Intra-safe haven currency behavior during the global financial crisis
Intra-safe haven currency behavior during the global financial crisis
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DOI：
10.1016/j.jimonfin.2015.12.007
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发表时间：
2016-09-01
影响因子：
2.5
通讯作者：
Yamamoto, Yohei
中科院分区：
文献类型：
--
作者：
Fatum, Rasmus;Yamamoto, Yohei
我们研究了最近全球金融危机期间避险货币的行为。我们首先评估哪种避险货币是“最安全”的。然后，我们使用非时间阈值分析，以调查是否内部避险货币行为的市场不确定性增加的变化。我们发现，日元是“最安全”的避险货币，只有日元升值，因为市场的不确定性增加，无论普遍的不确定性水平。我们的研究结果可能会有重要的影响，中央银行优化其相对组成的国际货币储备持有的美元回报率和外汇市场投资者一般。(C)2015爱思唯尔有限公司版权所有。
We investigate intra-safe haven currency behavior during the recent global financial crisis. We first assess which safe haven currency is the "safest". We then use non-temporal threshold analysis to investigate whether intra-safe haven currency behavior changes as market uncertainty increases. We find that the JPY is the "safest" of safe haven currencies and that only the JPY appreciates as market uncertainty increases regardless of the prevailing level of uncertainty. Our results may have important implications for central banks optimizing their relative composition of international currency reserve holdings with respect to returns in USD terms and for foreign currency market investors in general. (C) 2015 Elsevier Ltd. All rights reserved.