Towards Greater Diversification in Central Bank Reserves - Archive ouverte HAL
Pré-Publication, Document De Travail Année : 2015

Towards Greater Diversification in Central Bank Reserves

Marie Brière
  • Fonction : Auteur
Valérie Mignon
  • Fonction : Auteur
  • PersonId : 1016632
Kim Oosterlinck
  • Fonction : Auteur
Ariane Szafarz
  • Fonction : Auteur

Résumé

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.
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Dates et versions

hal-04141383 , version 1 (26-06-2023)

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  • HAL Id : hal-04141383 , version 1

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Marie Brière, Valérie Mignon, Kim Oosterlinck, Ariane Szafarz. Towards Greater Diversification in Central Bank Reserves. 2015. ⟨hal-04141383⟩
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