" Asset Prices and Macroeconomic Outcomes: A Survey," " Asset prices and macroeconomic outcomes: A survey,"Ģ017-76, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University. Journal of Empirical Finance, Elsevier, vol. " On financial risk and the safe haven characteristics of Swiss franc exchange rates," Grisse, Christian & Nitschka, Thomas, 2015.International Review of Economics & Finance, Elsevier, vol. " Co-movements among major European exchange rates: A multivariate time-varying asymmetric approach," Tamakoshi, Go & Hamori, Shigeyuki, 2014.Bacchetta, Philippe & van Wincoop, Eric, 2004.ġ0245, National Bureau of Economic Research, Inc.Philippe Bacchetta & Eric van Wincoop, 2004.Ġ4.01, Swiss National Bank, Study Center Gerzensee." A Scapegoat Model of Exchange Rate Fluctuations,"Ĭahiers de Recherches Economiques du Département d'économieĠ4.01, Université de Lausanne, Faculté des HEC, Département d’économie. Philippe BACCHETTA & Eric VAN WINCOOP, 2004.Journal of Finance, American Finance Association, vol. " The Share of Systematic Variation in Bilateral Exchange Rates," Swiss Journal of Economics and Statistics (SJES), Swiss Society of Economics and Statistics (SSES), vol.
" A Strange Animal? The Swiss Franc Exchange Rate as a "Captured" Random Walk," Gallen, School of Economics and Political Science, Swiss Institute for International Economics and Applied Economics Research, vol. " The historical origins of the safe haven status of the Swiss franc:,"Īussenwirtschaft, University of St.
Qt5fc508pt, Department of Economics, UC Santa Cruz. Qt5fc508pt, Center for International Economics, UC Santa Cruz.
#Swiss frank exchange rates series#
Santa Cruz Center for International Economics, Working Paper Series Cheung, Yin-Wong & Chinn, Menzie & Garcia Pascual, Antonio, 2003.Qt12z9x4c5, Department of Economics, UC Santa Cruz. Santa Cruz Department of Economics, Working Paper Series Cheung, Yin-Wong & Chinn, Menzie David & Garcia Pascual, Antonio, 2003.Chinn & Antonio Garcia-Pascual, 2005.ġ22005, Hong Kong Institute for Monetary Research. " Empirical Exchange Rate Models of the Nineties: Are Any Fit to Survive?,"ĩ393, National Bureau of Economic Research, Inc. Furthermore, momentum is present in daily Swiss franc returns, especially before the introduction of the EURCHF minimum exchange rate. Global FX factors had been almost completely reflected in USDCHF dynamics before the euro area debt crisis, but once that crisis began, they also became important for EURCHF. The risk factor contributes the most to Swiss franc dynamics, especially in times of a worsening risk environment, highlighting the role of the Swiss franc as a safe-haven currency. The model captures daily dynamics well, explaining approximately 73% of the variation in USDCHF and 37% of the variation in EURCHF. We apply the model to the Swiss franc exchange rates against the US dollar (USDCHF) and the euro (EURCHF) between 20 and decompose daily dynamics into three global factors: risk, US dollar, and euro. This paper develops an FX factor model to decompose short-term bilateral exchange rate dynamics into different global factors and local uniqueness.
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