Work

Safe-haven currencies under rare disaster risk: A pre-registered report

Year: 2025

Type: article

Abstract: This pre-registered report explores the safe-haven properties of sovereign currencies under the threat of rare disaster risk. Specifically, it addresses two research questions: First, how can the safe-haven properties of sovereign currencies be measured from the perspective of rare disasters? Second, what measures can be taken to enhance these safe-haven properties? To investigate these questions, we employ multivariate GARCHSK and IC-GARCHSK models to conduct both static and dynamic assessments of currency safe-haven properties. We also examine the determinants of these properties using a Logit model. This report extends the theoretical framework for identifying and measuring safe-haven currencies and offers insights into developing sovereign currencies as reliable safe-haven assets.

Source: Pacific-Basin Finance Journal

DOI: 10.1016/j.pacfin.2025.102901

Authors: Xiaowei Huang, Zhuoshi Zhang, Li Du

Institution: University of International Business and Economics

Language: English

Topic: Financial Risk and Volatility Modeling

Subfield: Finance

Field: Economics, Econometrics and Finance

Domain: Social Sciences

Open Access status: hybrid

Estimated APC paid: $3,090

Funders: National Natural Science Foundation of China, Ministry of Education of the People's Republic of China