期刊名称：Euro Area Balance of Payments and International Investment Position Statistics
印刷版ISSN：1830-3420
电子版ISSN：1830-3439
出版年度：2011
出版社：European Central Bank
摘要：There is already a substantial literature documenting the fact that low yield currencies typically appreciate during times of global nancial stress and behave as safe havens. The main objective of this paper is to nd out what the fundamentals of safe haven currencies are. We analyse a large panel of 52 currencies in advanced and emerging countries over almost 25 years of data. We nd that only a few factors are robustly associated to a safe haven status, most notably the net foreign asset position, an indicator of external vulnerability, and to a lesser extent the absolute size of the stock market, an indicator of market size and development. The interest rate spread against the US is signi cant only for advanced countries, whose currencies are subject to carry trade. More generally, we nd that it is hard to predict what currencies would do when global risk aversion is high, as estimates are imprecise and often not stable or robust. This suggests caution in over-interpreting exchange rate movements during nancial crises.
关键词：VIX; global risk aversion; safe haven currencies; carry trade;globalisation.
