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Safe-haven currencies under rare disaster risk: A pre-registered report

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  • Huang, Xiaowei
  • Zhang, Zhuoshi
  • Du, Li

Abstract

This pre-registered report explores the safe-haven properties of sovereign currencies under the threat of rare disaster risk. Specifically, it addresses two research questions: First, how can the safe-haven properties of sovereign currencies be measured from the perspective of rare disasters? Second, what measures can be taken to enhance these safe-haven properties? To investigate these questions, we employ multivariate GARCHSK and IC-GARCHSK models to conduct both static and dynamic assessments of currency safe-haven properties. We also examine the determinants of these properties using a Logit model. This report extends the theoretical framework for identifying and measuring safe-haven currencies and offers insights into developing sovereign currencies as reliable safe-haven assets.

Suggested Citation

  • Huang, Xiaowei & Zhang, Zhuoshi & Du, Li, 2025. "Safe-haven currencies under rare disaster risk: A pre-registered report," Pacific-Basin Finance Journal, Elsevier, vol. 93(C).
    • Handle: RePEc:eee:pacfin:v:93:y:2025:i:c:s0927538x25002380
    DOI: 10.1016/j.pacfin.2025.102901
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    References listed on IDEAS

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    JEL classification:

    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
    • G01 - Financial Economics - - General - - - Financial Crises

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