Safe-haven currency behavior in crisis periods: The U.S. dollar, the Japanese yen, and the Swiss franc

Keehwan Park

Abstract

flight to quality occurs from risky currency assets to safe-haven currency assets in heightened volatile markets of crisis periods. A safe-haven currency gains its value against other currencies in such crisis periods. Traditionally, the U.S. dollar, the Japanese yen, and the Swiss franc have been long times considered safe-haven currencies in the investment community. We study the intra-safe haven currency behavior between these currencies in crisis periods including the Ukraine war period. Our study is motivated by the weakness of the Japanese yen during the Ukraine war in 2022. We find that the intra-safe haven currency behavior depends on whether the crisis is a financial or real (energy-related) one.

Keywords

Flight to quality in currency markets, intra-safe haven behavior, interactive crisis dummy variables, financial crisis versus real crisis.

DOI

https://doi.org/10.18267/pr.2023.kre.2490.14

Cite this paper

Park, K.  (2023). Safe haven currency behavior in crisis periods: The U.S. dollar, the Japanese yen, and the Swiss franc. In: 23^rd International Joint Conference Central and Eastern Europe in the Changing Business Environment: Proceedings. Vydavateľstvo EKONÓM, Bratislava. pp. 181-191. https://doi.org/10.18267/pr.2023.kre.2490.14

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