Have U.S. Treasuries Lost Their Momentum? Evidence From a New Taxonomy of Safe Assets
Working Paper Series no. 1049. Is the departure of US Treasuries from conventional safe-haven behavior a US-specific phenomenon, or part of a broader reconfiguration of safe-asset markets? To answer this question, we develop a new empirical taxonomy of safe haven behavior, applied to a broad cross-section of sovereign and corporate bonds, currencies, and alternative assets over 2003-2026. US Treasuries rank among the strongest safe haven assets over the full sample, alongside a small set of other G10 sovereign bonds. However, we document a structural break since the pandemic: nominal and real rates US Treasuries now exhibit markedly weaker safe haven properties, both in absolute terms and relative to other global safe assets. This deterioration is not unique to the United States but reflects a broader pattern also affecting other advanced-economy sovereign bonds, and is associated with high inflation, elevated public debt, and changing debt investor-composition. By contrast, the US dollar retains its dominant safe haven status, pointing to a growing divergence between the safe haven properties of US Treasuries and those of the US dollar.
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, US 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 US Treasuries still provide the same degree of protection during periods of heightened uncertainty. In this paper, we investigate whether these developments are specific to US 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 US 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 US 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 US 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 US 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 changing debt investor-composition. 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 28th of October 2026