QE reduces bonds’ safe haven properties – BdF paper
Safety is becoming ‘increasingly fragmented’ across asset classes, researchers say
Large-scale purchases of assets by central banks reduce the safe-haven behaviour of sovereign bonds, new research from the Banque de France (BdF) shows.
In a paper published on June 25, BdF economists Valentin Burban, Pavel Diev, Gilles Dufrénot and Nelson Mongeaud examine the safety of sovereign bonds from the Group of 10 nations, the countries’ currencies and some commercial bonds, as well as some emerging market sovereign bonds.
They find that when the share of government debt held by the US
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