Instrumenty safe haven – porównanie między globalnym kryzysem finansowym a pande- mią COVID-19

During the Global Financial Crisis (GFC) of 2008 and the COVID-19 pandemic, financial markets have e touched their lowest levels. This paper tried to compare the performance of safe haven assets during the Global Financial Crisis and the COVID-19 pandemic in such countries as Germany, Great Britain,...

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Bibliographic Details
Published inEkonometria : zastosowania metod ilościowych Vol. 25; no. 4; pp. 1 - 16
Main Author Siemaszkiewicz, Karolina
Format Journal Article
LanguageEnglish
Published Wydawnictwo Uniwersytetu Ekonomicznego we Wrocławiu 2021
The Publishing House of the Wrocław University of Economics
Subjects
Financial Markets
gold
Global Financial Crisis
COVID19 pandemic
safe haven instruments
dynamic correlation
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Summary:During the Global Financial Crisis (GFC) of 2008 and the COVID-19 pandemic, financial markets have e touched their lowest levels. This paper tried to compare the performance of safe haven assets during the Global Financial Crisis and the COVID-19 pandemic in such countries as Germany, Great Britain, France, Spain, Italy, and Poland. The author investigated the dynamic relations between gold, silver, the US Dollar Index, the Swiss Franc Index, soybean commodity futures and corn commodity futures. The study estimated the DCC or CCC models to compare the dynamic relation between the above-mentioned stock markets and financial instruments. The results showed that only gold could protect investors from stock market losses during both crises. During the GFC, gold, the USD Index, the Swiss Franc Index in almost all the considered countries could be identified as safe haven instruments. Surprisingly, the Swiss Franc Index acted as a safe haven instrument during the GFC but not during the COVID-19 pandemic.
ISSN:1507-3866
2449-9994