Safe Haven Currencies

Söderlind, Paul and Angelo Ranaldo
Authors registered in the RePEc Author Service: Paul Söderlind

No 7249, CEPR Discussion Papers from C.E.P.R. Discussion Papers

Abstract: We study high-frequency exchange rate movements over the sample 1993-2007. We document that the (Swiss) franc, euro, Japanese yen and the pound tend to appreciate against the U.S. dollar when (a) S&P has negative returns; (b) U.S. bond prices increase; and (c) when currency markets become more volatile. In these situations, the franc appreciates also against the other currencies, while the pound depreciates. The safe haven properties correspond to the carry trader's losses. They materialize over different time granularities (from a few hours to several days), during both "ordinary days" and crisis episodes and show some non-linear features.

Keywords: Crisis episodes; High-frequency data; Non-linear effects (search for similar items in EconPapers)
JEL-codes: F31 G15 (search for similar items in EconPapers)
Date: 2009-04
New Economics Papers: this item is included in nep-cba, nep-mon and nep-mst
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Citations: View citations in EconPapers (7)

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Related works:
Journal Article: Safe Haven Currencies (2010)
Working Paper: Safe Haven Currencies (2007)
Working Paper: Safe Haven Currencies (2007)
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