全球智库信息集成服务系统(G2TT): Asset Class Diversification and Delegation of Responsibilities between Central Banks and Sovereign Wealth Funds

G2TT

来源类型	Working Paper
规范类型	报告
DOI	10.3386/w16392
来源ID	Working Paper 16392
	Asset Class Diversification and Delegation of Responsibilities between Central Banks and Sovereign Wealth Funds
	Joshua Aizenman; Reuven Glick
发表日期	2010-09-23
出版年	2010
语种	英语
摘要	This paper presents a model comparing the degree of asset class diversification abroad by a central bank and a sovereign wealth fund. We show that if the central bank manages its foreign asset holdings in order to meet balance of payments needs, particularly in reducing the probability of sudden stops in foreign capital inflows, it will place a high weight on holding safer foreign assets. In contrast, if the sovereign wealth fund, acting on behalf of the Treasury, maximizes the expected utility of a representative domestic agent, it will opt for relatively greater holding of more risky foreign assets. We also show how the diversification differences between the strategies of the bank and SWF are affected by the government's delegation of responsibilities and by various parameters of the economy, such as the volatility of equity returns and the total amount of public foreign assets available for management.
主题	Macroeconomics ; Monetary Policy ; International Economics ; Trade ; International Finance
URL	https://www.nber.org/papers/w16392
来源智库	National Bureau of Economic Research (United States)
引用统计
资源类型	智库出版物
条目标识符	http://119.78.100.153/handle/2XGU8XDN/574067
推荐引用方式 GB/T 7714	Joshua Aizenman,Reuven Glick. Asset Class Diversification and Delegation of Responsibilities between Central Banks and Sovereign Wealth Funds. 2010.

条目包含的文件
文件名称/大小	资源类型	版本类型	开放类型	使用许可
w16392.pdf（172KB）	智库出版物		限制开放	CC BY-NC-SA	浏览