When it comes to havens among currencies, the yen is the safest of them all, according to a correlation analysis by Goldman Sachs Group Inc. economists.
Japan’s currency aligns most closely against corresponding moves in global risk assets in the past decade, Goldman economists led by Kevin Daly wrote in a report on Monday. They compared daily and monthly fluctuations for a basket of 28 global, floating, developed and developing market currencies across two five-year periods from 2007 to 2011 and 2012 to 2016. The yen showed the most consistent negative correlation to global stocks, U.S. oil prices and 10-year U.S. Treasury yields.