COVID-19 and the safe haven role of US dollar
: a threshold regression analysis

  • Felice d´Esposito (Student)

Student thesis: Master's Thesis


The ongoing COVID-19 pandemic has shaken the global financial system and caused great turmoil. Facing unprecedented risks in the markets, people have increasing needs to find a safe haven for their investments. Given that the nature of this crisis is a combination of multiple problems, it is substantially different from all other financial crises known to us. It is therefore urgent to re-evaluate the role of traditional safe haven candidates. The aim of this thesis is to test the hypothesis that the United States Dollar represents a safe haven against stocks of all developed countries during COVID-19 pandemic. I implement a threshold regression model to capture the non-linear linkages between safe haven assets and global stock markets, which is largely documented in the recent literature. Indeed, my empirical approach allows me to distinguish between a low- and high-stress regime, and to control for the impact of carry trade reversals. According to the estimation results, the US dollar acted as a strong safe haven during COVID-19 pandemic, experiencing no significant influence of carry trade dynamics. My results, paired with those of previous research on the haven-linked US dollar, further suggest that the safe haven role of a given asset may be sensitive to changes over time and across markets.
Date of Award28 Jun 2021
Original languageEnglish
Awarding Institution
  • Universidade Católica Portuguesa
SupervisorEva Schliephake (Supervisor)


  • COVID-19
  • Threshold model
  • US dollar
  • Safe haven
  • Carry trade


  • Mestrado em Economia

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