In this empirical note, we test whether the U. S. dollar increases in value during times of uncertainty. Our test of this "safe-haven" hypothesis is based on an ARMA-GJR-GARCH-M model for the currencies of twenty-two selected Africa countries. We examine the period from January 1980 to May 2004. Our empirical results support the safe-haven hypothesis for Botswana, Central African Republic, South Africa, Zimbabwe, Burundi and Burkina Faso six countries only.
The Indian Journal of Economics 87(345), pp.283-298