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Gold as a safe haven asset? Empirical evidence from a comparison of different financial assets

Author

Listed:
  • Franco Panfili

    (Bank of Italy)

  • Francesco Daini

    (Bank of Italy)

  • Francesco Potente

    (Bank of Italy)

  • Giuseppe Reale

    (Bank of Italy)

Abstract

This work verifies the safe haven property of gold during market turmoil. Gold is also compared with other potential safe haven assets (Bunds and US Treasuries). The empirical analysis confirms the role of gold as a safe haven, especially ahead of shocks related to euro-government-bond markets with higher credit risk premiums. These results prove the essential role of gold in the balance sheet of Eurosystem central banks.

Suggested Citation

  • Franco Panfili & Francesco Daini & Francesco Potente & Giuseppe Reale, 2015. "Gold as a safe haven asset? Empirical evidence from a comparison of different financial assets," Questioni di Economia e Finanza (Occasional Papers) 277, Bank of Italy, Economic Research and International Relations Area.
    • Handle: RePEc:bdi:opques:qef_277_15
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    File URL: https://www.bancaditalia.it/pubblicazioni/qef/2015-0277/QEF_277.pdf
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    More about this item

    Keywords

    gold; safe haven; financial markets; uncertainty;
    All these keywords.

    JEL classification:

    • G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets

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