Journal of Asset Management

, Volume 17, Issue 4, pp 295–312

Towards greater diversification in central bank reserves

  • Marie Brière
  • Valérie Mignon
  • Kim Oosterlinck
  • Ariane Szafarz
Original Article

DOI: 10.1057/jam.2016.14

Cite this article as:
Brière, M., Mignon, V., Oosterlinck, K. et al. J Asset Manag (2016) 17: 295. doi:10.1057/jam.2016.14
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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 

Copyright information

© Palgrave Macmillan, a division of Macmillan Publishers Ltd 2016

Authors and Affiliations

  • Marie Brière
    • 1
  • Valérie Mignon
  • Kim Oosterlinck
  • Ariane Szafarz
  1. 1.Amundi, 91 Boulevard PasteurParisFrance

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