Detecting contagion during financial crises requires the demarcation of crisis periods. We develop a method for endogenously dating both the start and finish of crises, along with measuring contagion effects. Identification is achieved by coupling smooth transition functions with structural...

This paper shows that both commodity price and carry trade have significant impact on the volatility and liquidity of Asian currencies, particularly on actively traded currencies. The impact of carry trade is generally larger than that of commodity price