Header

UZH-Logo

Maintenance Infos

Safe Haven Currencies


Ranaldo, Angelo; Söderlind, Paul (2010). Safe Haven Currencies. Review of Finance, 14(3):385-407.

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. Copyright 2010, Oxford University Press.

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. Copyright 2010, Oxford University Press.

Statistics

Citations

Dimensions.ai Metrics
220 citations in Web of Science®
236 citations in Scopus®
Google Scholar™

Altmetrics

Downloads

25 downloads since deposited on 23 Aug 2023
25 downloads since 12 months
Detailed statistics

Additional indexing

Item Type:Journal Article, refereed, original work
Communities & Collections:03 Faculty of Economics > Department of Banking and Finance
Dewey Decimal Classification:330 Economics
Scopus Subject Areas:Social Sciences & Humanities > Accounting
Social Sciences & Humanities > Finance
Social Sciences & Humanities > Economics and Econometrics
Scope:Discipline-based scholarship (basic research)
Language:English
Date:8 July 2010
Deposited On:23 Aug 2023 13:48
Last Modified:29 Apr 2024 01:39
Publisher:Oxford University Press
ISSN:1572-3097
OA Status:Hybrid
Publisher DOI:https://doi.org/10.1093/rof/rfq007
Other Identification Number:merlin-id:5921
  • Content: Published Version
  • Language: English