Global uncertainty and potential shelters: gold, bitcoin, and currencies as weak and strong safe havens for main world stock markets
Ewa Feder-Sempach,
Piotr Szczepocki,
Joanna Bogołębska
Abstract:This article investigates five safe-haven asset responses from 2014 to 2022, including the unprecedented COVID-19 crisis, Russian invasion of Ukraine, and sharp US interest rate increases of 2015 and 2022. We apply the unique approach of the multivariate factor stochastic volatility (MSV) model, which is extremely efficient for financial market analysis and allows us to conduct dynamic factor analysis of safe-haven relationships that cannot be observed directly. The research sample consists of five prospective… Show more
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