Towards Greater Diversification in Central Bank Reserves

Marie Brière, Valérie Mignon (), Kim Oosterlinck and Ariane Szafarz

Working Papers from HAL

Abstract: This paper 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 U.S. 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: 2015
Note: View the original document on HAL open archive server: https://hal.science/hal-04141383
References: View references in EconPapers View complete reference list from CitEc
Citations:

Downloads: (external link)
https://hal.science/hal-04141383/document (application/pdf)

Related works:
Journal Article: 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 (2016)
Working Paper: Towards Greater Diversification in Central Bank Reserves (2015)
Working Paper: Towards Greater Diversification in Central Bank Reserves (2015)
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:hal:wpaper:hal-04141383

Access Statistics for this paper

More papers in Working Papers from HAL
Bibliographic data for series maintained by CCSD ().