ナカタ　ハヤト   中田　勇人    所属   経済学部 経済学科    職種   教授
言語種別	英語
発行・発表の年月	2024/06
形態種別	学術雑誌
査読	査読あり
標題	Time-variant safe haven currencies
執筆形態	共著
掲載誌名	International Review of Economics and Finance
掲載区分	国外
出版社・発行元	Elsevier
巻・号・頁	93,pp.316-328
総ページ数	13
著者・共著者	Ayano Sato, Hayato Nakata, Jay Percy
概要	This study investigates the temporal variation in the safe haven status of the Japanese yen, Swiss franc, and U.S. dollar, using a rolling GARCH-in-mean model. Until the global financial crisis, the U.S. dollar was likely a safe haven currency, while the Swiss franc has been one since the crisis. The Japanese yen later emerged as a safe haven and retained its status during the U.S.–China trade friction and the COVID-19 pandemic. The findings suggest that national economic policies, market liquidity, and socio-political events affect safe haven status.