proxies for market volatility and liquidity. We document that the (Swiss) franc and Japanese yen appreciate against the US … crises. The latter effects were particularly discernible for the yen during the recent financial crisis …

Currency portfolios exhibit asymmetric correlations: during periods of bear, volatile world equity markets, currency … currency characteristics. This paper also illustrates how the presence of regime shifts in financial markets affects optimal … portfolio choice across currency portfolios: during bear markets, investors are better off by unwinding carry trade positions …