Coudert, Virginie; RAYMOND, Helene; Guillaumin, Cyriac - EconomiX, Université Paris Ouest-Nanterre la Défense … - 2014
We define “safe haven currencies” as those able to yield positive excess returns during crises and show that they are likely to have negative risk premia on the long-run. We try to identify them empirically by considering a sample of 26 currencies from advanced and emerging countries over a...