Have U.S. Treasuries Lost Their Momentum? Evidence From a New Taxonomy of Safe Assets
Working Paper Series no. 1049. This paper proposes a new empirical taxonomy of safe assets based on their safe-haven behavior during periods of global risk aversion. Our multi-criteria framework captures the persistent performance of bond securities, currencies, and alternative assets during episodes of acute risk-off sentiment, allowing us to construct a cross-asset ranking of safe-haven behavior by asset characteristics: global safe assets, credit-sensitive assets, and emerging assets. We find that sovereign bonds issued by G10 economies, including U.S. Treasuries, consistently exhibit the strongest safe-haven behavior. A limited set of corporate bond markets displays partial safe-asset characteristics, while gold is the only alternative asset that consistently scores highly across our safe-haven criteria, particularly during periods of geopolitical risk. We further show that U.S. Treasuries have exhibited weaker safe-haven properties since the pandemic, although this reflects a broader reconfiguration of global safe-asset hedging properties rather than a uniquely U.S. decline. We find that weaker safe-haven properties are associated with higher inflation, debt levels and scarcity of available assets.
Figure 1. Safe-Haven Ranking of U.S. Treasuries and the U.S. Dollar on a 5-Year Rolling Window
Non-Technical Summary
Safe assets play a fundamental role in the global financial system because they are expected to preserve their value during periods of economic and financial stress. For many decades, U.S. Treasury securities have been considered the global benchmark safe asset. However, recent events, including the COVID-19 crisis and subsequent episodes of market turbulence, have raised questions about whether U.S. Treasuries still provide the same degree of protection during periods of heightened uncertainty. In this paper, we investigate whether these developments are specific to U.S. Treasuries or whether they reflect broader changes in the behavior of safe assets more generally.
We examine a wide range of financial instruments, including government and corporate bonds, major currencies, and alternative assets such as gold and Bitcoin. Using over two decades of data, we evaluate how these assets behave during episodes of acute risk aversion and develop a framework to compare their safe-haven characteristics. Our analysis identifies distinct groups of assets with different levels of resilience during market stress. We find that U.S. Treasuries remain among the most robust safe assets, alongside the sovereign bonds of several advanced economies. We also show that some corporate bond markets exhibit characteristics similar to those of traditional safe assets. Among currencies, the U.S. dollar, Japanese yen, and Swiss franc emerge as the most reliable safe-haven currencies, while gold appears particularly effective during periods of geopolitical tension.
We further analyze how the safe-haven properties of assets have evolved over time. Our results indicate that U.S. Treasuries have recently become less effective as safe havens relative to other traditionally safe assets. However, this decline is not unique to the United States; it reflects a broader weakening in safe-haven behavior across several asset classes. In contrast, the U.S. dollar continues to hold its dominant position as the leading safe-haven currency (Figure 1). We argue that these changes are associated with factors such as higher inflation, rising public debt, and reduced asset availability associated with central bank purchases. Overall, our findings contribute to a better understanding of how safe assets are evolving in a changing global financial environment.
Keywords: Safe Assets, Safe-Haven, U.S. Treasuries, Asset Pricing, Risk Aversion.
Codes JEL : F31, E44, G01, G12, G15
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Updated on the 25th of June 2026