避险货币：依赖转换的联结方法

IF 6.9 2区经济学 Q1 BUSINESS, FINANCE

Finance Research Letters Pub Date : 2025-09-26 DOI:10.1016/j.frl.2025.108465

Leo Michelis, Cathy Ning, Jeremey Ponrajah

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引用次数: 0

摘要

本文提出了一种独特的方法来研究五种主要货币的避险属性：美元、日元、瑞士法郎、欧元和英镑。与其他研究不同，我们采用灵活的依赖转换联结模型来检验这些货币与全球市场风险之间的联合尾部依赖关系。这种创新的方法使我们能够在最相关的时候直接衡量避险货币的强弱。利用1999年至2024年的日常数据，我们的实证结果表明，在全球风险厌恶情绪加剧的时期，美元仍然是一种避险货币。此外，即使在美元升值的情况下，日元的避险行为依然存在。瑞郎表现出避险的特征，尽管没有美元那么明显，而欧元和英镑表现出最弱的避险行为。此外，我们发现，一种货币的避险地位会随着时间的推移而波动，在全球市场重大动荡时期，美元是最强劲的避险货币。

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Safe haven currencies: A dependence-switching copula approach

This paper presents a unique approach to investigating the safe haven properties of five major currencies: the US dollar, the Japanese yen, the Swiss franc, the euro, and the British pound. Unlike other studies, we employ a flexible dependence-switching copula model to examine the joint tail dependence between these currencies and global market risk. This innovative method allows us to directly measure the strength of safe haven currencies when they are most relevant. Using daily data from 1999 to 2024, our empirical results show that the US dollar remains a safe haven currency during periods of heightened global risk aversion. Moreover, the safe haven behavior of the yen persists even in the presence of the US dollar’s appreciation. The Swiss franc exhibits safe haven characteristics, albeit less pronounced than the US dollar, and the euro and the pound demonstrate the weakest safe haven behavior. In addition, we find that the safe haven status of a currency fluctuates over time, with the US dollar being the strongest safe haven currency during periods of major global market turmoil.

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来源期刊

Finance Research Letters BUSINESS, FINANCE-

CiteScore

11.10

自引率

14.40%

发文量

863

期刊介绍： Finance Research Letters welcomes submissions across all areas of finance, aiming for rapid publication of significant new findings. The journal particularly encourages papers that provide insight into the replicability of established results, examine the cross-national applicability of previous findings, challenge existing methodologies, or demonstrate methodological contingencies. Papers are invited in the following areas: Actuarial studies Alternative investments Asset Pricing Bankruptcy and liquidation Banks and other Depository Institutions Behavioral and experimental finance Bibliometric and Scientometric studies of finance Capital budgeting and corporate investment Capital markets and accounting Capital structure and payout policy Commodities Contagion, crises and interdependence Corporate governance Credit and fixed income markets and instruments Derivatives Emerging markets Energy Finance and Energy Markets Financial Econometrics Financial History Financial intermediation and money markets Financial markets and marketplaces Financial Mathematics and Econophysics Financial Regulation and Law Forecasting Frontier market studies International Finance Market efficiency, event studies Mergers, acquisitions and the market for corporate control Micro Finance Institutions Microstructure Non-bank Financial Institutions Personal Finance Portfolio choice and investing Real estate finance and investing Risk SME, Family and Entrepreneurial Finance