BAML on the US dollar
Bank of America Merrill Lynch FX Strategy Research notes that as political risks build, the question of appropriate «safe-haven» currencies has come to the fore.
Using a market-based approach, BofAML analyzes both aggregate level measures of safe haven properties, as well as sensitivities to idiosyncratic risk.
«We highlight three key points: 1) the USD no longer displays dominant «safe-haven» behavior unless the risk-off is driven by China or Korea concerns; 2) the JPY comes closest to being a «safe haven»(relative to other currencies) across country risk factors, excluding Korea; 3) the CNH has been benefiting (albeit modestly) upon a rise in aggregate risk premium, as well as idiosyncratic Korea risk,» BofAML argues.
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