Renee A. Fry-McKibbin : Citation Profile


Are you Renee A. Fry-McKibbin?

Australian National University

20

H index

26

i10 index

1841

Citations

RESEARCH PRODUCTION:

32

Articles

45

Papers

1

Books

3

Chapters

EDITOR:

1

Books edited

RESEARCH ACTIVITY:

   22 years (2000 - 2022). See details.
   Cites by year: 83
   Journals where Renee A. Fry-McKibbin has often published
   Relations with other researchers
   Recent citing documents: 177.    Total self citations: 48 (2.54 %)

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   Permalink: http://citec.repec.org/pfr116
   Updated: 2023-01-28    RAS profile: 2023-01-04    
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Relations with other researchers


Works with:

Hsiao, Cody Yu-Ling (10)

Greenwood-Nimmo, Matthew (2)

Authors registered in RePEc who have co-authored more than one work in the last five years with Renee A. Fry-McKibbin.

Is cited by:

Dungey, Mardi (36)

Vespignani, Joaquin (32)

Flavin, Thomas (31)

Hsiao, Cody Yu-Ling (30)

Eickmeier, Sandra (26)

Panopoulou, Ekaterini (24)

Kilian, Lutz (24)

Mahadeo, Scott (23)

Legrenzi, Gabriella (18)

GUPTA, RANGAN (17)

Peersman, Gert (17)

Cites to:

Dungey, Mardi (71)

Kaminsky, Graciela (66)

Martin, Vance (62)

Reinhart, Carmen (51)

Bekaert, Geert (37)

Rose, Andrew (36)

Diebold, Francis (32)

Pesaran, M (32)

Schmukler, Sergio (31)

Harvey, Campbell (29)

pagan, adrian (29)

Main data


Where Renee A. Fry-McKibbin has published?


Journals with more than one article published# docs
Applied Economics3
Quantitative Finance2
The Economic Record2
The North American Journal of Economics and Finance2
Australian Economic Papers2
Open Economies Review2
Journal of Banking & Finance2

Working Papers Series with more than one paper published# docs
IMF Working Papers / International Monetary Fund5
NCER Working Paper Series / National Centre for Econometric Research2

Recent works citing Renee A. Fry-McKibbin (2022 and 2021)


YearTitle of citing document
2021Uncertainty and Monetary Policy during the Great Recession. (2021). Caggiano, Giovanni ; Castelnuovo, Efrem ; Pellegrino, Giovanni. In: Economics Working Papers. RePEc:aah:aarhec:2021-05.

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2021Why Does Risk Matter More in Recessions than in Expansions?. (2021). Caggiano, Giovanni ; Pellegrino, Giovanni ; Castelnuovo, Efrem ; Andreasen, Martin M. In: Economics Working Papers. RePEc:aah:aarhec:2021-12.

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2022The Decline of the Labor Share: New Empirical Evidence. (2022). Maffei-Faccioli, Nicolo ; Furlanetto, Francesco ; Bergholt, Drago . In: American Economic Journal: Macroeconomics. RePEc:aea:aejmac:v:14:y:2022:i:3:p:163-98.

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2021Asymmetric Effects of Fiscal Deficit on Monetary Policy Transmission in Tanzania. (2021). , Michael ; Mwankemwa, Lusajo P. In: African Journal of Economic Review. RePEc:ags:afjecr:315812.

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2022Effects of Monetary Policy on Bank’s Credit Dynamics in Tanzania. (2022). Mlamka, Bonaventura ; Mwankemwa, Lusajo P. In: African Journal of Economic Review. RePEc:ags:afjecr:320579.

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2021Output, Employment, and Price Effects of U.S. Narrative Tax Changes: A Factor-Augmented Vector Autoregression Approach. (2021). Alam, Masud. In: Papers. RePEc:arx:papers:2106.10844.

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2021Heterogeneous Responses to the U.S. Narrative Tax Changes: Evidence from the U.S. States. (2021). Alam, Masud. In: Papers. RePEc:arx:papers:2107.13678.

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2022Industry Characteristics and Financial Risk Spillovers. (2022). Chiua, Wan-Chien ; Wang, Chih-Wei ; Pena, Juan Ignacio. In: Papers. RePEc:arx:papers:2202.02263.

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2021A BVAR toolkit to assess macrofinancial risks in Brazil and Mexico. (2021). Molina, Luis ; Campos, Rodolfo ; Berganza, Juan Carlos ; Andres-Escayola, Erik. In: Occasional Papers. RePEc:bde:opaper:2114.

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2021Structural Estimation of Time-Varying Spillovers: An Application to International Credit Risk Transmission. (2021). Arthur, Stalla-Bourdillon ; Lukas, Boeckelmann. In: Working papers. RePEc:bfr:banfra:798.

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2022What drives inflation? Disentangling demand and supply factors. (2022). Hofmann, Boris ; Eickmeier, Sandra. In: BIS Working Papers. RePEc:bis:biswps:1047.

