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Verifying and Ranking Safe-Haven Assets under Different Sources of Shocks: Evidence from a Quantile-Based Triple-Check Framework

Author

Listed:
  • Han Yan

    (Sungkyunkwan University)

  • Heejoon Han

    (Sungkyunkwan University)

Abstract

This paper examines the safe-haven properties of the Japanese yen (JPY), Bitcoin (BTC), gold, and the 10-year U.S. Treasury (UST10Y) under comparable tail-risk conditions. We integrate Granger causality in risk, a VAR-for-VaR model, and the cross-quantilogram into a quantile-based “triple-check” framework to jointly assess risk spillovers, dynamic tail-risk transmission, and contemporaneous tail dependence. Our contribution lies in integrating these three existing tools into a unified, definition-aligned, and structured triangulation exercise for classifying and ranking safe-haven assets. Using daily data from 2012 to 2025, we consider three sources of market stress: equity market downturns (S&P 500), volatility spikes (VIX), and surges in economic policy uncertainty (EPU). The results show that safe-haven performance is shock-specific and timing-specific. Gold consistently exhibits the strongest safe-haven properties across stress scenarios, while the Japanese yen provides limited and context-dependent protection, and Bitcoin displays only weak or conditional safe-haven behavior and never ranks as the most reliable safe-haven. The 10-year Treasury provides strong contemporaneous protection against equity downturns but only weak or conditional protection otherwise.

Suggested Citation

  • Han Yan & Heejoon Han, 2026. "Verifying and Ranking Safe-Haven Assets under Different Sources of Shocks: Evidence from a Quantile-Based Triple-Check Framework," East Asian Economic Review, Korea Institute for International Economic Policy, vol. 30(3), pages 395-435, September.
    • Handle: RePEc:ris:eaerev:023656
    DOI: 10.11644/KIEP.EAER.2026.30.3.470
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    JEL classification:

    • C58 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Financial Econometrics
    • G01 - Financial Economics - - General - - - Financial Crises
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets

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