Goldman says ‘yen world’s safest haven among currencies’

Bloomberg

When it comes to havens among currencies, the yen is the safest of them all, according to a correlation analysis by Goldman Sachs Group Inc. economists.
Japan’s currency aligns most closely against corresponding moves in global risk assets in the past decade, Goldman economists led by Kevin Daly wrote in a report on Monday. They compared daily and monthly fluctuations for a basket of 28 global, floating, developed and developing 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, US oil prices and 10-year US Treasury yields.
“The yen is the most ‘safe-haven’ of ‘safe-haven’ currencies, with the Swiss franc and US 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 US dollar’s relationships.”
For example, the negative correlation between the dollar and oil prices was weaker in the 2012 to 2016 period compared with the first, the economists said. This suggests either the prior relationship between the two was unusually strong immediately after the 2008 financial crisis or it reflects the US’s rising oil self-sufficiency.