Currency Risk and the Safe-haven Hypothesis
Atlantic Economic Journal
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.
Copyright © 2000, International Atlantic Economic Society
Kluwer Academic Publishers
Doroodian, Khosrow and Caporale, Tony, "Currency Risk and the Safe-haven Hypothesis" (2000). Economics and Finance Faculty Publications. 52.