Safe Haven Currencies

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Safe Haven Currencies

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Author : Angelo Ranaldo
language : en
Publisher:
Release Date : 2009

Safe Haven Currencies written by Angelo Ranaldo and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2009 with Carry trades (Foreign exchange) categories.

Getting Beyond Carry Trade What Makes A Safe Haven Currency

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Author : Maurizio Michael Habib
language : en
Publisher:
Release Date : 2011

Getting Beyond Carry Trade What Makes A Safe Haven Currency written by Maurizio Michael Habib and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2011 with categories.

Safe Haven Currencies

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Author :
language : en
Publisher:
Release Date : 2015

Safe Haven Currencies written by and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2015 with categories.

The Curious Case Of The Yen As A Safe Haven Currency

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Author : Mr.Dennis P. J. Botman
language : en
Publisher: International Monetary Fund
Release Date : 2013-11-06

The Curious Case Of The Yen As A Safe Haven Currency written by Mr.Dennis P. J. Botman and has been published by International Monetary Fund this book supported file pdf, txt, epub, kindle and other format this book has been release on 2013-11-06 with Business & Economics categories.

During risk-off episodes, the yen is a safe haven currency and on average appreciates against the U.S. dollar. We investigate the proximate causes of yen risk-off appreciations. We find that neither capital inflows nor expectations of the future monetary policy stance can explain the yen’s safe haven behavior. In contrast, we find evidence that changes in market participants’ risk perceptions trigger derivatives trading, which in turn lead to changes in the spot exchange rate without capital flows. Specifically, we find that risk-off episodes coincide with forward hedging and reduced net short positions or a buildup of net long positions in yen. These empirical findings suggest that offshore and complex financial transactions should be part of spillover analyses and that the effectiveness of capital flow management measures or monetary policy coordination to address excessive exchange rate volatility might be limited in certain cases.

Carry Funding And Safe Haven Currencies

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Author : Oliver Hossfeld
language : en
Publisher:
Release Date : 2014

Carry Funding And Safe Haven Currencies written by Oliver Hossfeld and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2014 with categories.

Intra Safe Haven Currency Behavior During The Global Financial Crisis

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Author : Rasmus Fatum
language : en
Publisher:
Release Date : 2016

Intra Safe Haven Currency Behavior During The Global Financial Crisis written by Rasmus Fatum and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2016 with categories.

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.

Conditional Co Skewness And Safe Haven Currencies

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Author : Kalok Chan
language : en
Publisher:
Release Date : 2018

Conditional Co Skewness And Safe Haven Currencies written by Kalok Chan and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2018 with categories.

We examine hedging benefits of safe-haven currencies in terms of currency co-skewness with the global stock market (covariance between currency return and global equity volatility) derived from a Markov regime switching model. Of the major currencies, the US dollar, the Japanese yen and the Swiss franc have positive currency co-skewness, providing a hedge against global stock volatility. Moreover, lower excess returns and associated lower interest rates on these currencies are partially attributable to their positive co-skewness because currency co-skewnesses are significantly priced with the expected negative risk premia. The co-skewness pricing effect remains robust even after allowance for time-varying or downside beta, volatility and skewness.

From Currency Competition To Safe Haven Currencies

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Author : Valentin Roux
language : en
Publisher:
Release Date : 2015

From Currency Competition To Safe Haven Currencies written by Valentin Roux and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2015 with categories.

Safe Haven Currencies

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Author : Jasmin Chuiying Ho
language : en
Publisher:
Release Date : 2010

Safe Haven Currencies written by Jasmin Chuiying Ho and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2010 with Carry trades (Foreign exchange) categories.

Gauging The Safehavenness Of Currencies

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Author : Alfred Wong
language : en
Publisher:
Release Date : 2017

Gauging The Safehavenness Of Currencies written by Alfred Wong and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2017 with categories.

This study assesses the 'safehavenness' of a number of currencies with a view to providing a better understanding of how capital flows tend to react to sharp increases in global risk aversion during periods of financial crisis. It focuses on how currencies are perceived by dollar-based international investors or, more specifically, whether they are seen as safe-haven or risky currencies. To assess the 'safehavenness' of a currency, we use a measure of risk reversal, which is the price difference between a call and put option of a currency. This measures how disproportionately market participants are willing to pay to hedge against appreciation or depreciation of the currency. The relationship between the risk reversal of a currency and global risk aversion is estimated by means of both parametric and non-parametric regressions which allow us to capture the relationship in times of extreme adversity, i.e., tail risk. Our empirical results suggest that the Japanese yen and, to a lesser extent, the Hong Kong dollar are the only safe haven currencies under stressful conditions out of 34 currencies vis-à-vis the US dollar.