Towards greater diversification in central bank reserves

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

Journal of Asset Management, 2016, vol. 17, issue 4, No 7, 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
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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)
Working Paper: Towards Greater Diversification in Central Bank Reserves (2015)
Working Paper: Towards Greater Diversification in Central Bank Reserves (2015)
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DOI: 10.1057/jam.2016.14

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