Mardi Dungey

TL;DR: In this paper, the authors discuss economic interpretations and implications of the Beveridge-Nelson trend-cycle decomposition using US real GDP data and show how this may be consistent with a structural model where trend shocks enter the cycle, or cyclic shocks into the trend and that identification restrictions are necessary to make this structural distinction.

TL;DR: This paper examined the transmission of shocks across national real estate markets prior to and during the Asian crisis using a multivariate latent factor framework, revealing substantial diversification opportunities prior to the crisis, which were much reduced during the crisis.

TL;DR: In this paper, the stability of the cross-market shock transmission mechanism between banks and sovereign bonds during the Eurozone sovereign debt crisis for crisis-hit periphery countries and Germany was analyzed.

TL;DR: In this article, the authors extracted measures of monetary policy surprises for Australia, Canada and the United States using a latent factor framework, distinguishing monetary policy surprise which occur when central banks report new assessments of the economy (or do not reinforce changes expected by market assessments) from those when policy makers appear to change their preferences.

TL;DR: In this paper, the authors investigate whether financial crises are alike by considering whether a single modelling framework can fit multiple distinct crises in which contagion effects link markets across national borders and asset classes.