Finance Discipline Group
UTS Business School
University of Technology, Sydney

Working Paper Series

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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Known citations:

Baur, D. G., 2015, "Is the Price of Gold Manipulated?", Working Paper.

Ghazali, M. F, Lean, H. and Bahari, Z., 2015, "Is Gold a HedGe or a Safe Haven? An EmpIrIcal EvIdence of Gold and Stocks in MalaysIa", Working Paper.

Hossfeld, O. and MacDonald, R., 2014, "Carry Funding and Safe Haven Currencies: A Threshold Regression Approach", Working Paper.