Title

Currency Risk and the Safe-haven Hypothesis

Document Type

Article

Publication Date

6-2000

Publication Source

Atlantic Economic Journal

Abstract

It has been argued that the dollar's role as a safe currency may affect its value over and above what can be justified fundamentally. This view stresses the role of the dollar as a safe-haven currency whose demand increases during periods of uncertainty. Applying a generalized autoregressive conditional heteroskedasticity framework to data on four bilateral exchange rates versus the dollar, the results show that uncertainty strengthens the dollar.

Inclusive pages

186–195

ISBN/ISSN

0197-4254

Comments

Permission documentation is on file.

Publisher

Kluwer Academic Publishers

Volume

28

Issue

2

Peer Reviewed

yes