Statistik › Währungen und Rohstoffe › Safe haven currencies
The franc strengthens most when equities fall, and the dollar is on the wrong side of the trade
| Pair against the dollar | Coefficient | t | Observations |
|---|---|---|---|
| Swiss franc | 0.14 | 11.44 | 2,906 |
| Euro | 0.12 | 9.43 | 2,911 |
| Sterling | 0.06 | 6.91 | 2,937 |
| Japanischer Yen | 0.04 | 2.84 | 2,942 |
Multivariate regressions of daily exchange rate returns on S&P 500 returns, with Treasury note returns, foreign exchange volatility and lags as controls, Newey West standard errors with two lags, 1993 to 2006. Quotes are direct, in units of foreign currency per dollar, so a positive coefficient means the foreign currency strengthens when the S&P falls.
Regressing exchange rates on the S&P 500 over 1993 to 2006 gives the Swiss franc a coefficient of 0.14 with t of 11.44 and the yen only 0.04 with t of 2.84. The dollar depreciates against the franc and the euro in equity selloffs.
Nur für Mitglieder
Der restliche Teil dieser Seite ist für Mitglieder
Below this point there are 6 sections, 1 chart, 1 table and 2 named sources, roughly 650 words of it. Every figure carries the source it came from and the date the data is from.
Sie können weiterhin jede Statistik in der Bibliothek kostenlos durchsehen. Die Einleitung und die Zusammenfassung sind immer offen.