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“Traditionally, the JPY and the CHF are the choice safe haven currencies,” Rabobank analysts note.

Key quotes

“We have argued many times that on paper the CHF is the best safe haven. However, the SNB maintains FX intervention as a monetary policy tool and this has in recent years meant that the JPY became the choice of many investors. By contrast, the USD does not have a straightforward association with the status of safe haven due to the US’s dual current account and budget deficits.”

“That said, the sheer liquidity associated with the USD means that for some investors the USD will always be a store of value. The USD’s attraction has been amplified this year by the progressive tightening of monetary tightening by the Federal Reserve. The USD has been the primary recipient of EM outflows this years that have been triggered by fear of the impact of trade wars, a weakening CNY in addition to higher USD funding costs.”

“Despite its traditional safe haven status, CFTC speculators’ data suggest that by contrast JPY shorts are growing. We see risk of further EM outflows into the USD in the coming months and forecast USD/JPY edging towards 113 by year end.”