Intra-Safe Haven Currency Behavior During the Global Financial Crisis

Posted: 12 May 2016

See all articles by Rasmus Fatum

Rasmus Fatum

University of Alberta - Department of Marketing, Business Economics & Law

Yohei Yamamoto

Hitotsubashi University; Tokyo Center for Economic Research (TCER)

Date Written: December 18, 2015

Abstract

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.

Keywords: Safe Haven Currencies, Global Financial Crisis

JEL Classification: F31, G15

Suggested Citation

Fatum, Rasmus and Yamamoto, Yohei, Intra-Safe Haven Currency Behavior During the Global Financial Crisis (December 18, 2015). Journal of International Money and Finance, Forthcoming; University of Alberta School of Business Research Paper No. 2778690. Available at SSRN: https://ssrn.com/abstract=2778690

Rasmus Fatum (Contact Author)

University of Alberta - Department of Marketing, Business Economics & Law ( email )

Edmonton, Alberta T6G 2R6
Canada
780-492-3951 (Phone)
780-492-3325 (Fax)

HOME PAGE: http://www.bus.ualberta.ca/rfatum

Yohei Yamamoto

Hitotsubashi University ( email )

2-1 Naka Kunitachi-shi
Tokyo 186-8601
Japan

Tokyo Center for Economic Research (TCER) ( email )

Sankyo Building
Room 703, Main Building
Chiyoda-ku, Tokyo, 1-7-10
Japan

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