Macroeconomic surprises, market environment, and safe-haven currencies
Abstract We study the reaction of the CHF and JPY to macroeconomic surprises and changes in the broader market environment before and during the crisis using high-frequency data. Results show that the CHF and JPY are traditionally more sensitive to macroeconomic surprises than other currencies, refl...
| Main Authors: | , , |
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| Format: | Article |
| Language: | English |
| Published: |
SpringerOpen
2019-05-01
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| Series: | Swiss Journal of Economics and Statistics |
| Subjects: | |
| Online Access: | http://link.springer.com/article/10.1186/s41937-019-0031-9 |