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

Han Yan and Heejoon Han
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Han Yan: Sungkyunkwan University
Heejoon Han: Sungkyunkwan University

East Asian Economic Review, 2026, vol. 30, issue 3, 395-435

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.

Keywords: Safe-Haven Assets; Tail Risk; Quantile-Based Methods; Bitcoin; Japanese Yen (search for similar items in EconPapers)
JEL-codes: C58 G01 G15 (search for similar items in EconPapers)
Date: 2026
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Persistent link: https://EconPapers.repec.org/RePEc:ris:eaerev:023656

DOI: 10.11644/KIEP.EAER.2026.30.3.470

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