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2021Implied volatility smirk in the Australian dollar market. (2021). Ruan, Xinfeng ; Zhang, Jin E ; Gehricke, Sebastian A. In: Accounting and Finance. RePEc:bla:acctfi:v:61:y:2021:i:3:p:4573-4599.

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2022Data?driven identification in SVARs—When and how can statistical characteristics be used to unravel causal relationships?. (2022). Maxand, Simone ; Lange, Alexander ; Herwartz, Helmut. In: Economic Inquiry. RePEc:bla:ecinqu:v:60:y:2022:i:2:p:668-693.

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2021The Industrial Impact of Economic Uncertainty Shocks in Australia. (2021). Vespignani, Joaquin ; Burrell, Hamish. In: Economic Papers. RePEc:bla:econpa:v:40:y:2021:i:3:p:248-271.

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2021On the International Spillover Effects of Country?Specific Financial Sector Bailouts and Sovereign Risk Shocks*. (2021). Wu, Eliza ; Nguyen, Viet Hoang ; GREENWOODNIMMO, MATTHEW . In: The Economic Record. RePEc:bla:ecorec:v:97:y:2021:i:317:p:285-309.

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2022Potential Output in a Commodity?Exporting Economy. (2022). Yamout, Nadine. In: The Economic Record. RePEc:bla:ecorec:v:98:y:2022:i:320:p:42-62.

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2022Government Spending Multipliers in Times of Tight and Loose Monetary Policy in New Zealand. (2022). Power, India ; Haug, Alfred A. In: The Economic Record. RePEc:bla:ecorec:v:98:y:2022:i:322:p:249-270.

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2021The risk?taking channel of currency appreciation: A structural VAR investigation of Asian emerging market economies. (2021). Kim, David ; Huh, Hyeonseung . In: International Finance. RePEc:bla:intfin:v:24:y:2021:i:3:p:313-331.

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2021Unconventional Monetary Policy and Wealth Inequalities in Great Britain. (2021). Fasianos, Apostolos ; Evgenidis, Anastasios. In: Oxford Bulletin of Economics and Statistics. RePEc:bla:obuest:v:83:y:2021:i:1:p:115-175.

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2021Disentangling the Effects of Uncertainty, Monetary Policy and Leverage Shocks on the Economy. (2021). Serletis, Apostolos ; Dery, Cosmas. In: Oxford Bulletin of Economics and Statistics. RePEc:bla:obuest:v:83:y:2021:i:5:p:1029-1065.

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2022Three Basic Issues that Arise when Using Informational Restrictions in SVARs. (2022). pagan, adrian ; Ouliaris, Sam. In: Oxford Bulletin of Economics and Statistics. RePEc:bla:obuest:v:84:y:2022:i:1:p:1-20.

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2022White elephants on quicksand: Low oil prices and high geopolitical risk. (2022). Elgamal, Mahmoud ; Abdellatif, Hany. In: Scottish Journal of Political Economy. RePEc:bla:scotjp:v:69:y:2022:i:1:p:60-107.

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2021Global spillovers of the Fed information effect. (2021). Szczepaniak, Andrzej ; Pinchetti, Marco. In: Bank of England working papers. RePEc:boe:boeewp:0952.

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2022Turning in the widening gyre: monetary and fiscal policy in interwar Britain. (2022). Ronicle, David. In: Bank of England working papers. RePEc:boe:boeewp:0968.

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2021Why does risk matter more in recessions than in expansions?. (2021). Caggiano, Giovanni ; Pellegrino, Giovanni ; Castelnuovo, Efrem ; Andreasen, Martin M. In: Research Discussion Papers. RePEc:bof:bofrdp:2021_013.

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2021Unconventional Monetary Policy in the Euro Area: A Tale of Three Shocks. (2021). Marsi, Antonio ; Fanelli, Luca. In: Working Papers. RePEc:bol:bodewp:wp1164.

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2022Identification of Labour Market Shocks. (2021). Diwambuena, Josué ; Ravazzolo, Francesco. In: BEMPS - Bozen Economics & Management Paper Series. RePEc:bzn:wpaper:bemps86.

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2021The Real Effects of Uncertainty Shocks: New Evidence from Linear and Nonlinear SVAR Models. (2021). Tsasa, Jean-Paul K ; Diwambuena, Josue. In: BEMPS - Bozen Economics & Management Paper Series. RePEc:bzn:wpaper:bemps87.

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2022A Structural Analysis of Unemployment-Generating Supply Shocks with an Application to the US Pharmaceutical Industry. (2022). Ravazzolo, Francesco ; Boni, Sara. In: BEMPS - Bozen Economics & Management Paper Series. RePEc:bzn:wpaper:bemps94.

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2021The Rise of a New Anchor Currency in RCEP? A Tale of Three Currencies. (2021). Zhou, Peng ; Guo, Dong. In: Cardiff Economics Working Papers. RePEc:cdf:wpaper:2021/23.

