"Safe-Haven Assets, Financial Crises and Macroeconomic Variables: Evidence from the Last Two Decades (2000-2018)"

This paper focuses on three “safe-haven” assets (gold, oil and the Swiss Franc) and examines the impact of recent financial crises and some macroeconomic variables on their returns comovements during the last two decades. All financial crises produced significant increases in conditional correlations between these asset returns, thus revealing consistent portfolio shifts from more traditional towards safer financial instruments during turbulent periods. The world equity risk premium stands out as the most relevant macrovariable affecting returns comovements, while also economic policy uncertainty indicators exerted significant effects. Overall, this evidence points out that gold, oil and the Swiss currency played an important role in global investors’ portfolio allocation choices, and that these assets preserved their essential “safe-haven” properties during the period examined.