Safe Haven Assets and Investor Behavior Under Uncertainty
|Author(s):||Dirk G. Baur and Thomas K.J. McDermott|
|Date of publication:||August 2012|
|Working paper number:||173|
We study two different safe haven assets, US government bonds and gold, and examine how the price changes of these assets can be used to infer investor behavior under uncertainty. We find that investors are ambiguity-averse, that is they buy gold when faced with extreme uncertainty about the state of the economy or the financial system and when they receive ambiguous signals. In contrast, investors buy US government bonds when faced with extreme but unambiguous signals.
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Baur, D. G., 2015, "Is the Price of Gold Manipulated?", Working Paper.
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