EconPapers    
Economics at your fingertips  
 

Time-Variant Safe-Haven Currency Status and Determinants

Yuki Masujima

Discussion papers from Research Institute of Economy, Trade and Industry (RIETI)

Abstract: This paper investigates what factors are the determinants of a safe haven currency's ability to appreciate during the risk-off episodes. I assess how the safe-haven status and related determinants of 14 currencies changed over time from 2002 until 2017, using a safe-haven index that shows the time-variant tendency of exchange rate movement in response to changes in market uncertainty, measured using the CBOE volatility index (VIX). The panel regression results suggest safe-haven determinants shifted from external sustainability factors (current account surplus) to market driven factors (carry trade opportunity and high liquidity) during and after the Global Financial Crisis. The results highlight the increasing effects that changes in monetary policy stance and market risk appetites have on a currency's safe-haven status. That said, in addition to affecting the exchange rate, the shift between monetary tightening and easing by the Federal Reserve and local central banks may also change the interaction between the appetite for market risk and a currency's safe-haven status.

New Economics Papers: this item is included in nep-cba and nep-mon
Date: 2019-07
References: View references in EconPapers View complete reference list from CitEc
Citations: Track citations by RSS feed

Downloads: (external link)
https://www.rieti.go.jp/jp/publications/dp/19e048.pdf (application/pdf)

Related works:
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:eti:dpaper:19048

Access Statistics for this paper

More papers in Discussion papers from Research Institute of Economy, Trade and Industry (RIETI) Contact information at EDIRC.
Bibliographic data for series maintained by TANIMOTO, Toko ().

 
Page updated 2019-08-18
Handle: RePEc:eti:dpaper:19048