Federal Reserve Bank of Dallas Globalization and Monetary Policy Institute Intra-safe Haven Currency Behavior during the Global Financial Crisis
Federal Reserve Bank of Dallas Globalization and Monetary Policy Institute Intra-safe Haven Currency Behavior during the Global Financial Crisis
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达拉斯联邦储备银行全球化与货币政策研究所全球金融危机期间避险货币行为
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通讯作者：
Peter Norman Sørensen
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作者：
Rasmus Fatum;Yohei Yamamoto;Rasmus Fatum@ualberta Ca Yohei Yamamoto;Andreas Fischer;Angelo Ranaldo;Barry Scholnick;Livio Stracca;Peter Norman Sørensen
我们研究了近期全球金融危机期间的避险货币行为。我们考虑的货币有美元、日元、瑞士法郎、欧元、英镑、瑞典克朗和加元。我们首先评估哪种避险货币在市场不确定性增加时升值最大，即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来调查随着市场不确定性的增加，避险货币的行为是否会发生变化，例如加速或减速。我们发现，日元是避险货币中“最安全”的，只有日元会随着市场不确定性的增加而升值，而不管当前的不确定性水平如何。对于所研究的所有其他货币，我们发现显著的市场不确定性阈值效应。我们将分析扩展到考虑全球金融危机前后的避险货币行为。非常有帮助的评论。本文的观点是作者的观点，并不一定反映达拉斯联邦储备银行或联邦储备系统的观点。
We investigate intra-safe haven currency behavior during the recent global financial crisis. The currencies we consider are the USD, the JPY, the CHF, the EUR, the GBP, the SEK, and the CAD. We first assess which safe haven currency appreciates the most as market uncertainty increases, i.e. we assess which safe haven currency is the " safest ". We then use non-temporal threshold analysis to investigate whether intra-safe haven currency behavior changes, e.g. accelerates or decelerates, 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. For all other currencies under study we find significant market uncertainty threshold effects. We extend our analysis to also consider intra-safe haven currency behavior before and after the global financial crisis. for very helpful comments. The views in this paper are those of the authors and do not necessarily reflect the views of the Federal Reserve Bank of Dallas or the Federal Reserve System.