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Safe Haven Currencies

  • Angelo Ranaldo
  • Paul Söderlind

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.

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File URL: http://www.snb.ch/n/mmr/reference/working_paper_2007_17/source/working_paper_2007_17.n.pdf
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Paper provided by Swiss National Bank in its series Working Papers with number 2007-17.

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Length: 31 pages
Date of creation: 2007
Date of revision:
Handle: RePEc:snb:snbwpa:2007-17
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  1. Mark, Nelson C., 1988. "Time-varying betas and risk premia in the pricing of forward foreign exchange contracts," Journal of Financial Economics, Elsevier, vol. 22(2), pages 335-354, December.
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  37. Andersen, Torben G & Bollerslev, Tim, 1998. "Answering the Skeptics: Yes, Standard Volatility Models Do Provide Accurate Forecasts," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 39(4), pages 885-905, November.
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