 2015)$225,000
Funding
Centre for International Finance and Regulation ($225,000)
Scheme
Grant
Administered By
University of Tasmania
Research Team
Dungey MH
Period
2013 - 2015
Equity portfolio diversification: how many stocks are too many? Evidence from developed markets (2012)$9,500
Funding
Accounting & Finance Association of Australia and New Zealand Ltd ($9,500)
Scheme
Grant
Administered By
University of Tasmania
Research Team
Alexeev V; Dungey MH
Year
2012
Household Mortgage Choice: Theoretical and Empirical Evidence (2012 - 2014)$130,000
Description
Buying a house is often the largest financial decision a household makes, and usually involves choosing a mortgage product from many alternatives. The determinants of this choice are not well understood but, as seen in the global financial crisis, inefficiencies in mortgage markets can have significant long term effects. Even in normal times, mortgage choices have important implications through their effect on the transmission of monetary policy and financial outcomes for households. A stochastic simulation framework characterising household choices will be developed and used as the basis for empirical hypotheses. These market efficiency hypotheses will be tested on a unique Australian database on over 2 million mortgage applications.
Funding
Australian Research Council ($130,000)
Scheme
Grant-Discovery Projects
Administered By
University of Tasmania
Research Team
Dungey MH; Wells GM
Period
2012 - 2014
Grant Reference
DP120100842
Mortgage choice by Australian households (2010)$12,500
Funding
University of Tasmania ($12,500)
Scheme
Grant-Near Misses
Administered By
University of Tasmania
Research Team
Dungey MH
Year
2010
Understanding the Behaviour and Impact of Bond Markets (2009 - 2011)$230,000
Description
The project will develop and implement a modelling strategy for the timing of transactions in the US Treasury market. Models for the time between transactions, have been developed for other markets, but not yet for bonds. The US Treasury market uses an expandable limit order book, which provides two distinct times for each transaction, known as duration and workup. As a result there is a need to extend existing models for multivariate time dimensions. Simultaneous timing models will also be applied to the term structure and to the corresponding Treasury futures market.
Funding
Australian Research Council ($230,000)
Scheme
Grant-Discovery Projects
Administered By
University of Tasmania
Research Team
Dungey MH; Henry OT; McKenzie MD
Period
2009 - 2011
Grant Reference
DP0984994
Research In Finance; Liquidity, Crises and Contagion (2008 - 2011)$326,248
Funding
University of Cambridge ($326,248)
Scheme
Grant
Administered By
University of Tasmania
Research Team
Dungey MH
Period
2008 - 2011

Research Supervision

The Economics and Finance group are keen to invite interest from new students. Students with interest in applied time series economics, particularly related to financial markets or macroeconomics are warmly welcomed to discuss their ideas with the group.

Current

8

Completed

3

Current

DegreeTitleCommenced
PhDCorporate Governance Mechanisms and Post-IPO Performance Structures of Young Entrepreneurial Firms2012
PhDOvercoming Spatial Econometric Estimation Problems within the Sense-T Network2013
PhDGlobal and Regional Systemic Risk Index: A Tool of Detecting Systemic Exposure of Firms2013
PhDFinancial Contagion, Volatility Spillover and Regime Switch in the International Money Market Mutual Funds2015
PhDThe Impact of Commodity Price Shocks in Bangladesh Economic Growth and Development2015
PhDMeasuring Natural Capital at Australian Agricultural Farm2016
PhDThe Impact of Infrastructure on FDI Inflows in Asian Economies2016
PhDIdentifying Causal Relationships Between Sectors in Different Financial Networks2016

Completed

DegreeTitleCompleted
PhDEssays on Financial Contagion and Financial Crises
Candidate: Dinesh Prasad Gajurel
2015
PhDIdiosyncratic Risk Assessment in the Mortgage Market
Candidate: Maria Belen Yanotti
2015
PhDDuration Modelling of the After-Hours Electronic Futures Market
Candidate: Tuo Li
2012