Identifying the exact triggers for safe-haven flows in not easy, nor is tracking the ways in which demand for safe havens materialises. This column uses an empirical analysis of movements of the Swiss franc and Japanese yen since 2000 to show that these safe-haven currencies reacted strongly to non-domestic macro surprises, especially during the Global Crisis, and that this is in addition to the expected reaction to general changes in the risk environment. Oddly, for European macro surprises, only German data influence safe-haven currencies.
Adrian Jäggi, Martin Schlegel, Attilio Zanetti, 18 January 2017
Maurizio Habib, Livio Stracca, 28 February 2014
At the peak of the Global Crisis, the US dollar appreciated and US Treasury yields fell, suggesting that foreign investors were purchasing US assets in general. Actually, they were fleeing only into short-term Treasury bills. This column discusses recent research showing that there are indeed no securities which are consistently a safe haven across different crisis episodes – not even US assets. However, a peculiarity of the US securities is that foreign investors do not necessarily ‘run for the exit’, even when a crisis has its epicentre in the US.