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What Makes a Safe Haven? Equity and Currency Returns for Six OECD Countries during the Financial Crisis

Author

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  • Hong-Ghi Min

    (Department of Management Science, College of Business, Korea Advanced Institute of Science and Technology)

  • Judith A. McDonald

    (Department of Economics, Lehigh University)

  • Sang-Ook Shin

    (Department of Finance, Texas A&M University)

Abstract

We estimate dynamic conditional correlations (DCCs) between equity and currency returns during the financial crisis using Engle's (2002) model. DCCs and their volatilities increased for all countries, increasing investors' risk aversion and leading to the "flight-to-quality". The US, Japan, and Switzerland have negative DCCs, making them "safe havens" that experienced capital in-flows, whereas the UK, Australia, and Canada have positive DCCs. Stock and foreign exchange volatility indexes increase DCCs for countries without safe assets; however, they decrease DCCs for countries with safe assets. Higher country-specific risk, as measured by its TED spread, and CDS spread, means higher DCCs.

Suggested Citation

  • Hong-Ghi Min & Judith A. McDonald & Sang-Ook Shin, 2016. "What Makes a Safe Haven? Equity and Currency Returns for Six OECD Countries during the Financial Crisis," Annals of Economics and Finance, Society for AEF, vol. 17(2), pages 365-402, November.
    • Handle: RePEc:cuf:journl:y:2016:v:17:i:2:min
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    More about this item

    Keywords

    GARCH; Dynamic conditional correlations; Safe haven; Flight to quality; Wealth effect; Substitution effect; Stock market volatility index; Foreign-exchange volatility index; Interest-rate differentials; TED spread; Credit-default swap spread;
    All these keywords.

    JEL classification:

    • F31 - International Economics - - International Finance - - - Foreign Exchange
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets

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