Coudert, Virginie; Guillaumin, Cyriac; Raymond, Hélene - Centre d'études prospectives et d'informations … - 2014
We define “safe haven currencies” as those able to yield positive excess returns during crises and show that they are likely to have negative risk premia on the long-run. We try to identify them empirically by considering a sample of 26 currencies from advanced and emerging countries over a...