Statistiche › Valute e commodities › 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 |
| Yen giapponese | 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.
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