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Title: Safe Haven Currencies

Author(s): Angelo Ranaldo and Paul S�derlind

Publication Date: April 2009

Keyword(s): crisis episodes, high-frequency data and non-linear effects

Programme Area(s): International Macroeconomics

Abstract: 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) S&P has negative returns; (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.

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Bibliographic Reference

Ranaldo, A and S�derlind, P. 2009. 'Safe Haven Currencies'. London, Centre for Economic Policy Research. https://cepr.org/active/publications/discussion_papers/dp.php?dpno=7249