changes in global risk (VIX). We find that inertia (whether the bond behaved as a safe asset in the past) and good …We study what makes government bonds a safe asset. Building on a sample of monthly changes in government bond yields in … on whether the change in global risk is driven by financial shocks rather than by US monetary policy. …

interest rate environment. Higher risk increases the demand for safe assets, lowering the natural rate of interest below zero …