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2021Uncertainty and Monetary Policy during the Great Recession. (2021). Caggiano, Giovanni ; Castelnuovo, Efrem ; Pellegrino, Giovanni. In: CESifo Working Paper Series. RePEc:ces:ceswps:_8985.

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2021Why Does Risk Matter More in Recessions than in Expansions?. (2021). Caggiano, Giovanni ; Pellegrino, Giovanni ; Castelnuovo, Efrem ; Andreasen, Martin M. In: CESifo Working Paper Series. RePEc:ces:ceswps:_9328.

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2022Commodity Price Effects on Currencies. (2022). Wang, Wenhao ; Cheung, Yin-Wong. In: CESifo Working Paper Series. RePEc:ces:ceswps:_9967.

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2022Commodity currencies revisited: The role of global commodity price uncertainty. (2022). Ferrara, Laurent ; Karadimitropoulou, Aikaterina ; Triantafyllou, Athanasios ; Bermpei, Theodora. In: EconomiX Working Papers. RePEc:drm:wpaper:2022-24.

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2021The corporate saving glut and the current account in Germany. (2021). Mayer, Eric ; Klug, Thorsten ; Schuler, Tobias. In: Working Paper Series. RePEc:ecb:ecbwps:20212586.

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2022The current account and monetary policy in the euro area. (2022). Schuler, Tobias ; Sun, Yiqiao. In: Working Paper Series. RePEc:ecb:ecbwps:20222696.

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2022The Indirect Effects of Oil Price on Consumption through Assets. (2022). Dowlatabadi, Ehsan Mohaghegh ; Javad, Seyed Mohammad ; Torki, Leila ; Razmi, Seyedeh Fatemeh. In: International Journal of Energy Economics and Policy. RePEc:eco:journ2:2022-01-29.

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2021Testing for rational bubbles in Australian housing market from a long-term perspective. (2021). Prats, Maria A ; Esteve, Vicente. In: Working Papers. RePEc:eec:wpaper:2113.

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2022Is the COVID-19 pandemic more contagious for the Asian stock markets? A comparison with the Asian financial, the US subprime and the Eurozone debt crisis. (2022). Mehta, Chhavi ; Chopra, Monika. In: Journal of Asian Economics. RePEc:eee:asieco:v:79:y:2022:i:c:s1049007822000100.

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2021The horseshoe prior for time-varying parameter VARs and Monetary Policy. (2021). Pruser, Jan. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:129:y:2021:i:c:s0165188921001238.

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2021Long-term inflation expectations and the transmission of monetary policy shocks: Evidence from a SVAR analysis. (2021). Nautz, Dieter ; Diegel, Max. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:130:y:2021:i:c:s0165188921001275.

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2021Under the same (Chole)sky: DNK models, timing restrictions and recursive identification of monetary policy shocks. (2021). Sorge, Marco ; Angelini, Giovanni. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:133:y:2021:i:c:s0165188921002001.

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2022A unified approach for jointly estimating the business and financial cycle, and the role of financial factors. (2022). Wong, Benjamin ; Richter, Julia ; Berger, Tino. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:136:y:2022:i:c:s0165188922000203.

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2022How do fiscal adjustments work? An empirical investigation. (2022). Karamysheva, Madina. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:137:y:2022:i:c:s0165188922000525.

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2021The effects of fiscal policy shocks in Bangladesh: An agnostic identification procedure. (2021). Leon-Gonzalez, Roberto ; Rahaman, Ataur. In: Economic Analysis and Policy. RePEc:eee:ecanpo:v:71:y:2021:i:c:p:626-644.

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2021Labor income share and economic fluctuations: A sign-restricted VAR approach. (2021). Hur, Joonyoung. In: Economic Modelling. RePEc:eee:ecmode:v:102:y:2021:i:c:s0264999321001358.

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2021Monetary policy announcements and bank lending: Do banks’ refinancing markets matter?. (2021). Scharler, Johann ; Breitenlechner, Max. In: Economic Modelling. RePEc:eee:ecmode:v:102:y:2021:i:c:s0264999321001486.

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2021The rise of a new anchor currency in RCEP? A tale of three currencies. (2021). Zhou, Peng ; Guo, Dong. In: Economic Modelling. RePEc:eee:ecmode:v:104:y:2021:i:c:s0264999321002364.

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2022Economic Modelling at thirty-five: A retrospective bibliometric survey. (2022). Lim, Weng Marc ; Burton, Bruce ; Kumar, Satish ; Pattnaik, Debidutta. In: Economic Modelling. RePEc:eee:ecmode:v:107:y:2022:i:c:s0264999321003011.

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2022Oil shocks and the U.S. economy in a data-rich model. (2022). Giedeman, Daniel ; Compton, Ryan. In: Economic Modelling. RePEc:eee:ecmode:v:108:y:2022:i:c:s0264999322000013.

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2021Contagion between real estate and financial markets: A Bayesian quantile-on-quantile approach. (2021). Ravazzolo, Francesco ; GUPTA, RANGAN ; Caporin, Massimiliano. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:55:y:2021:i:c:s1062940820302291.

