scholarly journals On financial risk and the safe haven characteristics of Swiss franc exchange rates

2015 ◽  
Vol 32 ◽  
pp. 153-164 ◽  
Author(s):  
Christian Grisse ◽  
Thomas Nitschka
Keyword(s):  
Exchange Rates ◽  
Financial Risk ◽  
Swiss Franc ◽  
Safe Haven

scholarly journals Safe Haven Currencies

2020 ◽  
Vol 26 (4) ◽  
pp. 579-591
Keyword(s):  
Financial Risk ◽  
Swiss Franc ◽  
Global Risk ◽  
Safe Haven ◽  
Number Of Factors ◽  
The Us ◽  
Us Dollar ◽  
Japanese Yen ◽  
The Stability ◽  
Safe Haven Currency

As other safe haven assets, safe haven currencies are sought by investors to mitigate financial risk when economic turbulence hits. Three major safe haven currencies are the US dollar (USD), the Japanese yen (JPY) and the Swiss franc (CHF). The euro is now in competition as an alternative safe haven currency. US dollar will remain the best safe haven currency in the short term and the best investment currency in the medium term. In every uncertainty of the US equity market as well as in the case of a decline of the US dollar, the investor may consider investing in a safe haven currency like the yen or the Swiss franc. Given the stability of Swiss government and financial system of the country, the increased foreign demand for the currency usually pushes the Swiss franc upward. There are number of factors, characterizing the dynamics in which the investors fall, rushing to the Japanese yen during periods of global risk aversion. Traders looked for refuge in the cryptocurrency because they cannot find refuge elsewhere.

scholarly journals Financial Crises, Macroeconomic Variables, and Long-Run Risk: An Econometric Analysis of Stock Returns Correlations (2000 to 2019)

2021 ◽  
Vol 14 (3) ◽  
pp. 127
Author(s):  
Marco Tronzano
Keyword(s):  
Stock Returns ◽  
Risk Premium ◽  
Financial Crises ◽  
Stock Price ◽  
Financial Risk ◽  
Swiss Franc ◽  
Chinese Stock Market ◽  
Stock Market Index ◽  
Defensive Role ◽  
Long Run

This paper focuses on four major aggregate stock price indexes (SP 500, Stock Europe 600, Nikkei 225, Shanghai Composite) and two “safe-haven” assets (Gold, Swiss Franc), and explores their return co-movements during the last two decades. Significant contagion effects on stock markets are documented during almost all financial crises; moreover, in line with the recent literature, the defensive role of gold and the Swiss Franc in asset portfolios is highlighted. Focusing on a new set of macroeconomic and financial series, a significant impact of these variables on stock returns correlations is found, notably in the case of the world equity risk premium. Finally, long-run risks are detected in all asset portfolios including the Chinese stock market index. Overall, this empirical evidence is of interest for researchers, financial risk managers and policy makers.

scholarly journals Determining Pak Rupee Exchange Rates vis-à-vis Six Currencies of the Industrial World: Some Evidence Based on the Traditional Flow Model

2001 ◽  
Vol 40 (4II) ◽  
pp. 885-897
Author(s):  
Razzaque H. Bhatti
Keyword(s):  
Exchange Rates ◽  
Coefficient Of Variation ◽  
Flow Model ◽  
French Franc ◽  
Swiss Franc ◽  
Test Statistics ◽  
Industrial Countries ◽  
Japanese Yen ◽  
The U.S ◽  
German Mark

Pak-rupee exchange rates vis-à-vis many currencies of the industrial world have weakened continuously and persistently since Pakistan abandoned fixed exchange rates in April 1982. This proposition is strongly supported by descriptive test statistics, as shown in Table 1, such as mean, standard deviation and coefficient of variation of six Pak rupee exchange rates—against the U.S. dollar, British pound, German mark, Japanese yen, Swiss franc and French franc—over the period 1982q1-2000q4. Based on these descriptive statistics, it is evident that Pak rupee has depreciated persistently against all currencies of the industrial countries in question over the period under investigation; for example, it has depreciated by 324.05 percent against the British pound, 406.360 percent against the U.S. dollar, 344.53 percent against the French franc, 498.48 percent against the Swiss franc, 477.78 percent against the German mark and 986.25 percent against the Japanese yen since April 1982. As evidenced by coefficient of variation, Pak rupee has weakened enormously against all currencies of the industrial world, while it has weakened relatively more alarmingly against the Japanese yen, Swiss franc and German mark.

