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

This paper examines market-specific contributions to price discovery in sequential markets, where changes in the efficient price are embedded in the sequential price changes across markets defined by time zones. We propose a structural VAR model to identify market-specific shocks to the...

Detecting contagion during financial crises requires demarcation of crisis periods. This paper presents a method for endogeneous dating of both the start and finish of crises, coupled with the statistical detection of contagion effects. We couple smooth transition functions with structural GARCH...