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2021Extreme risk spillovers between crude palm oil prices and exchange rates. (2021). Lau, Wee-Yeap ; Go, You-How. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:58:y:2021:i:c:s1062940821001315.

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2021A new copula for modeling portfolios with skewed, leptokurtic and high-order dependent risk factors. (2021). Zoia, Maria Grazia ; Vacca, Gianmarco ; Quatto, Piero. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:58:y:2021:i:c:s1062940821001443.

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2022Contagion testing in frontier markets under alternative stressful S&P 500 market scenarios. (2022). Mahadeo, Scott ; Legrenzi, Gabriella ; Heinlein, Reinhold. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:60:y:2022:i:c:s1062940821002229.

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2022The contagion effect of jump risk across Asian stock markets during the Covid-19 pandemic. (2022). Liu, Fang ; Chen, Yajiao ; Zhou, Long ; Zhang, YI. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:61:y:2022:i:c:s1062940822000432.

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2021Empirical asset pricing with multi-period disaster risk: A simulation-based approach. (2021). Grammig, Joachim ; Sonksen, Jantje. In: Journal of Econometrics. RePEc:eee:econom:v:222:y:2021:i:1:p:805-832.

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2021An analysis of investor behaviour and information flows surrounding the negative WTI oil price futures event. (2021). Oxley, Les ; Corbet, Shaen ; Hu, Yang ; Hou, Yang. In: Energy Economics. RePEc:eee:eneeco:v:104:y:2021:i:c:s0140988321004576.

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2021On the China factor in the world oil market: A regime switching approach11We thank Hilde Bjørnland, Tatsuyoshi Okimoto, Ippei Fujiwara, Knut Aastveit, Leif Anders Thorsrud, Francesco Ravazzolo, Renee . (2021). Nguyen, Bao H ; Hou, Chenghan ; Cross, Jamie L. In: Energy Economics. RePEc:eee:eneeco:v:95:y:2021:i:c:s0140988321000244.

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2021Estimating the economy-wide rebound effect using empirically identified structural vector autoregressions. (2021). Stern, David ; Moneta, Alessio ; Bruns, Stephan B. In: Energy Economics. RePEc:eee:eneeco:v:97:y:2021:i:c:s0140988321000633.

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2022Connectedness mechanisms in the “Carbon-Commodity-Finance” system: Investment and management policy implications for emerging economies. (2022). , Christina ; Lai, Kee-Hung ; Tian, Tingting. In: Energy Policy. RePEc:eee:enepol:v:169:y:2022:i:c:s0301421522004153.

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2021Time-varying impact of oil shocks on trade balances: Evidence using the TVP-VAR model. (2021). Nugent, Jeffrey B ; Atik, Abdurrahman Nazif ; Balli, Esra. In: Energy. RePEc:eee:energy:v:217:y:2021:i:c:s0360544220324841.

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2022Evaluation of contagious effects of Chinas wind power industrial policies. (2022). Wei, Xinyang ; Fu, Shenze ; Sheng, NI ; Hsiao, Cody Yu-Ling. In: Energy. RePEc:eee:energy:v:238:y:2022:i:pb:s0360544221020089.

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2021Decomposing the U.S. Great Depression: How important were loan supply shocks?. (2021). Scharler, Johann ; Mathy, Gabriel P ; Breitenlechner, Max. In: Explorations in Economic History. RePEc:eee:exehis:v:79:y:2021:i:c:s0014498320300814.

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2022A history of aggregate demand and supply shocks for the United Kingdom, 1900 to 2016. (2022). Kohler, Karsten ; Calvert Jump, Robert. In: Explorations in Economic History. RePEc:eee:exehis:v:85:y:2022:i:c:s001449832200016x.

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2022Pandemic-driven financial contagion and investor behavior: Evidence from the COVID-19. (2022). Jin, Xiu ; Wang, Haiying ; Yuan, Ying. In: International Review of Financial Analysis. RePEc:eee:finana:v:83:y:2022:i:c:s105752192200268x.

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2022Sectoral connectedness: New evidence from US stock market during COVID-19 pandemics. (2022). da Silva, Cristiano ; Matos, Paulo ; Costa, Antonio. In: Finance Research Letters. RePEc:eee:finlet:v:45:y:2022:i:c:s1544612321002051.

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2021Exchange rate shocks in multicurrency interbank markets. (2021). Stefan, Martin ; Siklos, Pierre L. In: Journal of Financial Stability. RePEc:eee:finsta:v:55:y:2021:i:c:s1572308921000486.

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2021Two decades of contagion effect on stock markets: Which events are more contagious?. (2021). Smaga, Pawe ; Kurowski, Ukasz ; Rogowicz, Karol ; Iwanicz-Drozdowska, Magorzata. In: Journal of Financial Stability. RePEc:eee:finsta:v:55:y:2021:i:c:s157230892100067x.

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2022Financial shocks, credit spreads, and the international credit channel. (2022). Sokol, Andrej ; Cesa-Bianchi, Ambrogio. In: Journal of International Economics. RePEc:eee:inecon:v:135:y:2022:i:c:s0022199621001239.

