Intra-Safe Haven Currency Behavior During the Global Financial Crisis*

We investigate intra-safe haven currency behavior during the recent global financial crisis. The currencies we consider are the USD, the JPY, the CHF, the EUR, the GBP, the SEK, and the CAD. We first assess which safe haven currency appreciates the most as market uncertainty increases, i.e. we assess which safe haven currency is the “safest”. We then use non-temporal threshold analysis to investigate whether intra-safe haven currency behavior changes, e.g. accelerates or decelerates, as market uncertainty increases. We find that the JPY is the “safest ” of safe haven currencies and that only the JPY appreciates as market uncertainty increases regardless of the prevailing level of uncertainty. For all other currencies under study we find significant market uncertainty threshold effects. We extend our analysis to also consider intra-safe haven currency behavior before and after the global financial crisis