Gold as a safe haven asset? Empirical evidence from a comparison of different financial assets

Franco Panfili (), Francesco Daini (), Francesco Potente () and Giuseppe Reale ()
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Franco Panfili: Bank of Italy
Francesco Daini: Bank of Italy
Francesco Potente: Bank of Italy
Giuseppe Reale: Bank of Italy

No 277, Questioni di Economia e Finanza (Occasional Papers) from Bank of Italy, Economic Research and International Relations Area

Abstract: This work verifies the safe haven property of gold during market turmoil. Gold is also compared with other potential safe haven assets (Bunds and US Treasuries). The empirical analysis confirms the role of gold as a safe haven, especially ahead of shocks related to euro-government-bond markets with higher credit risk premiums. These results prove the essential role of gold in the balance sheet of Eurosystem central banks.

Keywords: gold; safe haven; financial markets; uncertainty (search for similar items in EconPapers)
JEL-codes: G10 G11 G14 G15 (search for similar items in EconPapers)
Date: 2015-06
New Economics Papers: this item is included in nep-rmg
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Persistent link: https://EconPapers.repec.org/RePEc:bdi:opques:qef_277_15

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