Evaluating Currency Crises: A Multivariate Markov Regime Switching Approach

25 Pages Posted: 13 Dec 2012

See all articles by Kostas Mouratidis

Kostas Mouratidis

The Sheffield University - Department of Economics

Dimitris Kenourgios

National and Kapodistrian University of Athens - Department of Economics

Aris Samitas

affiliation not provided to SSRN

Dimitris Vougas

affiliation not provided to SSRN

Multiple version iconThere are 2 versions of this paper

Date Written: January 2013

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.

Suggested Citation

Mouratidis, Kostas and Kenourgios, Dimitris and Samitas, Aris and Vougas, Dimitris, Evaluating Currency Crises: A Multivariate Markov Regime Switching Approach (January 2013). The Manchester School, Vol. 81, Issue 1, pp. 33-57, 2013, Available at SSRN: https://ssrn.com/abstract=2188774 or http://dx.doi.org/10.1111/j.1467-9957.2012.02259.x

Kostas Mouratidis

The Sheffield University - Department of Economics ( email )

Sheffield, S1 4DT
Great Britain

Dimitris Kenourgios

National and Kapodistrian University of Athens - Department of Economics ( email )

1, Sofokleous Str
Office 521
Athens, 10559
Greece
+30 210 3689449 (Phone)

Aris Samitas

affiliation not provided to SSRN

No Address Available

Dimitris Vougas

affiliation not provided to SSRN

No Address Available

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