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2021Causal and frequency analyses of purchasing power parity. (2021). Nagayasu, Jun. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:71:y:2021:i:c:s1042443121000068.

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2021The structure and degree of dependence in government bond markets. (2021). Vulanovic, Milos ; Swinkels, Laurens ; Piljak, Vanja ; Dimic, Nebojsa. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:74:y:2021:i:c:s1042443121001049.

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2021From dotcom to Covid-19: A convergence analysis of Islamic investments. (2021). Kenourgios, Dimitris ; Petropoulou, Athina ; Pappas, Vasileios ; Alexakis, Christos. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:75:y:2021:i:c:s1042443121001372.

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2021The effectiveness of currency intervention: Evidence from Mongolia. (2021). Pontines, Victor ; Luvsannyam, davaajargal ; Munkhtsetseg, Ulziikhutag ; Atarbaatar, Enkhjin. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:75:y:2021:i:c:s1042443121001517.

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2022Portfolio risk and stress across the business cycle. (2022). Chakraborty, Sandip ; Kakani, Ram Kumar ; Sampath, Aravind. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:80:y:2022:i:c:s1042443122000993.

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2022Aggregation bias in tests of the commodity currency hypothesis. (2022). Sercu, Piet ; Kaltwasser, Pablo Rovira ; Bork, Lasse. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:135:y:2022:i:c:s0378426621003435.

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2021Common shocks in stocks and bonds. (2021). Pang, Hao ; Cieslak, Anna. In: Journal of Financial Economics. RePEc:eee:jfinec:v:142:y:2021:i:2:p:880-904.

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2022A leverage-based measure of financial stability. (2022). Tepper, Alexander ; Borowiecki, Karol Jan ; Adrian, Tobias. In: Journal of Financial Intermediation. RePEc:eee:jfinin:v:51:y:2022:i:c:s1042957321000085.

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2021Land leverage and the housing market: Evidence from Germany1. (2021). Kajuth, Florian. In: Journal of Housing Economics. RePEc:eee:jhouse:v:51:y:2021:i:c:s1051137720300826.

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2021The joint effects of economic policy uncertainty and firm characteristics on capital structure: Evidence from US firms. (2021). Li, Xiao-Ming ; Qiu, Mei. In: Journal of International Money and Finance. RePEc:eee:jimfin:v:110:y:2021:i:c:s0261560620302357.

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2021Interconnectedness in the global financial market. (2021). Raddant, Matthias ; Kenett, Dror Y. In: Journal of International Money and Finance. RePEc:eee:jimfin:v:110:y:2021:i:c:s0261560620302369.

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2021What drives the commodity-sovereign risk dependence in emerging market economies?. (2021). Giessler, Stefan ; Eichler, Stefan ; Boehm, Hannes. In: Journal of International Money and Finance. RePEc:eee:jimfin:v:111:y:2021:i:c:s0261560620302643.

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2021Cross-border bank funding and lending in a monetary union: Evidence from Slovenia. (2021). Lozej, Matija ; Herman, Uros. In: Journal of International Money and Finance. RePEc:eee:jimfin:v:115:y:2021:i:c:s0261560621000255.

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2021Shock-dependent exchange rate pass-through: Evidence based on a narrative sign approach for Japan. (2021). Wynne, Mark ; Zhang, Ren. In: Journal of International Money and Finance. RePEc:eee:jimfin:v:118:y:2021:i:c:s0261560621001133.

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2022How similar are country- and sector-responses to common shocks within the euro area?. (2022). Sturm, Jan-Egbert ; Streicher, Sina ; Rathke, Alexander. In: Journal of International Money and Finance. RePEc:eee:jimfin:v:120:y:2022:i:c:s0261560620302692.

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2022EME financial conditions: Which global shocks matter?. (2022). Manu, Ana-Simona ; Lodge, David. In: Journal of International Money and Finance. RePEc:eee:jimfin:v:120:y:2022:i:c:s0261560621001303.

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2022The corporate saving glut and the current account in Germany. (2022). Mayer, Eric ; Schuler, Tobias ; Klug, Thorsten. In: Journal of International Money and Finance. RePEc:eee:jimfin:v:121:y:2022:i:c:s0261560621001662.

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2022Financial market linkages and the sovereign debt crisis. (2022). Amado, Cristina ; Campos-Martins, Susana. In: Journal of International Money and Finance. RePEc:eee:jimfin:v:123:y:2022:i:c:s0261560621002473.

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2022Oil prices, exchange rates and interest rates. (2022). Kilian, Lutz ; Zhou, Xiaoqing. In: Journal of International Money and Finance. RePEc:eee:jimfin:v:126:y:2022:i:c:s0261560622000821.

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2022Conditional specification of statistical models: Classical models, new developments and challenges. (2022). Sarabia, Jose Maria ; Arnold, Barry C. In: Journal of Multivariate Analysis. RePEc:eee:jmvana:v:188:y:2022:i:c:s0047259x21000798.

