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...
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Online Access: | http://link.springer.com/article/10.1186/s41937-019-0031-9 |
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doaj-79494db409654d34aedd7af1b7229aee2020-11-25T03:08:49ZengSpringerOpenSwiss Journal of Economics and Statistics2235-62822019-05-01155112110.1186/s41937-019-0031-9Macroeconomic surprises, market environment, and safe-haven currenciesAdrian Jäggi0Martin Schlegel1Attilio Zanetti2University of St. Gallen, Department of EconomicsAlternate Member of the Governing Board, Swiss National BankEconomic Analysis Unit, Swiss National Bank, and University of BaselAbstract 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, reflecting the fact that macroeconomic surprises impact uncertainty and risk aversion. This link was further magnified during the crisis and could not be broken by the specific measures adopted by monetary authorities to limit the appreciation trend. We also find some evidence that, during the crisis, CHF and JPY responded more strongly to surprises generating an appreciation than to surprises leading to a depreciation. Additionally, both currencies also systematically respond to changes in the general market environment. This result is robust to the use of two measures of the market environment: VIX and on a novel index based on Bloomberg wires.http://link.springer.com/article/10.1186/s41937-019-0031-9Safe-haven currenciesSwiss francYenMacroeconomic surprisesRisk |
collection |
DOAJ |
language |
English |
format |
Article |
sources |
DOAJ |
author |
Adrian Jäggi Martin Schlegel Attilio Zanetti |
spellingShingle |
Adrian Jäggi Martin Schlegel Attilio Zanetti Macroeconomic surprises, market environment, and safe-haven currencies Swiss Journal of Economics and Statistics Safe-haven currencies Swiss franc Yen Macroeconomic surprises Risk |
author_facet |
Adrian Jäggi Martin Schlegel Attilio Zanetti |
author_sort |
Adrian Jäggi |
title |
Macroeconomic surprises, market environment, and safe-haven currencies |
title_short |
Macroeconomic surprises, market environment, and safe-haven currencies |
title_full |
Macroeconomic surprises, market environment, and safe-haven currencies |
title_fullStr |
Macroeconomic surprises, market environment, and safe-haven currencies |
title_full_unstemmed |
Macroeconomic surprises, market environment, and safe-haven currencies |
title_sort |
macroeconomic surprises, market environment, and safe-haven currencies |
publisher |
SpringerOpen |
series |
Swiss Journal of Economics and Statistics |
issn |
2235-6282 |
publishDate |
2019-05-01 |
description |
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, reflecting the fact that macroeconomic surprises impact uncertainty and risk aversion. This link was further magnified during the crisis and could not be broken by the specific measures adopted by monetary authorities to limit the appreciation trend. We also find some evidence that, during the crisis, CHF and JPY responded more strongly to surprises generating an appreciation than to surprises leading to a depreciation. Additionally, both currencies also systematically respond to changes in the general market environment. This result is robust to the use of two measures of the market environment: VIX and on a novel index based on Bloomberg wires. |
topic |
Safe-haven currencies Swiss franc Yen Macroeconomic surprises Risk |
url |
http://link.springer.com/article/10.1186/s41937-019-0031-9 |
work_keys_str_mv |
AT adrianjaggi macroeconomicsurprisesmarketenvironmentandsafehavencurrencies AT martinschlegel macroeconomicsurprisesmarketenvironmentandsafehavencurrencies AT attiliozanetti macroeconomicsurprisesmarketenvironmentandsafehavencurrencies |
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1724664022425403392 |