Safe Haven Currencies
Safe Haven Currencies
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DOI：
10.2139/ssrn.999382
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发表时间：
2009-04
期刊：
影响因子：
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通讯作者：
A. Ranaldo;P. Söderlind
中科院分区：
文献类型：
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作者：
A. Ranaldo;P. Söderlind
我们研究了1993-2007年样本的高频汇率变动。我们证明，当（a）标普（B）美国债券价格上涨;（c）货币市场变得更加波动时，（瑞士）法郎、欧元、日元和磅对美元往往会升值。在这种情况下，法郎对其他货币也升值，而磅贬值。安全港的性质对应于套息交易者的损失。它们在“平常日子”和危机事件中以不同的时间粒度（从几小时到几天）出现，并显示出一些非线性特征。
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.