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2022Have returns and volatilities for financial assets responded to implied volatility during the COVID-19 pandemic?. (2022). Maghyereh, Aktham ; Awartani, Basel ; Abdoh, Hussein. In: Journal of Commodity Markets. RePEc:eee:jocoma:v:26:y:2022:i:c:s2405851321000283.

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2021Spatial financial contagion during the COVID-19 outbreak: Local correlation approach. (2021). Garfatta, Riadh ; Zorgati, Imen. In: The Journal of Economic Asymmetries. RePEc:eee:joecas:v:24:y:2021:i:c:s1703494921000281.

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2021Zero Lower Bound and negative interest rates: Choices for monetary policy in the UK. (2021). Nasir, Muhammad Ali. In: Journal of Policy Modeling. RePEc:eee:jpolmo:v:43:y:2021:i:1:p:200-229.

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2021Effectiveness of policy interventions during financial crises in China and Russia: Lessons for the COVID-19 pandemic. (2021). Singh, Vik ; Roca, Eduardo ; Li, Bin. In: Journal of Policy Modeling. RePEc:eee:jpolmo:v:43:y:2021:i:2:p:253-277.

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2021Financial contagion between the financial and the mining industries – Empirical evidence based on the symmetric and asymmetric CoVaR approach. (2021). Jonek-Kowalska, Izabela ; Jurkowska, Aleksandra ; Fijorek, Kamil. In: Resources Policy. RePEc:eee:jrpoli:v:70:y:2021:i:c:s0301420720309934.

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2021Time-varying effect of international iron ore price on China’s inflation: A complete price chain with TVP-SVAR-SV model. (2021). Yang, Shuo ; Chen, Yufeng. In: Resources Policy. RePEc:eee:jrpoli:v:73:y:2021:i:c:s0301420721002142.

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2021Dynamic spillovers and network structure among commodity, currency, and stock markets. (2021). Ugolini, Andrea ; Reboredo, Juan ; Hernandez, Jose Arreola ; Arreolahernandez, Jose. In: Resources Policy. RePEc:eee:jrpoli:v:74:y:2021:i:c:s0301420721002774.

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2021Volatility spillovers during market supply shocks: The case of negative oil prices. (2021). Oxley, Les ; Corbet, Shaen ; Hu, Yang ; Hou, Yang. In: Resources Policy. RePEc:eee:jrpoli:v:74:y:2021:i:c:s0301420721003664.

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2021New test of contagion with application on the Brexit referendum. (2021). Kevin, Ka Kwan. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:564:y:2021:i:c:s0378437120307810.

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2022Predicting tail events in a RIA-EVT-Copula framework. (2022). Zhou, Wei-Xing ; Wang, Gang-Jin ; Jiang, Zhi-Qiang ; Zhai, Jin-Rui ; Li, Wei-Zhen. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:600:y:2022:i:c:s0378437122003703.

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2021Crude oil and stock markets in the COVID-19 crisis: Evidence from oil exporters and importers. (2021). Mahadeo, Scott ; Legrenzi, Gabriella D ; Heinlein, Reinhold. In: The Quarterly Review of Economics and Finance. RePEc:eee:quaeco:v:82:y:2021:i:c:p:223-229.

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2021The contagious effect of China’s energy policy on stock markets: The case of the solar photovoltaic industry. (2021). Hsiao, Cody Yu-Ling ; Sheng, NI ; Wei, Xinyang ; Ai, Dan. In: Renewable Energy. RePEc:eee:renene:v:164:y:2021:i:c:p:74-86.

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More than 100 citations found, this list is not complete...

Renee A. Fry-McKibbin has edited the books:


YearTitleTypeCited

Works by Renee A. Fry-McKibbin:


