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Evaluating currency crises: A multivariate markov regime switching approach*
Authors
K. Mouratidis Kenourgios, D. Samitas, A. Vougas, D.
Publication date
1 January 2013
Publisher
Abstract
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. © 2012 Blackwell Publishing Ltd and The University of Manchester
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Last time updated on 10/02/2023