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Is There a Global Safe Haven?

Listed author(s):
  • Maurizio Michael Habib
  • Livio Stracca

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.

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Article provided by Wiley Blackwell in its journal International Finance.

Volume (Year): 18 (2015)
Issue (Month): 3 (December)
Pages: 281-298

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Handle: RePEc:bla:intfin:v:18:y:2015:i:3:p:281-298
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