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- W2080302512 abstract "Abstract We analyse bilateral Swiss franc exchange rate returns in an asset pricing framework to evaluate the Swiss franc's safe haven characteristics. A “safe haven” currency is a currency that offers hedging value against global risk, both on average and in particular in crisis episodes. To explore these issues we estimate the relationship between exchange rate returns and risk factors in augmented UIP regressions, using recently developed econometric methods to account for the possibility that the regression coefficients may be changing over time. Our results highlight that in response to increases in global risk the Swiss franc appreciates against typical carry trade investment currencies such as the Australian dollar, but depreciates against the US dollar, the Yen and the British pound. Thus, the Swiss franc exhibits safehaven characteristics against many, but not all other currencies. We find statistically significant time variation in the relationship between Swiss franc returns and risk factors, with this link becoming stronger in times of stress." @default.
- W2080302512 created "2016-06-24" @default.
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- W2080302512 date "2015-06-01" @default.
- W2080302512 modified "2023-09-29" @default.
- W2080302512 title "On financial risk and the safe haven characteristics of Swiss franc exchange rates" @default.
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- W2080302512 doi "https://doi.org/10.1016/j.jempfin.2015.03.006" @default.
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