Safehavenness of currencies

• 全文链接
• 请求原文

作   者：

Wong, Alfred Y. -T.;  Fong, Tom Pak Wing; 

作者机构：

Res Dept;  Peoples R China;  Int Finance Ctr 2;  55-F Cent;  Hong Kong Monetary Author;  Hong Kong; 

关键词：

risk reversal;  crash risk;  quantile regression;  mixture vector autoregression;  tail risk;  Safe-haven currency; 

期刊名称：

The European journal of finance

i s s n：

1351-847X

年卷期：

2018 年 24 卷 4/6 期

页   码：

300-332

页   码：

摘   要：

This study assesses the safehavenness' of a number of currencies with a view to providing a better understanding of how capital flow tends to react to a sharp increase in global risk aversion in turbulent times. It focuses on how the currencies are perceived by international investors or, more specifically, whether they are seen as safe-haven or risky currencies. To assess the safehavenness of the currency, we use risk reversal, which is the price difference between the call and put options of a currency, as it reflects how disproportionately market participants are willing to pay to hedge against its appreciation or depreciation. The relationship between the risk reversal of the currency and global risk aversion is estimated by means of parametric and non-parametric regressions that allow us to capture currency behaviour in times of extreme adversity, that is, the tail risk. Our empirical results found the Japanese yen and, to a lesser extent, the Hong Kong dollar to be the only safe havens under stressful conditions among the 34 currencies vis-a-vis the US dollar.