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Is There a Global Safe Haven?

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  • Maurizio Michael Habib
  • Livio Stracca

Abstract

type="main" xml:lang="en"> In this paper we search for global safe-haven assets by analysing the impact of crisis episodes and risk shocks on the behaviour of foreign investors and selected asset prices and yields. We regress de-trended net purchases by foreign investors of debt instruments issued in safe and liquid financial markets on estimated global risk-aversion shocks and crisis episodes identified by both quantitative and qualitative means. On the price side, we also look at changes in long-term government bond yields and the appreciation of the effective exchange rate conditional on risk shocks. We find that US short-term debt – in particular government debt – is the best, though still imperfect, example of a global safe-haven asset. In the majority of cases we find that foreign investors head for the exit.

Suggested Citation

  • Maurizio Michael Habib & Livio Stracca, 2015. "Is There a Global Safe Haven?," International Finance, Wiley Blackwell, vol. 18(3), pages 281-298, December.
    • Handle: RePEc:bla:intfin:v:18:y:2015:i:3:p:281-298
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    Cited by:

    1. Georgiadis, Georgios & Müller, Gernot J. & Schumann, Ben, 2024. "Global risk and the dollar," Journal of Monetary Economics, Elsevier, vol. 144(C).
    2. Bouri, Elie & Gupta, Rangan & Majumdar, Anandamayee & Subramaniam, Sowmya, 2021. "Time-varying risk aversion and forecastability of the US term structure of interest rates," Finance Research Letters, Elsevier, vol. 42(C).
    3. Kaczmarek, Tomasz & Będowska-Sójka, Barbara & Grobelny, Przemysław & Perez, Katarzyna, 2022. "False Safe Haven Assets: Evidence From the Target Volatility Strategy Based on Recurrent Neural Network," Research in International Business and Finance, Elsevier, vol. 60(C).
    4. Gupta, Rangan & Subramaniam, Sowmya & Bouri, Elie & Ji, Qiang, 2021. "Infectious disease-related uncertainty and the safe-haven characteristic of US treasury securities," International Review of Economics & Finance, Elsevier, vol. 71(C), pages 289-298.
    5. Cepni, Oguzhan & Gupta, Rangan & Karahan, Cenk C. & Lucey, Brian, 2022. "Oil price shocks and yield curve dynamics in emerging markets," International Review of Economics & Finance, Elsevier, vol. 80(C), pages 613-623.
    6. Balcilar, Mehmet & Gupta, Rangan & Wang, Shixuan & Wohar, Mark E., 2020. "Oil price uncertainty and movements in the US government bond risk premia," The North American Journal of Economics and Finance, Elsevier, vol. 52(C).
    7. Dai, Zhifeng & Kang, Jie, 2021. "Bond yield and crude oil prices predictability," Energy Economics, Elsevier, vol. 97(C).
    8. Oguzhan Cepni & Rangan Gupta & Mark E. Wohar, 2019. "Variants of Consumption-Wealth Ratios and Predictability of U.S. Government Bond Risk Premia: Old is still Gold," Working Papers 201912, University of Pretoria, Department of Economics.
    9. Nazlioglu, Saban & Gupta, Rangan & Bouri, Elie, 2020. "Movements in international bond markets: The role of oil prices," International Review of Economics & Finance, Elsevier, vol. 68(C), pages 47-58.
    10. Çepni, Oğguzhan & Demirer, Riza & Gupta, Rangan & Pierdzioch, Christian, 2020. "Time-varying risk aversion and the predictability of bond premia," Finance Research Letters, Elsevier, vol. 34(C).
    11. Jarociński, Marek, 2022. "Central bank information effects and transatlantic spillovers," Journal of International Economics, Elsevier, vol. 139(C).
    12. Semei Coronado & Rangan Gupta & Saban Nazlioglu & Omar Rojas, 2023. "Time‐varying causality between bond and oil markets of the United States: Evidence from over one and half centuries of data," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 28(3), pages 2239-2247, July.
    13. Qadan, Mahmoud & Shuval, Kerem & David, Or, 2023. "Uncertainty about interest rates and the real economy," The North American Journal of Economics and Finance, Elsevier, vol. 68(C).
    14. Graziano, Marco & Habib, Maurizio Michael, 2024. "Mutual funds and safe government bonds: do returns matter?," Working Paper Series 2931, European Central Bank.
    15. Hampl, Filip & Vágnerová Linnertová, Dagmar & Horváth, Matúš, 2024. "Crypto havens during war times? Evidence from the Russian invasion of Ukraine," The North American Journal of Economics and Finance, Elsevier, vol. 71(C).
    16. Oğuzhan Çepni & Rangan Gupta & Mark E. Wohar, 2021. "Variants of consumption‐wealth ratios and predictability of U.S. government bond risk premia," International Review of Finance, International Review of Finance Ltd., vol. 21(2), pages 661-674, June.
    17. Bouri, Elie & Demirer, Riza & Gupta, Rangan & Wohar, Mark E., 2021. "Gold, platinum and the predictability of bond risk premia," Finance Research Letters, Elsevier, vol. 38(C).
    18. Elie Bouri & Rangan Gupta & Clement Kweku Kyei & Sowmya Subramaniam, 2020. "High-Frequency Movements of the Term Structure of Interest Rates of the United States: The Role of Oil Market Uncertainty," Working Papers 202085, University of Pretoria, Department of Economics.
    19. Çepni, Oğuzhan & Guney, I. Ethem & Gupta, Rangan & Wohar, Mark E., 2020. "The role of an aligned investor sentiment index in predicting bond risk premia of the U.S," Journal of Financial Markets, Elsevier, vol. 51(C).

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