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Have U.S. Treasuries Lost Their Momentum? Evidence From a New Taxonomy of Safe Assets

Author

Listed:
  • Valentin Burban
  • Pavel Diev
  • Gilles Dufrénot
  • Nelson Mongeaud

Abstract

This paper proposes a new empirical taxonomy of safe assets based on their safe-haven behavior during periods of global risk aversion. Our multi-criteria framework captures the persistent performance of bond securities, currencies, and alternative assets during episodes of acute risk-off sentiment, allowing us to construct a cross-asset ranking of safe-haven behavior by asset characteristics: global safe assets, credit-sensitive assets, and emerging assets. We find that sovereign bonds issued by G10 economies, including U.S. Treasuries, consistently exhibit the strongest safe-haven behavior. A limited set of corporate bond markets displays partial safe-asset characteristics, while gold is the only alternative asset that consistently scores highly across our safe-haven criteria, particularly during periods of geopolitical risk. We further show that U.S. Treasuries have exhibited weaker safe-haven properties since the pandemic, although this reflects a broader reconfiguration of global safe-asset hedging properties rather than a uniquely U.S. decline. We find that weaker safe-haven properties are associated with higher inflation, debt levels and scarcity of available assets.

Suggested Citation

  • Valentin Burban & Pavel Diev & Gilles Dufrénot & Nelson Mongeaud, 2026. "Have U.S. Treasuries Lost Their Momentum? Evidence From a New Taxonomy of Safe Assets," Working papers 1049, Banque de France.
  • Handle: RePEc:bfr:banfra:1049
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    File URL: https://www.banque-france.fr/system/files/2026-06/WP1049.pdf
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    JEL classification:

    • F31 - International Economics - - International Finance - - - Foreign Exchange
    • E44 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Financial Markets and the Macroeconomy
    • G01 - Financial Economics - - General - - - Financial Crises
    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets

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