Safe Haven Currencies
Angelo Ranaldo () and
Paul Söderlind ()
University of St. Gallen Department of Economics working paper series 2007 from Department of Economics, University of St. Gallen
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)
New Economics Papers: this item is included in nep-cba, nep-ifn, nep-mon, nep-mst and nep-rmg
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (6) Track citations by RSS feed
Downloads: (external link)
Journal Article: Safe Haven Currencies (2010)
Working Paper: Safe Haven Currencies (2009)
Working Paper: Safe Haven Currencies (2007)
This item may be available elsewhere in EconPapers: Search for items with the same title.
Export reference: BibTeX
RIS (EndNote, ProCite, RefMan)
Persistent link: https://EconPapers.repec.org/RePEc:usg:dp2007:2007-22
Access Statistics for this paper
More papers in University of St. Gallen Department of Economics working paper series 2007 from Department of Economics, University of St. Gallen Contact information at EDIRC.
Bibliographic data for series maintained by Joerg Baumberger ().