“…Danthine and Danthine (2017) maintain that long-run, Swiss-based, international investors benefit from the secular appreciation tendency of the Swiss currency, and this more than compensates for the traditional under-performance of Swiss-denominated asset returns. Lee (2017) applies Markov regime-switching vector autoregressive models to test whether six important currencies (Swiss Franc, Japanese Yen, British Pound, Euro, Canadian Dollar, and Norwegian Krone) are negatively related to risky assets (and whether this negative relation is stronger during "crisis" periods) and concludes that only the Swiss Franc and the Japanese Yen qualify as strong "safe havens". Chan et al (2018) rely on a bivariate regime-switching model and find that the Swiss Franc, the U$ Dollar, and the Japanese Yen have positive co-skewness (i.e., they appreciate when stock markets become more volatile), thus providing protection against stock markets turbulences.…”