Macroeconomic surprises, market environment, and safe-haven currencies

Adrian Jäggi (), Martin Schlegel () and Attilio Zanetti
Additional contact information
Adrian Jäggi: University of St. Gallen, Department of Economics
Martin Schlegel: Alternate Member of the Governing Board, Swiss National Bank

Swiss Journal of Economics and Statistics, 2019, vol. 155, issue 1, 1-21

Abstract: Abstract We study the reaction of the CHF and JPY to macroeconomic surprises and changes in the broader market environment before and during the crisis using high-frequency data. Results show that the CHF and JPY are traditionally more sensitive to macroeconomic surprises than other currencies, reflecting the fact that macroeconomic surprises impact uncertainty and risk aversion. This link was further magnified during the crisis and could not be broken by the specific measures adopted by monetary authorities to limit the appreciation trend. We also find some evidence that, during the crisis, CHF and JPY responded more strongly to surprises generating an appreciation than to surprises leading to a depreciation. Additionally, both currencies also systematically respond to changes in the general market environment. This result is robust to the use of two measures of the market environment: VIX and on a novel index based on Bloomberg wires.

Keywords: Safe-haven currencies; Swiss franc; Yen; Macroeconomic surprises; Risk (search for similar items in EconPapers)
JEL-codes: F31 G12 G14 (search for similar items in EconPapers)
Date: 2019
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (9)

Downloads: (external link)
http://link.springer.com/10.1186/s41937-019-0031-9 Abstract (text/html)

Related works:
Working Paper: Macroeconomic surprises, market environment and safe-haven currencies (2016)
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:spr:sjecst:v:155:y:2019:i:1:d:10.1186_s41937-019-0031-9

Ordering information: This journal article can be ordered from
http://www.springer.com/economics/journal/41937

DOI: 10.1186/s41937-019-0031-9

Access Statistics for this article

Swiss Journal of Economics and Statistics is currently edited by Marius Brülhart

More articles in Swiss Journal of Economics and Statistics from Springer, Swiss Society of Economics and Statistics Contact information at EDIRC.
Bibliographic data for series maintained by Sonal Shukla () and Springer Nature Abstracting and Indexing ().