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Safe Haven Instruments – A Comparison Between the Global Financial Crisis and the Covid-19 Pandemic

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  • Siemaszkiewicz Karolina

    (Poznan University of Economics and Business, Poznan, Poland, Department of Applied Mathematics)

Abstract

During the Global Financial Crisis (GFC) of 2008 and the COVID-19 pandemic, financial markets have e touched their lowest levels. This paper tried to compare the performance of safe haven assets during the Global Financial Crisis and the COVID-19 pandemic in such countries as Germany, Great Britain, France, Spain, Italy, and Poland. The author investigated the dynamic relations between gold, silver, the US Dollar Index, the Swiss Franc Index, soybean commodity futures and corn commodity futures. The study estimated the DCC or CCC models to compare the dynamic relation between the above-mentioned stock markets and financial instruments. The results showed that only gold could protect investors from stock market losses during both crises. During the GFC, gold, the USD Index, the Swiss Franc Index in almost all the considered countries could be identified as safe haven instruments. Surprisingly, the Swiss Franc Index acted as a safe haven instrument during the GFC but not during the COVID-19 pandemic.

Suggested Citation

  • Siemaszkiewicz Karolina, 2021. "Safe Haven Instruments – A Comparison Between the Global Financial Crisis and the Covid-19 Pandemic," Econometrics. Advances in Applied Data Analysis, Sciendo, vol. 25(4), pages 1-16, December.
    • Handle: RePEc:vrs:eaiada:v:25:y:2021:i:4:p:1-16:n:3
    DOI: 10.15611/eada.2021.4.01
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    References listed on IDEAS

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    More about this item

    Keywords

    safe haven instruments; Global Financial Crisis; COVID-19 pandemic; gold; dynamic correlation;
    All these keywords.

    JEL classification:

    • C10 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - General
    • C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
    • C58 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Financial Econometrics
    • C6 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling
    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions

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