Is Thai baht a safe haven currency during the COVID-19 pandemics

Abstract

This paper empirically investigates whether or not Thai Baht (THB) is actually one of the safe haven currencies. Moreover, we also extend analysis to see if its safe haven pattern is persistent during the COVID-19 pandemic. We are not only study for THB, but also take into account other traditional well known safe- haven currencies namely U.S. Dollar (USD), British pound sterling (GBP), Euro (EUR), Swiss Franc (CHF) and Japanese Yen (JPY). By investigating between 2010 - 2019, our results do not support the idea that THB is a safe haven currency. Nevertheless, this paper found that for other well-known traditional currencies, EUR exhibits to be the safest currency among the others followed by CHF and JPY. Because when the return of 10-year US treasury yield decreases and VIX Index and TED spread increase, only EUR exhibits safe haven behavior as the value of EUR is significantly strengthen. Moving to different timeframe, during 2020, the result remains the same for THB that it still does not possess safe haven currency role. In this period, the safest currency turns to be CHF and JPY following by EUR, GBP and THB.