A Safe Haven Index

36 Pages Posted: 2 Jul 2020 Last revised: 24 Feb 2021

See all articles by Dirk G. Baur

Dirk G. Baur

University of Western Australia - Business School; Financial Research Network (FIRN)

Thomas Dimpfl

University of Hohenheim

Date Written: February 22, 2021

Abstract

There are several assets that are frequently labelled a safe haven such as gold, U.S. and German government bonds, currencies such as the Swiss franc and the U.S. dollar and, more recently, Bitcoin. This paper proposes a safe haven index to benchmark safe haven assets and identify some stylized facts. The analysis shows that (i) safe haven assets are risky (in general and in crises) despite their "safe" label, (ii) the crisis-specific riskiness is a necessary condition to function as a strong safe haven, and (iii) safe haven asset risk can be diversified. An analysis of the COVID-19 shock in March 2020 reveals that the safe haven index briefly fell with the market contrasting previous crises over the last 40 years.

Keywords: safe haven, volatility, gold, government bonds, Bitcoin, COVID-19, safe assets

JEL Classification: C43, G01, G11, G12, G15

Suggested Citation

Baur, Dirk G. and Dimpfl, Thomas, A Safe Haven Index (February 22, 2021). Available at SSRN: https://ssrn.com/abstract=3641589 or http://dx.doi.org/10.2139/ssrn.3641589

Dirk G. Baur (Contact Author)

University of Western Australia - Business School ( email )

School of Business
35 Stirling Highway
Crawley, Western Australia 6009
Australia

Financial Research Network (FIRN)

C/- University of Queensland Business School
St Lucia, 4071 Brisbane
Queensland
Australia

HOME PAGE: http://www.firn.org.au

Thomas Dimpfl

University of Hohenheim ( email )

Germany

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