Safe-haven currencies under rare disaster risk: A pre-registered report

This pre-registered report explores the safe-haven properties of sovereign currencies under the threat of rare disaster risk. Specifically, it addresses two research questions: First, how can the safe-haven properties of sovereign currencies be measured from the perspective of rare disasters? Second, what measures can be taken to enhance these safe-haven properties? To investigate these questions, we employ multivariate GARCHSK and IC-GARCHSK models to conduct both static and dynamic assessments of currency safe-haven properties. We also examine the determinants of these properties using a Logit model. This report extends the theoretical framework for identifying and measuring safe-haven currencies and offers insights into developing sovereign currencies as reliable safe-haven assets. • This pre-registered report tries to explore how to measure and enhance the safe-haven properties of sovereign currencies under rare disaster risk by using multivariate GARCHSK and IC-GARCHSK models to identify currency safe-haven properties, and the Logit model to investigate the influential factors. • Specifically, this report addresses two research questions: First, how can the safe-haven properties of sovereign currencies be measured from the perspective of rare disasters? Second, what measures can be taken to enhance these safe-haven properties? • This report extends the theoretical framework for identifying and measuring safe-haven currencies and offers insights into developing sovereign currencies as reliable safe-haven assets.