Government Reports

De Brouwer, G., Fry-McKibbin, R. and Wilkins, C. (2023), An RBA fit for the Future, Commonwealth Treasury

Journal Articles

Fry-McKibbin, R., and McKinnon, K. (2023), The evolution of commodity market financialization: Implications for portfolio diversification, Journal of Commodity Markets, 100360

Fry-McKibbin, R., Greenwood-Nimmo, M., Hsiao, Y-L.C., and Qi, L. (2022), Higher-order comoment contagion among G20 equity markets during the COVID-19 pandemic, Finance Research Letters, 105985

da Souza, R.S. and Fry-McKibbin, R. (2021), Global liquidity and commodity market interactions: Macroeconomic effects on a commodity-exporting emerging market, International Review of Economics and Finance 76, 781-800

Fry-McKibbin, R., Hsiao, Y-L.C., and Martin, V.L. (2021), Measuring financial interdependence in asset markets with an application to euro zone equities, Journal of Banking and Finance 122, 102150

Anderson, H., Fry-McKibbin, R., and Morley, J. (eds), (2020), Special issue dedicated to the memory of Mardi Dungey, Economic Record 96(314), i-iv, 225-380

Fry-McKibbin, R.A. (2020), Review of Branko Milanovic’s ‘Capitalism alone: The future of the system that rules the world’, Foreign Affairs Dungey, M., Fry-McKibbin, R.A., and Volkov, V. (2020), Transmission of a resource boom: The case of Australia, Oxford Bulletin of Economics and Statistics 82(3), 503-525.

Fry-McKibbin, R.A. and Nguyen, T.T. (2019), Does commercial diplomacy overcome impediments to international economic flows? The case of Australia, The Hague Journal of Diplomacy 14, 1-23

Fry-McKibbin, R., Hsiao, C.Y-L., and Martin, V.L. (2019), Joint tests of contagion with applications, Quantitative Finance 19, 473-490

Fry-McKibbin, R., Hsiao, C.Y-L., and Martin, V.L. (2018), Global and regional financial integration in East Asia and the ASEAN, North American Journal of Economics and Finance 46, 202-221

Chan, J.C.C., Fry-McKibbin, R.A. and Hsiao, C.Y-L. (2018), A regime switching skew-normal model of crises and contagion, Studies in Non-Linear Dynamics and Econometrics 23(1), 20170001

Fry-McKibbin, R. and Hsiao, C.Y-L, (2016), Extremal dependence tests for contagion, Econometric Reviews 37, 626-649

Fry-McKibbin, R. and Zheng, J. (2016), Effects of U.S. monetary policy shocks during financial crises – a threshold vector autoregression approach, Applied Economics 48, 5802-5823

Dungey, M. Fry-McKibbin, R.A., and Linehan, V. (2014), Chinese resource demand and the natural resource supplier, Applied Economics 46, 167-178

Fry-McKibbin, R., Martin, V. L., and Tang, C. (2014), Financial contagion and asset pricing, Journal of Banking & Finance 47, 296-308

Fry-McKibbin, R.A., Hsiao, C.Y-L, and Tang, C. (2014), Contagion and global financial crises: lessons from nine crises episodes, Open Economies Review 25, 1-50

Fry-McKibbin, R. A., and Wanaguru, S. (2013). Currency intervention: A case study of an emerging market, Journal of International Money and Finance 37, 25-47

Fry, R., and Pagan, A. (2011). Sign restrictions in structural vector autoregressions: A critical review, Journal of Economic Literature 49(4), 938-960

Fry, R. A., Martin, V. L., and Voukelatos, N. (2010). Overvaluation in Australian housing and equity markets: Wealth effects or monetary Policy? Economic Record 86(275), 465-485.

Fry, R., Martin, V. L., and Tang, C. (2010), A new class of tests of contagion with applications, Journal of Business & Economic Statistics 28(3), 423-437.

Fry, R.A. (2010), Comments on the role of public works in the political business cycle and the instability of the budget deficits in Japan, Asian Economic Papers 9, 113–118

Dungey, M., and Fry, R.A. (2009). The identification of fiscal and monetary policy in a structural VAR, Economic Modelling 26(6), 1147-1160.

