A Safe Haven Index

There are several assets that are frequently labelled a safe haven, in particular gold, and, more recently, Bitcoin. This paper proposes a safe haven index to benchmark safe haven assets and identify some stylized facts. The analysis shows that (i) safe haven assets are risky despite their ``safe'' label, (ii) the crisis-specific riskiness is a necessary condition to function as a strong safe haven, and (iii) safe haven asset risk can be diversified. An analysis of the COVID-19 shock in March 2020 reveals that the safe haven index briefly fell with the market contrasting previous crises over the last years.