Time-Variant Safe Haven Currencies

This study investigates the temporal variation in the safe haven status of the Japanese yen, Swiss franc, and U.S. dollar. Investors prefer to purchase a safe haven currency (SHC) in times of high exchange rate volatility, parametrized herein with time-variant degrees of risk aversion. Until the global financial crisis, the U.S. dollar was likely an SHC and the Swiss franc an SHC during the crisis. The Japanese yen later emerged as an SHC and retained safe haven status during the COVID-19 pandemic. The findings suggest that investor risk aversion is affected by national economic policies and socio-political events