Fry, R.A. and Baur, D.G. (2009), Multivariate contagion and interdependence, Journal of Asian Economics 20, 353–366

Dungey, M. and Fry, R.A. (2009), More confusion in contagion tests: The effects of a crisis sourced in U.S. credit markets, Journal of Economic Asymmetries 6, 41–70

Clements, K. and Fry, R.A. (2008), Commodity currencies and currency commodities, Resources Policy 33, 55–73

Fry, R.A., Hocking, J., and Martin, V.L. (2008), The role of portfolio shocks in an SVAR model of the Australian economy, Economic Record 264(84), 17–33

Claus, E. Dungey, M., and Fry, R.A. (2008), monetary policy in illiquid markets: options for a small open economy, Open Economies Review 19, 305–336

Dungey, M. Fry, R.A., González-Hermosillo, B., and Martin, V.L. (2007), Contagion in global equity markets in 1998: The effects of the Russian and LTCM crises, The North American Journal of Economics and Finance 18, 155–174

Fry, R.A. (2007), Comments on global savings–investment imbalances: What role for East Asia? by Anwar Nasution, Asian Economic Papers 6, 14–21

Bond, S.A. Dungey, M., and Fry, R.A. (2006), A web of shocks: Crises across Asian real estate markets, Journal of Real Estate Finance and Economics 32(3), 253–274

Dungey, M., Fry, R.A., González-Hermosillo, B., and Martin, V.L. (2006), Contagion in international bond markets during the Russian and LTCM crises, Journal of Financial Stability 2, 1–27

Dungey, M., Fry, R.A., and Martin, V.L. (2006), Correlation, contagion and Asian evidence, Asian Economic Papers 5(2), 32–72

Dungey, M., Fry, R., González-Hermosillo, B., and Martin, V. L. (2005). Empirical modelling of contagion: A review of methodologies. Quantitative Finance 5(1), 9-24

Fry, R.A. (2004), International demand and liquidity shocks in an SVAR model of the Australian Economy, Applied Economics 36(8), 849–864

Dungey, M., Fry, R.A., and Martin, V.L. (2004), Currency market contagion in the Asia-Pacific region, Australian Economic Papers 43(4), 379–395

Dungey, M., Fry, R.A., and Martin, V.L. (2004), Identification of common and idiosyncratic shocks in real equity prices: Australia 1982 to 2002, Global Finance Journal 15(1), 81–102

Dungey, M. and Fry, R.A. (2003), International shocks on Australia – the Japanese effect, Australian Economic Papers 42, 158–182

Dungey, M., Fry, R.A., and Martin, V.L. (2003), Equity transmission mechanisms from Asia to Australia: Interdependence or contagion? Australian Journal of Management 28(2), 157–182

Books and Chapters in Books

Fry-McKibbin, R.A. and McDermott, J. (2024) The experience of RBA and RBNZ, in Ascari, G. and Trezzi, R. (eds), Handbook of Inflation, forthcoming

Fry-McKibbin, R.A. and Wilkins, C.A. (2024), Central bank responses to the post-COVID period of high inflation: The case of Australia, Chapter 1 in English, B., Forbes, K. and Ubide, A. (eds) Monetary Policy Responses to the Post-Pandemic Inflation, CEPR Press

Clements, K. and Fry, R.A. (2013), Commodity currencies and currency commodities, Chapter 32 in Taylor, M.P. and Manzur, M. (eds) Recent Developments in Exchange Rate Economics, The International Library of Critical Writings in Economics Series

Clements, K. and Fry, R.A. (2013), Commodity currencies and currency commodities, in Clements, K. (ed) Currencies, Commodities and Consumption, Cambridge University Press, pp. 126-188

Dungey, M., Fry, R.A. González-Hermosillo, B. and Martin, V.L. (2011), Transmission of Financial Crises and Contagion: A Latent Factor Approach, Oxford University Press, New York

Dungey, M., Fry, R.A., González-Hermosillo, B., Martin, V.L and Tang. C. (2011), Contagion and the transmission of financial crises, in R. Kolb (ed), Financial Contagion: The Viral Threat to the Wealth of Nations, John Wiley & Sons, Inc, pp. 129-135.

Fry, R.A., McKibbin, W.J. And O’Brien, J. (2011), Sovereign Wealth: The Role of State Capital in the New Financial Order, Imperial College Press.

