Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/239140 
Authors: 
Year of Publication: 
2020
Citation: 
[Journal:] Journal of Risk and Financial Management [ISSN:] 1911-8074 [Volume:] 13 [Issue:] 3 [Publisher:] MDPI [Place:] Basel [Year:] 2020 [Pages:] 1-22
Publisher: 
MDPI, Basel
Abstract: 
This paper focuses on three "safe haven" assets (gold, oil, and the Swiss Franc) and examines the impact of recent financial crises and some macroeconomic variables on their return co-movements during the last two decades. All financial crises produced significant increases in conditional correlations between these asset returns, thus revealing consistent portfolio shifts from more traditional towards safer financial instruments during turbulent periods. The world equity risk premium stands out as the most relevant macroeconomic variable affecting return co-movements, while economic policy uncertainty indicators also exerted significant effects. Overall, this evidence points out that gold, oil, and the Swiss currency played an important role in global investors' portfolio allocation choices, and that these assets preserved their essential "safe haven" properties during the period examined.
Subjects: 
gold price
oil price
safe-haven assets
Swiss Franc exchange rate
Persistent Identifier of the first edition: 
Creative Commons License: 
cc-by Logo
Document Type: 
Article

Files in This Item:
File
Size
883.33 kB





Items in EconStor are protected by copyright, with all rights reserved, unless otherwise indicated.