Abstract
In this paper, we use the multilateral price approach to eliminate the numéraire effect and then examine whether gold and conventional safe haven currencies can serve as safe haven against crude oil in extreme market conditions. The estimation results show that safe haven currencies outperform gold in terms of the refuge for crude oil during market turmoil. Specifically, the US dollar, the Swiss franc, the euro, and the British pound all present certain degrees of safe haven characteristics for crude oil market. We further explore the safe haven performances of sample assets during three specific oil price crashes, and find that the US dollar and the Swiss franc are the preferable safe havens for crude oil market, while the safe haven property of the British pound and the euro performs significantly different across various crisis periods.
Published Version
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