Intra-safe haven currency behavior during the global financial crisis

•We analyze intra-safe haven currency behavior during the global financial crisis.•We find that the JPY is the “safest” of safe haven currencies.•We find significant market uncertainty thresholds for all currencies except the JPY.•We also consider intra-safe haven currency behavior before and after the crisis.•Our results may have important implications for currency market participants.

We investigate intra-safe haven currency behavior during the recent global financial crisis. We first assess which safe haven currency is the “safest”. We then use non-temporal threshold analysis to investigate whether intra-safe haven currency behavior changes as market uncertainty increases. We find that the JPY is the “safest” of safe haven currencies and that only the JPY appreciates as market uncertainty increases regardless of the prevailing level of uncertainty. Our results may have important implications for central banks optimizing their relative composition of international currency reserve holdings with respect to returns in USD terms and for foreign currency market investors in general.