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...

This paper examines the dynamic linkages among major exchange rates during the Global Financial Crisis and Eurozone Sovereign Debt Crisis. We extend the previous literature on volatility spillover linkages among the currencies by taking into account the uncovered interest-rate parity hypothesis...

This paper provides the empirical framework to analyse the nature of currency crises by extending earlier work of Jeanne and Masson (2000) who suggest that a currency crisis model with multiple equilibria can be estimated using Markov regime switching (MRS) models. However, Jeanne and Masson...