Time-varying safe haven properties of currencies, government bonds and commodities

: the role of economic, institutional and geopolitical concerns

Abstract

This thesis introduces an innovative approach that analyses safe haven assets by integrating news-based indices to capture the influence of economic, institutional, and geopolitical concerns on investor behaviour. Unlike traditional studies that focus solely on macroeconomic fundamentals, this framework accounts for complex and often intangible factors, such as regulatory uncertainty or geopolitical tensions, offering a more comprehensive view of safe haven dynamics. Using data spanning 2000 to 2023, I study the performance of currencies, government bonds, and commodities during crisis periods defined by extreme volatility and returns in global equity and uncertainty indexes. The results reveal that safe haven properties vary significantly depending on the nature of the crisis. Currencies, such as the USD and CHF, consistently outperform during economic and institutional crises, benefiting from institutional stability and significant foreign exchange reserves. Government bonds show context-dependent behaviour, with U.S. Treasuries excelling under economic concerns and German Bunds performing strongly during institutional crises. Commodities, like gold, appear as the preferred safe haven during geopolitical conflicts driven by their tangible value, while silver and platinum remain constrained by their industrial demand. These findings highlight the time-varying nature of safe haven behaviour and provide practical insights for investors and policymakers seeking tailored crisis-period strategies.

Date of Award	3 Feb 2025
Original language	English
Awarding Institution	Universidade Católica Portuguesa
Supervisor	Eva Schliephake (Supervisor)