The defining characteristic of a safe haven investment is that it protects your principal. In return for that protection, investors accept lower yields than on assets with comparable cash flow, which is what the academic literature calls a “convenience yield.” Recent papers—including Du et al. (2018)—have documented the erosion of this convenience yield for the U.S. In this blog, I revisit this question and expand their analysis to other advanced economies, to see where the convenience yield is becoming more pronounced. Switzerland is emerging as a key safe haven, though the small size of its government bond markets ... (full story)