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Safe Haven Currencies

Journal
Review of Finance
ISSN
1572-3097
ISSN-Digital
1573-692X
Type
journal article
Date Issued
2010-03-08
Author(s)
Ranaldo, Angelo  
Söderlind, Paul  
Abstract
We study high-frequency exchange rates over the period 1993-2008. Based on the recent literature on volatility and liquidity risk premia, we use a factor model to capture linear and non-linear linkages between currencies, stock and bond markets as well as proxies for market volatility and liquidity. We document that the Swiss franc and Japanese yen appreciate against the US dollar when US stock prices decrease and US bond prices and FX volatility increase. These safe haven properties materialise over different time granularities (from a few hours to several days) and non-linearly with the volatility factor and during crises. The latter effects were particularly discernible for the yen during the recent financial crisis.
Language
English
HSG Classification
contribution to scientific community
Refereed
Yes
Publisher
Oxford University Press
Publisher place
Oxford
Volume
14
Number
3
Start page
385
End page
407
Pages
23
URL
https://www.alexandria.unisg.ch/handle/20.500.14171/96714
Subject(s)

economics

Division(s)

s/bf - Swiss Institut...

SoF - School of Finan...

Eprints ID
57677
File(s)
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Thumbnail Image

open.access

Name

SafeHaven.pdf

Size

246.98 KB

Format

Adobe PDF

Checksum (MD5)

5772d0a51ba1bce55b2ea1a58373142f

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