The 2008 global financial crisis and COVID-19 pandemic: How safe are the safe haven assets?

We compare the performance of safe-haven assets during the Global Financial Crisis (GFC) and COVID-19 pandemic. First, regarding the GFC, we find, intermediate (weak) safe haven evidence for US dollar, Swiss franc and T-bonds (Gold, Silver and T-bills). Second, with regard to COVID, we find gold is very risky in some settings, while silver has become extremely risky. Collectively, our findings suggest that the character of safe-haven assets has changed between the crises. Therefore, investors should exercise extreme care when investing in potential safe-haven assets during times of market stress.