Is Gold a Safe Haven in all Currencies?

Abstract

This paper shows that gold’s safe haven property crucially depends on gold’s exchange rate with the respective currency for local investors. A sample of 68 international equity market indices demonstrates that currencies significantly affect the strength of the safe haven effect, enhancing or diminishing the effect. Volatile and “risk-on” currencies boost gold’s safe haven property while “risk-off” currencies weaken the safe haven effect.

Keywords: gold, safe haven, currency hedge, stock markets

JEL Classification: F31, G01, G11, G14