Download or read book Safe Haven Currencies written by Angelo Ranaldo and published by . This book was released on 2009 with total page 29 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Getting beyond carry trade what makes a safe haven currency written by Maurizio Michael Habib and published by . This book was released on 2011 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book From Currency Competition to Safe Haven Currencies written by Valentin Roux and published by . This book was released on 2015 with total page 148 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book The Curious Case of the Yen as a Safe Haven Currency written by Mr.Dennis P. J. Botman and published by International Monetary Fund. This book was released on 2013-11-06 with total page 21 pages. Available in PDF, EPUB and Kindle. Book excerpt: 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.
Download or read book Intra Safe Haven Currency Behavior During the Global Financial Crisis written by Rasmus Fatum and published by . This book was released on 2016 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: 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.
Download or read book Safe haven Currencies written by Jasmin Chuiying Ho and published by . This book was released on 2010 with total page 54 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Safe Haven Currencies written by and published by . This book was released on 2015 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Carry Funding and Safe Haven Currencies written by Oliver Hossfeld and published by . This book was released on 2014 with total page 24 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Gauging the Safehavenness of Currencies written by Alfred Wong and published by . This book was released on 2017 with total page 63 pages. Available in PDF, EPUB and Kindle. Book excerpt: 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.
Download or read book Conditional Co Skewness and Safe Haven Currencies written by Kalok Chan and published by . This book was released on 2018 with total page 59 pages. Available in PDF, EPUB and Kindle. Book excerpt: 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.
Download or read book The Swiss Franc and Its National Bank A Statistical Analysis of Safe Haven Currencies with Focus on the Minimal Exchange Rate of the SNB written by and published by . This book was released on 2015 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: This thesis analyzes the exchange rates USD/EUR, USD/CHF and USD/JPY over the period 01.01.2008 - 31.10.2014. A linear factor model is constructed according to previous literature on safe haven currencies. The model includes S&P 500 and Treasury notes price movements. Furthermore, the FX volatility is added as a measure for market risks. The model is used to conduct a stress test on the currencies. On the USD/CHF regression this thesis tests if there are differences between local and global stress situations. In a further inquiry, the currency peg of the SNB is analyzed by splitting in a short-term and long-term effect. It turns out that the Japanese Yen provides the strongest save haven. This effect is found in the overall sample as well as in the stress test. The Euro acts significantly as a high yield within the stock returns but shows some indicative safe haven effects with T-notes and FX volatility. During stress times, however, the safe haven properties disappear. The Swiss Franc acts on average and especially in financial crises as safe haven. Other kinds of crises do not provide significant results. The effects have to be split in two periods; before and after the currency peg of the SNB. After the currency peg the Swiss Franc adopts similar non safe haven characteristics as the Euro.
Download or read book The Dollar Trap written by Eswar S. Prasad and published by Princeton University Press. This book was released on 2015-08-25 with total page 438 pages. Available in PDF, EPUB and Kindle. Book excerpt: Why the dollar is—and will remain—the dominant global currency The U.S. dollar's dominance seems under threat. The near collapse of the U.S. financial system in 2008–2009, political paralysis that has blocked effective policymaking, and emerging competitors such as the Chinese renminbi have heightened speculation about the dollar’s looming displacement as the main reserve currency. Yet, as The Dollar Trap powerfully argues, the financial crisis, a dysfunctional international monetary system, and U.S. policies have paradoxically strengthened the dollar’s importance. Eswar Prasad examines how the dollar came to have a central role in the world economy and demonstrates that it will remain the cornerstone of global finance for the foreseeable future. Marshaling a range of arguments and data, and drawing on the latest research, Prasad shows why it will be difficult to dislodge the dollar-centric system. With vast amounts of foreign financial capital locked up in dollar assets, including U.S. government securities, other countries now have a strong incentive to prevent a dollar crash. Prasad takes the reader through key contemporary issues in international finance—including the growing economic influence of emerging markets, the currency wars, the complexities of the China-U.S. relationship, and the role of institutions like the International Monetary Fund—and offers new ideas for fixing the flawed monetary system. Readers are also given a rare look into some of the intrigue and backdoor scheming in the corridors of international finance. The Dollar Trap offers a panoramic analysis of the fragile state of global finance and makes a compelling case that, despite all its flaws, the dollar will remain the ultimate safe-haven currency.
Download or read book The Curious Case of the Yen as a Safe Haven Currency written by Mr.Dennis P. J. Botman and published by International Monetary Fund. This book was released on 2013-11-06 with total page 21 pages. Available in PDF, EPUB and Kindle. Book excerpt: 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.
Download or read book Time variant Safe haven Currency Status and Determinants written by Yuki Masujima and published by . This book was released on 2019 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book The Behavior of Currencies during Risk off Episodes written by Mr.Reinout De Bock and published by International Monetary Fund. This book was released on 2013-01-11 with total page 58 pages. Available in PDF, EPUB and Kindle. Book excerpt: Episodes of increased global risk aversion, also known as risk-off episodes, have become more frequent and severe since 2007. During these episodes, currency markets exhibit recurrent patterns, as the Japanese yen, Swiss franc, and U.S. dollar appreciate against other G-10 and emerging market currencies. The pattern of these moves can be explained by a combination of fundamental factors, such as the nominal interest rate, the international investment position and measures of exchange rate misalignment, and market-liquidity factors, such as bid-offer spreads and restrictions on international capital flows. We also find that currency performance in a risk-off episode has become more related to a currency?s yield and relationship to broader risks in recent years.
Download or read book Gaining Currency written by Eswar Prasad and published by Oxford University Press. This book was released on 2017 with total page 345 pages. Available in PDF, EPUB and Kindle. Book excerpt: China's currency, the renminbi, has taken the world by storm. This book documents the renminbi's impressive rise to global prominence in a short period but also shows how much further it has to go before becoming a major international currency. The hype about its inevitable ascendance to global dominance is overblown.
Download or read book Looking at the Other Side of Carry Trades written by Virginie Coudert and published by . This book was released on 2014 with total page 31 pages. Available in PDF, EPUB and Kindle. Book excerpt:
