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

Valentin Burban, Pavel Diev, Gilles Dufrénot and Nelson Mongeaud

Working papers from Banque de France

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.

Keywords: Safe Assets; Safe-Haven; U.S. Treasuries; Asset Pricing; Risk Aversion. (search for similar items in EconPapers)
JEL-codes: E44 F31 G01 G12 G15 (search for similar items in EconPapers)
Pages: 54 pages
Date: 2026
New Economics Papers: this item is included in nep-ifn and nep-mac
References: Add references at CitEc
Citations:

Downloads: (external link)
https://www.banque-france.fr/system/files/2026-06/WP1049.pdf

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:bfr:banfra:1049

Access Statistics for this paper

More papers in Working papers from Banque de France Banque de France 31 Rue Croix des Petits Champs LABOLOG - 49-1404 75049 PARIS. Contact information at EDIRC.
Bibliographic data for series maintained by Michael brassart ().