Swiss economy faces challenges after SNB move

2015 ◽  
Keyword(s):  
Unemployment Rate ◽  
Swiss Franc ◽  
Gdp Growth ◽  
Domestic Economy ◽  
Safe Haven ◽  
Content Type ◽  
Net Worth ◽  
Cross Border ◽  
Additional Pressure

Subject Prospects for the Swiss economy after the SNB move. Significance De-linking from the euro has uncorked a pent-up surge in the Swiss franc that will challenge the domestic economy. However, its effects on competitiveness will take time to emerge. The Swiss economy has been relatively robust compared with its neighbours and can absorb immediate impacts with limited damage. What will matter most for Swiss competitiveness and the economy will be the medium-to-long term, after the currency stabilises at around an expected 5-10% gain against the dollar compared with a year ago. If the Swiss franc strengthens more, this will put additional pressure on vulnerable sectors and companies that have already had to grapple with high costs and past bouts of currency appreciation. Impacts GDP growth will slow modestly in 2015, probably in the 1.0-1.5% range. The unemployment rate could rise further, having edged up recently -- 3.2% in December. Competitiveness effects will encourage cross-border shopping and the trend towards workers commuting from neighbouring countries. High net-worth investors and residents in the 'safe haven' of Switzerland, along with high-end tourism, will not be impacted significantly. An electoral backlash could follow.

scholarly journals Exchange Rates and Prices: Evidence from the 2015 Swiss Franc Appreciation

2021 ◽  
Author(s):  
Raphael Auer ◽  
Ariel Burstein ◽  
Sarah Lein
Keyword(s):  
Exchange Rates ◽  
Swiss Franc

STATISTICAL ANALYSIS OF THE INFLUENCE OF EXCHANGE RATE DIFFERENCES ON THE FINANCIAL RISK OF STEVEDORING COMPANIES

2018 ◽  
Author(s):  
Svitlana Oneshko ◽  
◽  
Yuliia Hevrek ◽  
Keyword(s):  
Exchange Rate ◽  
Statistical Analysis ◽  
Exchange Rates ◽  
Financial Risk ◽  
Foreign Currency ◽  
Negative Impact ◽  
Cash Flows ◽  
Income Loss ◽  
Financial Plan ◽  
The Impact

Increased interest from users of financial information, which is risky in nature, determines the relevance of the study of the impact of exchange rate differences on the financial risk of economic entities and their financial performance. There is the need to refine the impact of exchange rate differences on the financial risk of economic entities in the perspective of sectoral characteristics, also to determine the practical aspect of using methods of statistical analysis and to identify factors influencing the income generated in foreign currency. The study examines the impact of exchange rate differences on financial risk on the example of state stevedoring companies in Ukraine, the peculiarity of which is the settlement in foreign currency which is associated with the formation of chord rates in US dollars. It is concluded that there is a discrepancy between the US dollar exchange rate, which was included in the financial plan of state stevedoring companies, and the actual exchange rate. This fact directly affected the level of income, namely their reduction from the main activity in absolute terms. Determining the structural ratio of the impact of factors of cargo volume and the average income rate per 1 ton of cargo allowed us to establish that throughout the period there was a negative impact of the income rate factor which is formed in dollar terms. From the standpoint of the statistical analysis of the impact of the dollar on the formation of the revenue side of the financial results of state stevedoring companies of Ukraine and the results, it is proposed to take measures to reduce potential financial risks and avoid / minimize financial losses in terms of income loss, namely graphical and statistical methods based on built models, which adequately describe the dynamics of the series to select the best model for constructing forecast data; during the formation of the financial plan of the stevedoring company to take into account trends in exchange rates by conducting a more detailed analysis, for example, the general trend of exchange rates over time by the method of aggregation of intervals, moving average and analytical alignment; to apply the method of hedging future cash flows that depend on currency risks in order to reduce the propensity to risks and uncertainties associated with changes in external economic conditions for exchange rates which will minimize the negative impact and eliminate uncertainty about exchange rates in the future.

