Safe Haven Assets and Investor Behavior Under Uncertainty

Dirk Baur () and Thomas McDermott ()

No 173, Working Paper Series from Finance Discipline Group, UTS Business School, University of Technology, Sydney

Abstract: We study two different safe haven assets, US government bonds and gold, and examine how the price changes of these assets can be used to infer investor behavior under uncertainty. We find that investors are ambiguity-averse, that is they buy gold when faced with extreme uncertainty about the state of the economy or the financial system and when they receive ambiguous signals. In contrast, investors buy US government bonds when faced with extreme but unambiguous signals.

Keywords: safe haven; uncertainty; gold; bonds; Ellsberg decision rule; black swan event (search for similar items in EconPapers)
JEL-codes: D03 D81 G01 G11 (search for similar items in EconPapers)
Pages: 58
Date: 2012-08-01
New Economics Papers: this item is included in nep-upt
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (10)

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Working Paper: Safe Haven Assets and Investor Behaviour Under Uncertainty (2012)
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