YearTitleTypeCited
2011Sign Restrictions in Structural Vector Autoregressions: A Critical Review In: Journal of Economic Literature.
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article496
2010Sign Restrictions in Structural Vector Autoregressions: A Critical Review.(2010) In: CAMA Working Papers.
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This paper has another version. Agregated cites: 496
paper
2010Sign Restrictions in Structural Vector Autoregressions: A Critical Review.(2010) In: NCER Working Paper Series.
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This paper has another version. Agregated cites: 496
paper
2010A New Class of Tests of Contagion With Applications In: Journal of Business & Economic Statistics.
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article85
2020Comments on Impact of relative price changes and asymmetric adjustments on aggregate inflation: evidence from the Philippines In: BIS Papers chapters.
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chapter0
2003International Shocks on Australia – The Japanese Effect In: Australian Economic Papers.
[Full Text][Citation analysis]
article7
2004CURRENCY MARKET CONTAGION IN THE ASIA?PACIFIC REGION In: Australian Economic Papers.
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article22
2010Overvaluation in Australian Housing and Equity Markets: Wealth Effects or Monetary Policy? In: The Economic Record.
[Full Text][Citation analysis]
article14
2009Overvaluation in Australian housing and equity markets: Wealth effects or monetary policy?.(2009) In: CAMA Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 14
paper
2019News and Notices In: The Economic Record.
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article0
2020Transmission of a Resource Boom: The Case of Australia In: Oxford Bulletin of Economics and Statistics.
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article5
2019Transmission of a resource boom: The case of Australia.(2019) In: CAMA Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 5
paper
2019A regime switching skew-normal model of contagion In: Studies in Nonlinear Dynamics & Econometrics.
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article6
2004Empirical Modelling of Contagion: A Review of Methodologies In: Econometric Society 2004 Australasian Meetings.
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paper337
2004Empirical Modelling of Contagion: A Review of Methodologies.(2004) In: Econometric Society 2004 Far Eastern Meetings.
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This paper has another version. Agregated cites: 337
paper
2004Empirical Modeling of Contagion: A Review of Methodologies.(2004) In: IMF Working Papers.
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This paper has another version. Agregated cites: 337
paper
2005Empirical modelling of contagion: a review of methodologies.(2005) In: Quantitative Finance.
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This paper has another version. Agregated cites: 337
article
2009Multivariate contagion and interdependence In: Journal of Asian Economics.
[Full Text][Citation analysis]
article30
2009The identification of fiscal and monetary policy in a structural VAR In: Economic Modelling.
[Full Text][Citation analysis]
article75
2007THE IDENTIFICATION OF FISCAL AND MONETARY POLICY IN A STRUCTURAL VAR.(2007) In: CAMA Working Papers.
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This paper has another version. Agregated cites: 75
paper
2007Contagion in global equity markets in 1998: The effects of the Russian and LTCM crises In: The North American Journal of Economics and Finance.
[Full Text][Citation analysis]
article29
2018Global and regional financial integration in East Asia and the ASEAN In: The North American Journal of Economics and Finance.
[Full Text][Citation analysis]
article7
2022Higher-order comoment contagion among G20 equity markets during the COVID-19 pandemic In: Finance Research Letters.
[Full Text][Citation analysis]
article2
2021Higher-order comoment contagion among G20 equity markets during the COVID-19 pandemic.(2021) In: CAMA Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 2
paper
2006Contagion in international bond markets during the Russian and the LTCM crises In: Journal of Financial Stability.
[Full Text][Citation analysis]
article75
2004Identification of common and idiosyncratic shocks in real equity prices: Australia, 1982-2002 In: Global Finance Journal.
[Full Text][Citation analysis]
article4
2003Identification of Common and Idiosyncratic Shocks in Real Equity Prices: Australia 1982 to 2002.(2003) In: Departmental Working Papers.
[Citation analysis]
This paper has another version. Agregated cites: 4
paper
2021Measuring financial interdependence in asset markets with an application to eurozone equities In: Journal of Banking & Finance.
[Full Text][Citation analysis]
article7
2014Financial contagion and asset pricing In: Journal of Banking & Finance.
[Full Text][Citation analysis]
article20
2013Financial Contagion and Asset Pricing.(2013) In: CAMA Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 20
paper
2013Currency intervention: A case study of an emerging market In: Journal of International Money and Finance.
[Full Text][Citation analysis]
article5
2012Currency Intervention: A Case Study of an Emerging Market.(2012) In: CAMA Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 5
paper
2009More Confusion in Contagion Tests: the Effects of a Crisis Sourced in US Credit Markets In: The Journal of Economic Asymmetries.
[Full Text][Citation analysis]
article3
2008Commodity currencies and currency commodities In: Resources Policy.
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article45
2006COMMODITY CURRENCIES AND CURRENCY COMMODITIES.(2006) In: CAMA Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 45
paper
2006Commodity Currencies and Currency Commodities.(2006) In: Economics Discussion / Working Papers.
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This paper has another version. Agregated cites: 45
paper
2021Global liquidity and commodity market interactions: Macroeconomic effects on a commodity exporting emerging market In: International Review of Economics & Finance.
[Full Text][Citation analysis]
article1
2004A web of shocks: Crises across Asian real estate market In: CAMA Working Papers.
[Full Text][Citation analysis]
paper40
