<script type="text/javascript">
<!--
document.write('<div id="oa_widget"></div>');
document.write('<script type="text/javascript" src="https://www.openaire.eu/index.php?option=com_openaire&view=widget&format=raw&projectId=undefined&type=result"></script>');
-->
</script>

COPY SCRIPT

For further information contact us at helpdesk@openaire.eu

Safe Haven Currencies*

descriptionPublicationkeyboard_double_arrow_right Article , Other literature type , Preprint 01 Jan 2009Embargo end date: 08 Jul 2010 Switzerland Publisher:Oxford University Press (OUP)Journal:Review of Finance, volume 14, pages 385-407 (issn: 1572-3097, eissn: 1573-692X,

Authors: Angelo Ranaldo; Paul Söderlind; Paul Söderlind;

doi: 10.1093/rof/rfq007 , 10.2139/ssrn.999382 , 10.5167/uzh-235747

handle: 20.500.14171/96714

Safe Haven Currencies*

- Summary
- Subjects
- Metrics

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.

Country

Switzerland

Related Organizations

University of Zurich
Switzerland
University of St. Gallen
Switzerland
Centre for Economic Policy Research
United Kingdom
Economic Policy Institute
United States
Swiss National Bank
Switzerland

Keywords

1402 Accounting, high-frequency data, crisis episodes, non-linear effects, 330, 10003 Department of Finance, 2002 Economics and Econometrics, economics, 330 Economics, 2003 Finance, crisis episodes; high-frequency data; non-linear effects, jel: jel:F31, jel: jel:G15

Impact byBIP!

	citations This is an alternative to the "Influence" indicator, which also reflects the overall/total impact of an article in the research community at large, based on the underlying citation network (diachronically).	365
	popularity This indicator reflects the "current" impact/attention (the "hype") of an article in the research community at large, based on the underlying citation network.	Top 0.1%
	influence This indicator reflects the overall/total impact of an article in the research community at large, based on the underlying citation network (diachronically).	Top 1%
	impulse This indicator reflects the initial momentum of an article directly after its publication, based on the underlying citation network.	Top 1%