Safe Haven Currencies
Angelo Ranaldo () and
Paul Söderlind ()
No 2007-17, Working Papers from Swiss National Bank
We study high-frequency exchange rate movements over the sample 1993-2006. 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. These safe haven properties of the franc are visible for different time granularities (from a few hours to several days), during both "ordinary days" and crisis episodes and show some non-linear features.
Keywords: high-frequency data; crisis episodes; non-linear effects (search for similar items in EconPapers)
JEL-codes: F31 G15 (search for similar items in EconPapers)
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Journal Article: Safe Haven Currencies (2010)
Working Paper: Safe Haven Currencies (2009)
Working Paper: Safe Haven Currencies (2007)
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Persistent link: https://EconPapers.repec.org/RePEc:snb:snbwpa:2007-17
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