Is Gold a Safe Haven Asset? A Revisit

This study contributes to re-examining gold as a safe haven asset in 16 international markets, and compares its function with government bonds over the past 20 years. The extremal quantile regression model by Chernozhukov (2005) and Chernozhukov and Fernandez-Val (2011) is applied. The empirical analysis outcomes do not support gold as safe haven asset except in the United States at the 0.05 quantile level. Government bonds can be a better alternative as a safe haven asset, especially in Australia, Germany, Russia, Singapore, South Korea, and the United States. At extremal 0.001 quantile level, neither gold nor government bonds can be qualified as a safe haven asset