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dc.contributor.authorAizenman, Joshuaen
dc.contributor.authorGlick, Reuvenen
dc.date.accessioned2010-11-16-
dc.date.accessioned2012-09-21T11:55:39Z-
dc.date.available2012-09-21T11:55:39Z-
dc.date.issued2010-
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
dc.language.isoengen
dc.publisher|aUniversity of California, Santa Cruz Institute for International Economics (SCIIE) |cSanta Cruz, CAen
dc.relation.ispartofseries|aWorking Paper |x10-14en
dc.subject.jelE52en
dc.subject.jelE58en
dc.subject.jelF15en
dc.subject.jelF30en
dc.subject.ddc330en
dc.subject.keywordsovereign wealth fundsen
dc.subject.keywordcapital flowsen
dc.subject.keywordforeign exchange reservesen
dc.subject.keywordfinancial marketsen
dc.subject.keywordgovernanceen
dc.subject.stwInvestmentfondsen
dc.subject.stwPortfolio-Managementen
dc.subject.stwZentralbanken
dc.subject.stwWährungsreservenen
dc.subject.stwKapitalmobilitäten
dc.subject.stwZahlungsbilanzgleichgewichten
dc.subject.stwTheorieen
dc.titleAsset class diversification and delegation of responsibilities between central banks and sovereign wealth funds-
dc.typeWorking Paperen
dc.identifier.ppn639652891en
dc.rightshttp://www.econstor.eu/dspace/Nutzungsbedingungenen

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