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Are Gold and Government Bond Safe‐Haven Assets? An Extremal Quantile Regression Analysis
Author(s) -
Liu Weihan
Publication year - 2020
Publication title -
international review of finance
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 0.489
H-Index - 18
eISSN - 1468-2443
pISSN - 1369-412X
DOI - 10.1111/irfi.12232
Subject(s) - quantile regression , market liquidity , quantile , economics , safe haven , government bond , bond , bond market , econometrics , government (linguistics) , financial economics , financial market , monetary economics , finance , philosophy , linguistics
This study reexamines gold and government bonds as potential safe‐haven assets (SHAs) during market turmoil from daily data in 16 international markets over the past 20 years. We apply the extremal quantile regression model by Chernozhukov and Chernozhukov and Fernandez‐Val for empirical investigation. The outcomes indicate that a government bond is more likely to be qualified an active SHA, which can increase in value during market turmoil. Gold can be generally evaluated as a passive SHA, which is uncorrelated with market slumps. However, at the extremal 0.001 quantile level, neither asset can be qualified as a SHA. Since both assets exhibit a similar number of cases of being qualified as SHAs, we cannot significantly differentiate the “flight‐to‐liquidity” and “flight‐to‐quality” hypotheses. In terms of market selection, United States and Singapore are the top two choices while France and Hungary are the least commended markets to invest their local gold market as SHA.