Joint research unit 7235

Towards Greater Diversification in Central Bank Reserves

Marie Brière, Kim Oosterlinck, Ariane Szafarz, Valérie Mignon

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.

AGENDA

Monday 23 May 2022

Law, Institutions and Economics in Nanterre (LIEN)

Clara Jean (Grenoble Ecole de Management)

The Value of Your Data: Privacy and Personal Data Exchange Networks

Monday 23 May 2022

Law, Institutions and Economics in Nanterre (LINK)

Clara Jean (Grenoble Ecole de Management)

The Value of Your Data: Privacy and Personal Data Exchange Networks

Monday 30 May 2022

Law, Institutions and Economics in Nanterre (LIEN)

Antoine Dubus (ETH Zurich)

Salle G110

Data Driven Mergers and Acquisitions with Information Synergies

Monday 30 May 2022

Law, Institutions and Economics in Nanterre (LINK)

Antoine Dubus (ETH Zurich)

Salle G110

Data Driven Mergers and Acquisitions with Information Synergies

Tuesday 31 May 2022

Series of Webinars on Economics of Environment, Energy and Transport (SWEEET)

Juan Pablo Montero (PUC)

TBA

Tuesday 31 May 2022

Series of Webinars on Economics of Environment, Energy and Transport (SWEEET)

Juan Pablo Montero (PUC)

TBA

Thursday 9 June 2022

Lunch

Rémi Generoso

TBA

Thursday 9 June 2022

Lunch

Rémi Generoso

TBA

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