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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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