Fry, R.A. and Sojli, E. (2011), Financial crises propagation, Chapter 16 in J. Batten and P.G. Szilagyi Contemporary Studies in Economic And Financial Analysis The Impact of the Global Financial Crisis on Emerging Financial Markets, Volume 93

Baur, D.G. and Fry, R.A. (2011), A fixed time effects model of contagion, in R. Kolb (ed), Financial Contagion: The Viral Threat to the Wealth of Nations, John Wiley & Sons, Inc

Fry, R.A., Jones, C. and Kent, C. (eds) (2010), Inflation Challenges in an Era of Relative Price Shocks, Proceedings of a Conference held at the H.C. Coombs Centre for Financial Studies, Kirribilli on 17–18 August 2009

Dungey, M., Fry, R.A., González-Hermosillo, B. and Martin, V.L. (2005), A comparison of alternative tests of contagion with applications, Chapter 3 in Dungey M., and

Tambakis, D. (eds), Identifying International Financial Contagion: Progress and Challenges, Oxford University Press, New York Conference Volumes and Working Papers

Fry-McKibbin, R.A., Martin, V.L., and McKinnon, K. (2022), Measuring global interest rate comovements with implications for monetary policy interdependence, in Preston, B. and Simon, J. (eds), The Causes, Challenges and Consequences of the Low-Interest Rate Environment, Proceedings of a Conference held at the H.C. Coombs Centre for Financial Studies, Kirribilli on 28–29 June 2022

Fry-McKibbin, R.A. and Yan, Z. (2020), Capital market liberalisation and equity market interdependence’, CAMA Working Paper 55/2020

Fry-McKibbin, R.A. (2020), Comments on impact of relative prices changes and asymmetric adjustments on aggregate inflation: Evidence from the Philippines, in BIS Papers Inflation Dynamics in Asia and the Pacific 111, 123-127

Dungey, M., Fry-McKibbin, R.A., and Volkov, V. (2019), Transmission of a resource boom: The case of Australia, CAMA Working Paper 63/2019

Fry-McKibbin R and Souza RS (2018), Chinese resource demand or commodity price shocks: Macroeconomic effects for an emerging market economy, CAMA Working Paper 45/2018

Fry-McKibbin, R.A., Hsiao C.Y-.L., and Martin, V.L. (2018), Measuring financial interdependence in asset returns with an application to euro zone equities, CAMA Working Paper 5/2018

Dungey, M., Fry-McKibbin, R.A., Todoroski, V., and Volkov, V. (2017), Recovery from Dutch disease, CAMA Working Paper 69/2017

Fry-McKibbin, R.A., Hsiao C.Y-.L., and Martin, V.L. (2017), Joint tests of contagion with applications to financial crises, CAMA Working Paper 23/2017 and 65/2017

Fry-McKibbin, R. and Zheng, J. (2016), Effects of U.S. monetary policy shocks during financial crises – a threshold vector autoregression approach, CAMA Working Paper 25/2016

Fry-McKibbin, R.A. and Hsiao C.Y-.L (2015), Extremal dependence and contagion, CAMA Working Paper 40/2015, previously published as CAMA Working Paper, 38/2014

Carvalho P. and Fry-McKibbin R.A. (2014), foreign reserve accumulation and the mercantilist motive hypothesis CAMA Working Paper 18/2014.

Fry-McKibbin, R., and Wang, C. (2014), Does inflation targeting outperform alternative policies during global downturns? CAMA Working Paper 64/2014

Fry-McKibbin, R.A., Martin, V.L. and Tang, C (2013), Financial contagion and asset pricing, CAMA Working Paper 6½013

Dungey, M., Fry-McKibbin, R.A., and Linehan, V. (2013), Chinese resource demand and the natural resource supplier, CAMA Working Paper 54/2013

Chan, J.C.C., Fry-McKibbin, R.A., and Hsiao, C.Y-L. (2013), A regime switching skew-normal model of crises and contagion, CAMA Working Paper 15/2013

Fry-McKibbin, R.A. and Wanaguru, S. (2012), Currency intervention: A case study of an emerging market, CAMA Working Paper 32/2012

Fry, R.A., Hsiao, C. Y-L and Tang, C. (2011) Actually this time is different, CAMA Working Paper 12/2011

Dungey, M., Fry, R.A., González-Hermosillo, B., Martin, V.L., and Tang, C. (2010), Are financial crises alike?, IMF Working Paper WP/10/14

Fry, R.A. (2010), Comments on do the short selling banks deter speculative attacks on financial company stocks? by Massoud, Saunders, Song, in P. Savona Proceedings of the VII Colloquium on Financial Collapse: How are the Biggest Nations and Organizations Managing the Crisis? Ravenna, Italy

