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...

We quantify crash risk in currency returns. To accomplish this task, we develop and estimate an empirical model of exchange rate dynamics using daily data for four currencies relative to the US dollar: the Australian dollar, the British pound, the Swiss franc, and the Japanese yen. The model...

A Markov regime switching model for exchange rate fluctuations, with time-varying transition probabilities, is used in constructing a monthly model for predicting currency crises in Southeast Asia. The approach is designed to avoid the estimation inconsistency that might arise from...