This paper constructs a model of the FX swap valuation, the cost of synthetic dollar borrowing, based on the dealers' behavior and the hierarchy of international finance. In this model, three fundamentals - market-making costs (measured by dealers' bid-ask spreads), dollar funding liquidity risk...

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 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...