Jäggi, Adrian; Schlegel, Martin; Zanetti, Attilio - In: Swiss Journal of Economics and Statistics 155 (2019) 5, pp. 1-21
We study the reaction of the CHF and JPY to macroeconomic surprises and changes in the broader market environment before and during the crisis using high-frequency data. Results show that the CHF and JPY are traditionally more sensitive to macroeconomic surprises than other currencies,...
