We would like to thank Alessandro Flamini and Andy Dickerson.
EVALUATING CURRENCY CRISES: A MULTIVARIATE MARKOV REGIME SWITCHING APPROACH*
Article first published online: 9 JUL 2012
© 2012 The Authors. The Manchester School © 2012 Blackwell Publishing Ltd and The University of Manchester
The Manchester School
Volume 81, Issue 1, pages 33–57, January 2013
How to Cite
MOURATIDIS, K., KENOURGIOS, D., SAMITAS, A. and VOUGAS, D. (2013), EVALUATING CURRENCY CRISES: A MULTIVARIATE MARKOV REGIME SWITCHING APPROACH. The Manchester School, 81: 33–57. doi: 10.1111/j.1467-9957.2012.02259.x
Manuscript received 26.9.09; final version received 18.8.10.
- Issue published online: 10 DEC 2012
- Article first published online: 9 JUL 2012
This paper provides an empirical framework to analyse the nature of currency crises by extending earlier work of Jeanne and Masson (2000; Journal of International Economics, Vol. 50, pp. 327–350). Jeanne and Masson suggest a Markov regime switching models to analyse models of currency crises with multiple equilibria. This paper further contributes to the literature by suggesting a multivariate Markov regime switching model. In the new set-up, one can test for the impact of the unobserved dynamics of fundamentals on the probability of devaluation.