EconPapers    
Economics at your fingertips  
 

Towards greater diversification in central bank reserves

Marie Brière (), Valérie Mignon (), Kim Oosterlinck and Ariane Szafarz
Additional contact information
Marie Brière: Amundi, 91 Boulevard Pasteur

Journal of Asset Management, 2016, vol. 17, issue 4, 295-312

Abstract: Abstract This article compares the performance of various diversification strategies regarding foreign exchange reserves. The aim is to provide central banks with guidelines in portfolio allocation. We pay particular attention to the situation of upward pressures on US interest rates by implementing our analysis over both the whole 1986–2015 period and a rising rate subsample. Relying on geometric tests of mean-variance efficiency, we show that introducing currencies weakly correlated to the USD (AUD and CAD) significantly reduces portfolio risk. Expected return is improved through mortgage-backed securities, corporate bonds and equities.

Keywords: foreign exchange reserves; diversification; asset allocation (search for similar items in EconPapers)
Date: 2016
References: View references in EconPapers View complete reference list from CitEc
Citations: Track citations by RSS feed

Downloads: (external link)
http://link.springer.com/10.1057/jam.2016.14 Abstract (text/html)
Access to the full text of the articles in this series is restricted.

Related works:
Working Paper: Towards greater diversification in central bank reserves (2016)
Working Paper: Towards Greater Diversification in Central Bank Reserves (2016)
Working Paper: Towards Greater Diversification in Central Bank Reserves (2015) Downloads
Working Paper: Towards Greater Diversification in Central Bank Reserves (2015) Downloads
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:pal:assmgt:v:17:y:2016:i:4:d:10.1057_jam.2016.14

Ordering information: This journal article can be ordered from
http://www.springer.com/finance/journal/41260

Access Statistics for this article

Journal of Asset Management is currently edited by Marielle de Jong and Dan diBartolomeo

More articles in Journal of Asset Management from Palgrave Macmillan
Bibliographic data for series maintained by Sonal Shukla ().

 
Page updated 2019-08-25
Handle: RePEc:pal:assmgt:v:17:y:2016:i:4:d:10.1057_jam.2016.14