ナカタ ハヤト
中田 勇人 所属 経済学部 経済学科 職種 教授 |
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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. |