Time-variant safe haven currencies

Ayano Sato, Hayato Nakata and Jay Percy

International Review of Economics & Finance, 2024, vol. 93, issue PB, 316-328

Abstract: This study investigates the temporal variation in the safe haven status of the Japanese yen, Swiss franc, and U.S. dollar, using a rolling GARCH-in-mean model. Until the global financial crisis, the U.S. dollar was likely a safe haven currency, while the Swiss franc has been one since the crisis. The Japanese yen later emerged as a safe haven and retained its status during the U.S.–China trade friction and the COVID-19 pandemic. The findings suggest that national economic policies, market liquidity, and socio-political events affect safe haven status.

Keywords: Risk aversion; Safe-haven currencies; GARCH-in-mean model (search for similar items in EconPapers)
JEL-codes: F31 G15 G17 (search for similar items in EconPapers)
Date: 2024
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Persistent link: https://EconPapers.repec.org/RePEc:eee:reveco:v:93:y:2024:i:pb:p:316-328

DOI: 10.1016/j.iref.2024.04.015

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