scholarly journals Dynamic spillovers between the term structure of interest rates, bitcoin, and safe-haven currencies

2021 ◽  
Vol 7 (1) ◽  
Author(s):  
David Y. Aharon ◽  
Zaghum Umar ◽  
Xuan Vinh Vo
Keyword(s):  
Exchange Rate ◽  
Exchange Rates ◽  
Dynamic Analysis ◽  
Interest Rates ◽  
Static Analysis ◽  
Term Structure ◽  
Yield Curve ◽  
Empirical Support ◽  
Safe Haven ◽  
The Exchange Rate

AbstractThis study examines the connectedness between the US yield curve components (i.e., level, slope, and curvature), exchange rates, and the historical volatility of the exchange rates of the main safe-haven fiat currencies (Canada, Switzerland, EURO, Japan, and the UK) and the leading cryptocurrency, the Bitcoin. Results of the static analysis show that the level and slope of the yield curve are net transmitters of shocks to both the exchange rate and its volatility. The exchange rate of the Euro and the volatility of the Euro and the Canadian dollar exchange rate are net transmitters of shocks. Meanwhile, the curvature of the yield curve and the Japanese Yen, Swiss Franc, and British Pound act mainly as net receivers. Our static connectedness analysis shows that Bitcoin is mainly independent of shocks from the yield curve’s level, slope, and curvature, and from any main currency investigated. These findings hint that Bitcoin might provide hedging benefits. However, similar to the static analysis, our dynamic analysis shows that during different periods and particularly in stressful times, Bitcoin is far from being isolated from other currencies or the yield curve components. The dynamic analysis allows us to observe Bitcoin’s connectedness in times of stress. Evidence supporting this contention is the substantially increased connectedness due to policy shocks, political uncertainty, and systemic crisis, implying no empirical support for Bitcoin’s safe-haven property during stress times. The increased connectedness in the dynamic analysis compared with the static approach implies that in normal times and especially in stressful times, Bitcoin has the property of a diversifier. The results may have important implications for investors and policymakers regarding their risk monitoring and their assets allocation and investment strategies.

scholarly journals Exchange Rates and Prices: Evidence from the 2015 Swiss Franc Appreciation

2021 ◽  
Author(s):  
Raphael Auer ◽  
Ariel T. Burstein ◽  
Sarah Lein
Keyword(s):  
Exchange Rates ◽  
Swiss Franc

Oil, Exchange Rate, and Dollar Index as Safe Haven in The Period Before and During Covid-19 Pandemic: Examination in Indonesian Capital Market

2021 ◽  
Vol 30 (1) ◽  
pp. 12-25
Author(s):  
Bio Labora Adiputri ◽  
Robiyanto Robiyanto
Keyword(s):  
Exchange Rate ◽  
Exchange Rates ◽  
Capital Market ◽  
Safe Haven ◽  
Analysis Technique

Safe haven is an asset sought by investors, especially when market turmoil occurs. This study aimed to test the role of oil, exchange rate, and Dollar Index as safe havens for the Indonesian capital market in the period before and during the COVID-19 pandemic. Using QREQ and GARCH analysis technique, this study found that oil and exchange rates can be safe haven in the period before and during the COVID-19 pandemic. While the Dollar Index is only able to be a safe haven during COVID-19 pandemic. The results in this study can be considered by investors to choose safe haven instruments.

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