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Safe Haven Currencies

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Author Info
Ranaldo, Angelo
Söderlind, Paul

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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.

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Paper provided by C.E.P.R. Discussion Papers in its series CEPR Discussion Papers with number 7249.

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Date of creation: Apr 2009
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Handle: RePEc:cpr:ceprdp:7249

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Related research
Keywords: crisis episodes; high-frequency data; non-linear effects;

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Find related papers by JEL classification:
F31 - International Economics - - International Finance - - - Foreign Exchange
G15 - Financial Economics - - General Financial Markets - - - International Financial Markets

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