Swiss paper shows macro impacts on two safe-haven currencies
Authors surprised to find no significant impact on franc or yen stemming from euro crisis
Both the Swiss franc and the yen are susceptible to macroeconomic shocks, a paper published by the Swiss National Bank has shown, highlighting both safe-haven currencies were more likely to "respond more strongly" to surprises generating an appreciation than to surprises leading to a depreciation.
Using five-minute returns for the franc and the yen over a 13-year period, encompassing the post-2007 crisis, the authors of Macroeconomic surprises, market environment and safe-haven currencies show
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