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RESEARCH PAPER
Precious Metals or Currencies? Which Perform Better as Hedge and Safe-Haven Assets Against the Polish Capital Market in Times of Elevated Risk?
1
Department of Statistical Methods, University of Lodz, Poland
2
Department of International Economics, University of Lodz, Poland
Submission date: 2025-02-27
Final revision date: 2025-06-26
Acceptance date: 2025-07-21
Publication date: 2026-06-30
GNPJE 2026;326(2):1-21
KEYWORDS
JEL CLASSIFICATION CODES
ABSTRACT
This paper investigates the diversification properties of precious metals and international currencies as potential hedge and safe-haven assets for investors trading on the Polish capital market from 2007 to 2023. We apply two statistical models: the Multivariate Factor Stochastic Volatility (MFSV) model and a regression model with dummy variables, in which the residual term is modelled as a GARCH process. The results indicate that international currencies are generally more effective than precious metals in mitigating portfolio risk on the Polish capital market. Hedge properties are observed for all analysed currencies, whereas safe-haven properties are identified only for the British pound and the Swiss franc. Among precious metals, only platinum exhibits safe-haven characteristics, while gold appears to provide the strongest hedging properties against stock portfolios. In the case of bond portfolios, gold and silver offer both hedge and safe-haven benefits. Overall, precious metals are better diversifiers for Polish bond investors, while currencies are better for stock investors on average. The results of quarterly data analysis show that both precious metals and currencies can serve as safe-haven assets during periods of market turmoil. However, the safe-haven properties of the analysed assets were stronger during the Global Financial Crisis period and weaker during the Russia-Ukraine war.
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