A Safe Haven Index

doi:10.1016/j.frl.2025.107922

2025-07-19

PRE

Dirk G. Baur

Thomas Dimpfl *

Javier Pena

DOI：10.1016/j.frl.2025.107922

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摘要

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• 基于关键安全避风港资产引入安全避风港指数（SHI）。 • SHI是安全避风港资产的时间变化第一主成分。 • SHI在崩盘期间上升，证实其在下行期的保护作用。 • SHI解释了安全避风港资产约50%的方差，显示出强烈的共同性。 • SHI揭示了金融危机期间安全避风港资产角色的体制转变。

Keyword:

C43

C58

G01

G11

G12

Gold

Government bonds

Safe haven

Index

Financial crises

期刊

Finance Research Letters

IF:

6.9

论文数:

9.1K

被引数:

2.8W

机构

Institute of Financial Management

学者数:

论文数: 2

被引数: 0

Institute of Financial Management and Computational Science Hub

学者数:

论文数: 2

被引数: 0

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