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dc.contributor.authorAizenman, Joshuaen_US
dc.contributor.authorGlick, Reuvenen_US
dc.date.accessioned2010-11-16en_US
dc.date.accessioned2012-09-21T11:55:39Z-
dc.date.available2012-09-21T11:55:39Z-
dc.date.issued2010en_US
dc.identifier.urihttp://hdl.handle.net/10419/64107-
dc.description.abstractThis paper presents a model comparing the optimal 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 is 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.en_US
dc.language.isoengen_US
dc.publisherSanta Cruz Inst. for International Economics Santa Cruz, Calif.en_US
dc.relation.ispartofseriesWorking Papers, Santa Cruz Institute for International Economics 10-14en_US
dc.subject.jelE52en_US
dc.subject.jelE58en_US
dc.subject.jelF15en_US
dc.subject.jelF30en_US
dc.subject.ddc330en_US
dc.subject.keywordsovereign wealth fundsen_US
dc.subject.keywordcapital flowsen_US
dc.subject.keywordforeign exchange reservesen_US
dc.subject.keywordfinancial marketsen_US
dc.subject.keywordgovernanceen_US
dc.subject.stwInvestmentfondsen_US
dc.subject.stwPortfolio-Managementen_US
dc.subject.stwZentralbanken_US
dc.subject.stwWährungsreservenen_US
dc.subject.stwKapitalmobilitäten_US
dc.subject.stwZahlungsbilanzgleichgewichten_US
dc.subject.stwTheorieen_US
dc.titleAsset class diversification and delegation of responsibilities between central banks and sovereign wealth fundsen_US
dc.typeWorking Paperen_US
dc.identifier.ppn639652891en_US
dc.rightshttp://www.econstor.eu/dspace/Nutzungsbedingungenen_US
Appears in Collections:Working Papers, Santa Cruz Institute for International Economics, UC Santa Cruz

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