Currency risk and the safe-haven hypothesis

Khosrow Doroodian and Tony Caporale

Atlantic Economic Journal, 2000, vol. 28, issue 2, 186-195

Abstract: It has been argued that the dollar's role as a safe currency may affect its value over and above what can be justified fundamentally. This view stresses the role of the dollar as a safe-haven currency whose demand increases during periods of uncertainty. Applying a generalized autoregressive conditional heteroskedasticity framework to data on four bilateral exchange rates versus the dollar, the results show that uncertainty strengthens the dollar. Copyright International Atlantic Economic Society 2000

Date: 2000
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DOI: 10.1007/BF02298360

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