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Time-variant safe haven currencies

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  • Sato, Ayano
  • Nakata, Hayato
  • Percy, Jay

Abstract

This study investigates the temporal variation in the safe haven status of the Japanese yen, Swiss franc, and U.S. dollar, using a rolling GARCH-in-mean model. Until the global financial crisis, the U.S. dollar was likely a safe haven currency, while the Swiss franc has been one since the crisis. The Japanese yen later emerged as a safe haven and retained its status during the U.S.–China trade friction and the COVID-19 pandemic. The findings suggest that national economic policies, market liquidity, and socio-political events affect safe haven status.

Suggested Citation

  • Sato, Ayano & Nakata, Hayato & Percy, Jay, 2024. "Time-variant safe haven currencies," International Review of Economics & Finance, Elsevier, vol. 93(PB), pages 316-328.
    • Handle: RePEc:eee:reveco:v:93:y:2024:i:pb:p:316-328
    DOI: 10.1016/j.iref.2024.04.015
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    More about this item

    Keywords

    Risk aversion; Safe-haven currencies; GARCH-in-mean model;
    All these keywords.

    JEL classification:

    • F31 - International Economics - - International Finance - - - Foreign Exchange
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
    • G17 - Financial Economics - - General Financial Markets - - - Financial Forecasting and Simulation

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