Specialisation: Macroeconometrics, financial market econometrics, contagion, commodities
Renee Fry-McKibbin’s research is in the fields of applied macroeconomics and econometrics. The common theme in her research is on working out how to estimate the effects of economic and financial market shocks on small open economies, particularly Australia, and with a focus on international linkages.
The main contributions of her research include
(i) Showing how a method referred to as sign restrictions used to identify and estimate small macroeconomic models of structural vector autoregression solves the structural identification problem present in structural systems but leaves the model identification problem unresolved. A method to solve the model identification problem was developed with her coauthor in Fry and Pagan (2011).
(ii) Combining methods of model identification in SVAR models.
(iii) Applying new methods in macroeconomic model identification to small open economy with applications to policy relevant questions including on the interaction between monetary and fiscal policies, commodity markets and the macroeconomy, and international shocks and the macroeconomy.
(iv) Developing methods to model financial markets and the macroeconomy to understand their effects on Australia.
(v) Developing a unifying framework to highlight the key similarities and differences between the various approaches adopted to model financial market crises and contagion.
(vi) Accounting for the higher order features of financial market data in the statistics of market interrelationships
(vii) Applying frameworks to understand the transmission of financial market crises to a range of asset markets.
The research on structural vector autoregression modelling has had an influence on universities and international institutions. Fry and Pagan (2011) is widely used in institutions such as the IMF, the Bank of England, the European Central Bank and the Reserve Bank of New Zealand. Apart from being used in academic and policy relevant research, this paper is also taught in graduate courses or in staff training at the Universitat Pompeau Fabra, the European University Institute, Universität Bern, the University of Kansas, the IMF, the Reserve Bank of New Zealand and the Bank of England. The contribution of the SVAR area in Dungey and Fry (2009) was commissioned by the New Zealand Treasury to understand the interactions of monetary and fiscal policy with the general macroeconomy.
She also has clear policy impact in the area of contagion, particularly in central banks and international organizations. She has developed a strong relationship with Australian and IMF researchers to work on contagion resulting in 13 journal publications, 6 IMF working papers, 1 book and 3 chapters in books. She has been invited to visit central banks for extended periods including at the Division of Financial Stability at the Bank of England where she gave a lecture on modelling of contagion, Banque de France, the ECB (several times), the Czech National Bank, the RBNZ (several times) and the Bundesbank (several times). In 2013 she was invited by the IMF and the Bank of Thailand to be a keynote speaker on “Lessons from the Crisis”. In 2009 she was invited to the Federal Reserve Bank of Atlanta on “The Resilience of Australia During the GFC”.
Professor, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, August 2012 –
Director, Commodities and the Macroeconomy Research Program, Centre for Applied Macroeconomic Analysis, December 2012 –
Director, Finance and the Macroeconomy Research Program, Centre for Applied Macroeconomic Analysis, January 2007 –
1. Fry-McKibbin, R,. Hsiao, C.Y-L and Martin, V.L. (2018), ͞Joint Tests of Contagion with Applications͟, Quantitative Finance, 1-18.
2. Fry-McKibbin, R. and Hsiao, C.Y-L, (2018), ͞Extremal Dependence for Contagion͟, Econometric Reviews, 37, 626-649
3. Fry-McKibbin, R. and Zheng, J. (2016), ͞Effects of US Monetary Policy Shocks During Financial Crises – A Threshold Vector Autoregression Approach’’, Applied Economics, 48, 5802-5823.
4. Dungey, M. Fry-McKibbin, R.A. and Linehan, V. (2014), ͞Chinese Resource Demand and the Natural Resource Supplier͟, Applied Economics, 46, 167-178
5. Fry-McKibbin, R., Martin, V. L., & Tang, C. (2014), ͞Financial Contagion and Asset Pricing, Journal of Banking & Finance, 47, 296-308.
Email: renee.mckibbin [at] anu.edu.au
Work Phone: 02 6125 3387