Safe Haven Currencies
By Angelo Ranaldo, P. Söderlind. 2010
476 citations recorded by the source corpus.
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) SP (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.
Subfields: Economics and Econometrics, Finance
View Paper: https://www.semanticscholar.org/paper/d087cbcf10707d5341ae182a62abf01ac6211d52
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Citations in the corpus
- Dollar Appreciation in 2008: Safe Haven, Carry Trades, Dollar Shortage and Overhedging (2012, background): “However, previous episodes of extreme financial market volatility suggested that currencies would perform inversely to their prior yields, consistent with the unwinding of carry trades (Cairns et al (2007), Fender and Hordahl (2007) , McCauley (2008)).”
- Predictability of Currency Carry Trades and Asset Pricing Implications (2013, unknown): “Viceira (2010), Ranaldo and Soderlind (2010), Christiansen, Ranaldo, and”
- Is Gold a Safe Haven Against Equity Market Investment in Emerging and Developing Countries (2014, background): “Ranaldo and Söderlind (2010) define a safe haven asset as an asset that either provides hedging benefits on average or in times of stress.”
- What precious metals act as safe havens, and when? Some US evidence (2015, unknown): “…US dollar 1974–1984 Kumah (1995) Assets denominated in Deutsche Marks 1974–1992 Citak (1999) Gold Middle 1980s Upper (2000) Ten-year German government bonds 1998 Kaul and Sapp (2006) US dollar and Swiss franc December 1999–December 2000 Ranaldo and Soderlind (2010) Swiss franc and Japanese yen.”
- Common Risk Factors in Currency Markets (2011, unknown): “…of our findings is that the interest rate is simply one of the characteristics that determines returns as suggested by Bansal and Dahlquist (2000).5 Ranaldo and Soderlind (2010), for example, pursue this further by arguing that some currencies are viewed simply as safe havens and therefore earn a…”
- Carry Trades and Currency Crashes (2008, unknown): “Ranaldo and Söderlind's (2007) finding that safe‐haven currencies appreciate when stock market volatility increases can be related to our third set of findings that unwinding of carry trades is corre-”