2006A Web Of Shocks: Crises Across Asian Real Estate Markets.(2006) In: The Journal of Real Estate Finance and Economics.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 40
article
2005SHOCKS AND SYSTEMIC INFLUENCES: CONTAGION IN GLOBAL EQUITY MARKETS IN 1998 In: CAMA Working Papers.
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paper2
2005SOME ISSUES IN USING VARS FOR MACROECONOMETRIC RESEARCH In: CAMA Working Papers.
[Full Text][Citation analysis]
paper45
2006ENDOGENOUS CONTAGION - A PANEL DATA ANALYSIS In: CAMA Working Papers.
[Full Text][Citation analysis]
paper4
2006MONETARY POLICY IN ILLIQUID MARKETS: OPTIONS FOR A SMALL OPEN ECONOMY In: CAMA Working Papers.
[Full Text][Citation analysis]
paper12
2008Monetary Policy in Illiquid Markets: Options for a Small Open Economy.(2008) In: Open Economies Review.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 12
article
2008A NEW CLASS OF TESTS OF CONTAGION WITH APPLICATIONS TO REAL ESTATE MARKETS In: CAMA Working Papers.
[Full Text][Citation analysis]
paper8
2008ARE FINANCIAL CRISES ALIKE? In: CAMA Working Papers.
[Full Text][Citation analysis]
paper55
2010Are Financial Crises Alike?.(2010) In: IMF Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 55
paper
2011Actually This Time Is Different In: CAMA Working Papers.
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paper11
2013A Regime Switching Skew-normal Model for Measuring Financial Crisis and Contagion In: CAMA Working Papers.
[Full Text][Citation analysis]
paper2
2013Chinese Resource Demand and the Natural Resource Supplier In: CAMA Working Papers.
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paper26
2014Chinese resource demand and the natural resource supplier.(2014) In: Applied Economics.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 26
article
2013Chinese resource demand and the natural resource supplier.(2013) In: Working Papers.
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This paper has another version. Agregated cites: 26
paper
2014Foreign Reserve Accumulation and the Mercantilist Motive Hypothesis In: CAMA Working Papers.
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paper0
2014Extremal Dependence and Contagion In: CAMA Working Papers.
[Full Text][Citation analysis]
paper2
2014Does Inflation Targeting Outperform Alternative Policies during Global Downturns? In: CAMA Working Papers.
[Full Text][Citation analysis]
paper1
2015Extremal dependence tests for contagion In: CAMA Working Papers.
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paper31
2018Extremal dependence tests for contagion.(2018) In: Econometric Reviews.
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This paper has another version. Agregated cites: 31
article
2016Effects of US monetary policy shocks during financial crises - A threshold vector autoregression approach In: CAMA Working Papers.
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paper24
2016Effects of the US monetary policy shocks during financial crises – a threshold vector autoregression approach.(2016) In: Applied Economics.
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This paper has another version. Agregated cites: 24
article
2017Joint tests of contagion with applications to financial crises In: CAMA Working Papers.
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paper3
2017Joint tests of contagion with applications to financial crises.(2017) In: CAMA Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 3
paper
2017Recovery from Dutch Disease In: CAMA Working Papers.
[Full Text][Citation analysis]
paper2
2018Measuring financial interdependence in asset returns with an application to euro zone equities In: CAMA Working Papers.
[Full Text][Citation analysis]
paper0
2018Chinese resource demand or commodity price shocks: Macroeconomic effects for an emerging market economy In: CAMA Working Papers.
[Full Text][Citation analysis]
paper0
2020Disentangling commodity demand, commodity supply, and international liquidity shocks on an emerging market In: CAMA Working Papers.
[Full Text][Citation analysis]
paper0
2020Capital market liberalization and equity market interdependence In: CAMA Working Papers.
[Full Text][Citation analysis]
paper0
2021How do oil shocks transmit through the US economy? Evidence from a large BVAR model with stochastic volatility In: CAMA Working Papers.
[Full Text][Citation analysis]
paper0
2002International Contagion Effects from the Russian Crisis and the LTCM Near-Collapse In: IMF Working Papers.
[Full Text][Citation analysis]
paper24
2003Unanticipated Shocks and Systemic Influences: The Impact of Contagion in Global Equity Markets in 1998 In: IMF Working Papers.
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paper12
2003Characterizing Global Investors Risk Appetite for Emerging Market Debt During Financial Crises In: IMF Working Papers.
[Full Text][Citation analysis]
paper9
2014Contagion and Global Financial Crises: Lessons from Nine Crisis Episodes In: Open Economies Review.
[Full Text][Citation analysis]
article29
2011Transmission of Financial Crises and Contagion: A Latent Factor Approach In: OUP Catalogue.
[Citation analysis]
book24
2000A Multi-Country Structural VAR Model In: Departmental Working Papers.
[Full Text][Citation analysis]
paper3
2007Some Issues in Using Sign Restrictions for Identifying Structural VARs In: NCER Working Paper Series.
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paper148
In: .
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paper0
2010Introduction to Inflation in an Era of Relative Price Shocks In: RBA Annual Conference Volume (Discontinued).
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chapter1
2003Equity Transmission Mechanisms from Asia to Australia: Interdependence or Contagion? In: Australian Journal of Management.
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article20
2004International demand and liquidity shocks in a SVAR model of the Australian economy In: Applied Economics.
[Full Text][Citation analysis]
article1
2019Joint tests of contagion with applications In: Quantitative Finance.
[Full Text][Citation analysis]
article8
2006Correlation, Contagion, and Asian Evidence In: Asian Economic Papers.
[Full Text][Citation analysis]
article19
2011Sovereign Wealth Funds in an Evolving Global Financial System In: World Scientific Book Chapters.
[Full Text][Citation analysis]
chapter0

CitEc is a RePEc service, providing citation data for Economics since 2001. Sponsored by INOMICS. Last updated January, 6 2023. Contact: CitEc Team