Yen, the japanese currency, is the safe haven, or better, is the safest of them all, according to a correlation analysis by Goldman Sachs Group Inc. economists. Goldman economists, led by Kevin Daly, compared daily and monthly fluctuations for a basket of 28 market currencies across two five-year periods from 2007 to 2011 and 2012 to 2016. The yen showed the most consistent negative correlation to global stocks, U.S. oil prices and 10-year U.S. Treasury yields.
“The yen is the most ‘safe-haven’ of ‘safe-haven’ currencies, with the Swiss franc and U.S. dollar vying for second place,” the Goldman analysis found. “At the other end of the spectrum, a number of different emerging-market currencies vie for the title of most ‘risk-on’ currency. These correlations appear relatively stable over time, with the notable exception of some of the U.S. dollar’s relationships.”
The Swiss franc weakened against other major currencies in the European session on Monday.
The Swiss franc fell to a 13-month low of 1.1015 against the euro and a 5-day low of 0.9669 against the US dollar, from early highs of 1.0976 and 0.9629, respectively.
Against the yen, the franc dropped to 118.10 from an early 1-1/2-year high of 118.60.
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