Fry, R.A. and Pagan, A.R. (2010), Sign restrictions in structural vector autoregressions: A critical review, CAMA Working Paper 22/2010

Fry, R.A., Martin, V.L., and Voukelatos, N. (2009), Overvaluation in Australian housing and equity markets: Wealth effects or monetary policy, CAMA Working Paper 10/2009

Dungey, M., Fry, R.A., González-Hermosillo, B., Martin, V.L., and Tang, C. (2008), Are financial crises alike?, CAMA Working Paper 15/2008

Fry, R.A., Martin, V.L., and Tang, C. (2008), A new class of tests of contagion with applications, CAMA Working Paper ½008

Dungey, M. and Fry, R.A. (2007), The identification of fiscal and monetary policy and a structural VAR, CAMA Working Paper 29/2007

Fry, R.A. and Pagan, A.R. (2007), Some issues in using sign restrictions for identifying structural VARs, NCER Working Paper #14

Clements, K. and Fry, R.A. (2006), Commodity currencies and currency commodities, CAMA Working Paper 19/2006

Clements, K. and Fry, R.A. (2006), Commodity currencies and currency commodities, University of Western Australia Economics Working Paper 06-17

Claus, E., Dungey, M., and Fry, R.A. (2006), Monetary policy in illiquid markets: Options for a small open economy, CAMA Working Paper 17/2006

Baur, D.G. and Fry, R.A. (2006). Endogenous contagion – a panel data analysis, CAMA Working Paper 9/06, Australian National University

Baur, D.G. and Fry, R.A. (2006). Endogenous contagion – a panel data analysis, Cambridge Endowment for Research in Finance Working Paper, 25, University of Cambridge

Fry, R.A. and Pagan, A.R. (2005), Some issues in using VARs for macroeconometric research, CAMA Working Paper 18/05, Australian National University

Dungey, M., Fry, R.A., González-Hermosillo, B., and Martin, V.L. (2005), Shocks and systemic influences: Contagion in global equity markets in 1998, CAMA Working Paper 15/05

Fry, R.A. and Sojli, E. (2005), Financial crises propagation to Albania: A comparison of the Russian and Turkish crises, in Evaluating the Effectiveness of Monetary Policy, Conference Proceedings, organised by the Central Bank of Albania, March 24-25, 2005, Durres, Albania, 295-323

Dungey, M., Fry, R.A., González-Hermosillo, B., and Martin, V.L. (2004), Empirical modelling of contagion: A review of methodologies, IMF Working Paper 04/78

Dungey, M., Fry, R.A., González-Hermosillo, B., and Martin, V.L. (2004), Empirical modelling of contagion: A review of methodologies, Cambridge Endowment for Research in Finance, University of Cambridge Working Paper, No. 8

Bond, S.A., Dungey, M., and Fry, R.A. (2004), Web of shocks: Crises across asian real estate markets, CAMA Working Paper, 02/2004, Australian National University.
Dungey, M., Fry, R.A., González-Hermosillo, B., and Martin, V.L. (2003), Unanticipated shocks and systemic influences: The impact of contagion in global equity markets in 1998, IMF Working Paper WP/0⅜4

Dungey, M., Fry, R.A., González-Hermosillo, B., and Martin, V.L. (2003), Characterising global risk aversion for emerging markets during financial crises, IMF Working Paper, #03/2518

Dungey, M., Fry, R.A., and Martin, V.L. (2003), Identification of common and idiosyncratic shocks in real equity prices: Australia, 1982 to 2002, Australian National University Working Papers in Trade and Development, #2003/18

Dungey, M., Fry, R.A., González-Hermosillo, B., and Martin, V.L. (2002), The transmission of contagion in developed and developing international bond markets, Bank for International Settlements Conference Volume 2(4) October 2002, 61-74

Dungey, M., Fry, R.A., González-Hermosillo, B., and Martin, V.L. (2002), International contagion effects from the Russian crisis and the LTCM near-collapse, IMF Working Paper WP/02/74

Fry, R.A. (2002), International SVAR factor modelling, Queensland University of Technology Working Papers in Economics, Finance and International Competitiveness, #109.

Dungey, M. and Fry, R.A. (2001), A multi-country structural VAR model, Australian National University Working Papers in Trade and Development, No. 2001/04