Safe haven in GFC versus COVID-19: 100 turbulent days in the financial markets

Harald Kinateder, Ross Campbell and Tonmoy Choudhury

Finance Research Letters, 2021, vol. 43, issue C

Abstract: In this paper, we use a bivariate Dynamic Conditional Correlation Generalized Autoregressive Conditional Heteroskedasticity model within the world's dominant financial asset classes— represented by sovereign bonds, commodities, and major exchange rates—to characterize the correlation within the major asset classes among the Global Financial Crisis (GFC) and COVID-19’s 100 days. Our results specify a noteworthy degradation of co-relationship within the asset classes dominant in COVID-19 compared to the GFC, especially when the VIX was at its peak, indicating massive fear among investors. We also find that gold, U.S., UK, and German sovereign bonds are a safe option for investors.

Keywords: COVID-19; DCC-GARCH; Exchange rates; Global financial crisis; Gold; Safe haven; Sovereign bonds (search for similar items in EconPapers)
Date: 2021
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Citations: View citations in EconPapers (86)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:finlet:v:43:y:2021:i:c:s1544612321000325

DOI: 10.1016/j.frl.2021.101951

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