Safe-haven currency behavior in crisis periods: The U.S. dollar, the Japanese yen, and the Swiss franc
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.
Flight to quality in currency markets, intra-safe haven behavior, interactive crisis dummy variables, financial crisis versus real crisis.
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: 23rd 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