Time-variant safe haven currencies

Abstract

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.