Geopolitical Risk Escalation and Traditional Safe-Haven Assets: The Dynamic Performance and Linkage Mechanisms of Gold, US Dollar, Japanese Yen, and Swiss Franc

This paper proposes and tests a “time-varying safe-haven hierarchy” theory by analyzing the market data during recent major geopolitical risk events. Using 20-day rolling correlations, event studies and narrative analysis, we show that the relative attractiveness of gold, the US dollar, the Japanese yen and the Swiss franc rotates predictably across crisis phases. During acute shocks, the dollar captures the liquidity panic premium, whereas gold dominates as the stalemate lengthens. Swiss-franc appreciation is actively managed by the central bank, while the yen repeatedly fails as a haven because of energy-linked macro vulnerabilities. Policy interventions act as exogenous shocks that instantaneously rewire cross-asset linkages. The findings offer phase-dependent allocation and hedging prescriptions for investors and highlight the market-impact implications of official FX operations for policymakers. High-frequency data and cross-case replication document a consistent leadership cycle: initial liquidity flight into the USD, transitional co-demand for USD and gold at peak panic, and protracted gold supremacy once energy-inflation risks dominate. Rolling correlations reveal the CHF as a “managed haven” instantly decoupled from gold whenever the SNB intervenes, while the JPY’s theoretical status is invalidated by oil-price shocks and current-account pressures. Despite differing systemic scope, both crises exhibit identical hierarchical sequencing, validating the dynamic framework and supplying investors with actionable, phase-contingent allocation rules while warning policymakers that FX operations can abruptly rewrite global correlation risk.