the Swiss franc since the inception of this lower bound. Being a prime example of a safe haven currency, the Swiss franc … appreciation pressure on the Swiss currency at the lower bound. We conclude that the Swiss franc lower bound helps stabilizing the … value of the Swiss currency. …

This paper examines co-movements and volatility spillovers in the returns of the euro, the British pound, the Swiss … franc and the Japanese yen vis-à-vis the US dollar before and after the introduction of the euro. Based on dynamic … mark) is the dominant currency in volatility transmission with a net volatility spillover of 8% (15%) to all other markets …

considerable return shortfalls over the long run and that systematic currency hedging would not have been historically justified … and is unlikely to be in the future. Assuming a fair amount of currency risk thus appears inevitable for long-run Swiss …

On 6 September 2011, a ceiling on the value of the Swiss franc was imposed, at CHF 1.2 per euro. With the continuous … weakness of the euro area economy, this exchange rate limit was abandoned on 15 January 2015. This paper proposes a quasi …

Starting from the stylized fact that the Swiss franc is a safe haven currency, this paper focuses on the determinants … Swiss National Bank would prevent the Swiss franc from appreciating beyond 1.20 to the euro muted the sensitivity of EUR …

proxies for market volatility and liquidity. We document that the (Swiss) franc and Japanese yen appreciate against the US …We study high-frequency exchange rates over 1993-2008. Based on the recent literature on volatility and liquidity risk … dollar when US stock prices decrease and US bond prices and FX volatility increase. These safe haven properties materialise …

Currency portfolios exhibit asymmetric correlations: during periods of bear, volatile world equity markets, currency … currency characteristics. This paper also illustrates how the presence of regime shifts in financial markets affects optimal … portfolio choice across currency portfolios: during bear markets, investors are better off by unwinding carry trade positions …

Currency portfolios exhibit asymmetric correlations: during periods of bear, volatile world equity markets, currency … currency characteristics. This paper also illustrates how the presence of regime shifts in financial markets affects optimal … portfolio choice across currency portfolios: during bear markets, investors are better off by unwinding carry trade positions …