The thesis deals with three dimensions of currency and financial crises. The first part provides for an analysis of the methodologies addressing the stability of the transmission mechanism through which financial shocks are propagated. We uncover strong evidence of instability and make use of Monte Carlo simulations to examine the weaknesses of existing methodologies. The second part takes a broader perspective on financial market comovements and looks at their underlying macroeconomic determinants. Theoretical models generate ambiguous predictions. Having controlled for global disturbances, trade and financial integration leads to increased stock market synchronization. Fixing the exchange rate also induces more comovements, in particular when the regime requires mutual interventions. The third part focuses on the factors affecting the duration of pegged exchange rate arrangements and uses duration analysis. Key findings include non-monotonicity of the hazard function and the significant role of inflation, economic growth and international reserves