**Marco Tronzano**

Department of Economics, School of Social Sciences, University of Genoa, Via Vivaldi 5, 16126 Genoa, Italy; m.tronzano@mclink.it or tronzano.marco@gmail.com; Tel.: +39-10-2095226

Received: 14 January 2020; Accepted: 23 February 2020; Published: 28 February 2020

**Abstract:** This paper focuses on three "safe haven" assets (gold, oil, and the Swiss Franc) and examines the impact of recent financial crises and some macroeconomic variables on their return co-movements during the last two decades. All financial crises produced significant increases in conditional correlations between these asset returns, thus revealing consistent portfolio shifts from more traditional towards safer financial instruments during turbulent periods. The world equity risk premium stands out as the most relevant macroeconomic variable affecting return co-movements, while economic policy uncertainty indicators also exerted significant effects. Overall, this evidence points out that gold, oil, and the Swiss currency played an important role in global investors' portfolio allocation choices, and that these assets preserved their essential "safe haven" properties during the period examined.

**Keywords:** safe-haven assets; gold price; Swiss Franc exchange rate; oil price

**JEL Classification:** C22; G15
