Swiss Franc - Overview

Defining a crisis

• Timeframe:
• Early 1970s-2020
• Using different variables to find periods of crisis
• PMI
• Unemployment rate
• S&P 500 Index
• Data sources:
• FRED (Excel add-in)
• Quandl（Excel add-in）
• Yahoo Finance

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Criteria defining a Crisis

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• PMI
• 50 and lower quartile point
• S&P 500 Index
• m-o-m percentage change below 6%
• Decrease period
• Unemployment Rate
• Rate increase period

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Based on PMI

Green = Significant appreciation

Red = Significant Depreciation

Based on S&P 500

Crash of Bretton-Woods

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Black Monday

Dot com bubble

Great Recession

S&P 500 Performance Dashboard

Blue = Significant appreciation

Red = Significant Depreciation

Crisis Periods

From S&P 500 perspective, crises happened in:

- 1974 Q2 - 1974 Q4 due to crash of Bretton Woods

- 1987 Q4 due to Black Monday

- Dot com bubble between 2000 Aug. to 2002 Sept

- 2008 Financial Crisis (2007/09-2009/02).

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CHF/USD Performance during Crisis

Relationship between crises and CHF/USD performance

CHF/USD to S&P 500 Dashboard

Blue = Significant appreciation

Red = Significant Depreciation

Analysis

According to S&P 500 Index Data, there are 4 crises (mentioned in dashboard before). Comparing it with CHF/USD, we can conclude that the exchange rates appreciate during times of crisis.

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Range of appreciation during each crisis:

- Crash of Bretton Woods (1974 Q2-1975 Q1) : up to +5.36%

- Black Monday (1987 Q4): +7.46%

- Dot Com Bubble (2000 Aug. to 2002 Sept): +4.34% to +5.40%

- Great Recession (2007/09-2009/02): +4.33% to +7.05%

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Based on Unemployment Rate

international oil crisis

second oil crisis

3-years recession

early 2000s recession

global financial crisis

Conclusion

• Swiss Franc tends to appreciate during financial stress and times of uncertainty and is a safe haven for investors during turbulent financial times

Thank you