Abstract
This paper proposes a new approach to identify safe haven assets and to characterize their relationship with the market. We use quantile regression to analyze the returns of potential safe haven assets conditional on all market conditions including periods of financial turmoil. We find a trade-off, i.e., stronger in-crisis performance of safe haven assets is associated with weaker out-crisis performance and vice versa for risky assets. Our analysis confirms the safe haven properties of gold and U.S. government bonds and presents clear differences between safe haven assets and safe assets, and between safe haven assets and risky assets such as Bitcoin.
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