2013年-IMF国际货币组织全球_Survey_of_Reserve_Managers_Lessons_from_the_Crisis_34页_1mb

Summary of the IMF Working Paper: Survey of Reserve Managers: Lessons from the Crisis

Core Content

This paper presents the findings of a survey conducted by the IMF in April 2012, aimed at understanding how reserve managers across IMF member countries have responded to the financial crisis and how they approach strategic asset allocation and risk management. The survey was distributed to 156 central banks, with a response rate of 43%, covering countries responsible for about half of global GDP and one third of international reserves. The findings highlight the challenges faced by reserve managers, their responses to these challenges, and the implications for global financial stability.

Main Findings

Crisis Response

• Credit and Liquidity Risks: The majority of reserve managers (80.6%) reported experiencing credit risk concerns, while liquidity issues were also significant (50.7%).
• Asset Reallocations: Seven out of ten reserve managers changed their asset allocation. This included reducing commercial bank deposits (about half) and unguaranteed bonds (35%).
• Reduction in Long-Term Bonds: Reserve managers also reduced holdings of longer-term high-quality (AAA) bonds, which, in hindsight, may have been costly due to falling interest rates.
• Signaling Effects: Half of the respondents considered the signaling effects of their actions on the markets, especially during the crisis.
• Procyclicality Concerns: Over half of the reserve managers indicated they would consider altering practices to reduce procyclicality, with European central banks being particularly interested in this.
• Gold as a Hedge: Low-income countries (LICs) showed a higher preference for gold as a hedge against risk, though this may be driven by backward-looking motives.

Strategic Asset Allocation

• Currency Composition: About half of the respondents (holding $2200 billion in reserves) are considering adjusting the currency composition of their reserves. Some are shifting towards non-traditional reserve currencies such as AUD and CAD.
• Investment in EMC Currencies: Middle-income countries (MICs) and some advanced countries (ACs) are considering investing in EMC currencies, especially the Renminbi (RMB).
• Tranching: More than four-fifths of respondents use tranching strategies, with MICs and LICs more likely to do so than ACs.
• Duration Targeting: Half of the reserve managers use return targets to determine the duration of their portfolios, which may lead to procyclical behavior in low-interest environments.
• Flow Liabilities: Few reserve managers take flow liabilities into account when setting duration targets, despite their long-term nature.

Risk Management, Benchmarks, and Rebalancing

• Equity Exposure: A surprising number of reserve managers (14.3%) have increased exposure to equity markets.
• Credit Risk Management: Credit risk systems are still heavily reliant on credit ratings. 80% of asset reallocations were triggered by rating downgrades.
• Rating Cutoffs: A single 'A' rating is the most common cut-off for credit risk. MICs are more conservative in this regard.
• Rebalancing Practices: Nearly half of the respondents rebalance their portfolios when they deviate from a benchmark. However, rebalancing is often done at low frequencies.
• Active Management of Interest Rate Risk: Active management of interest rate risk is widespread, especially among ACs, while currency risk management is less active.
• Forced Selling: Downgrades can lead to forced selling, reducing diversification and increasing concentration in portfolios.

Key Themes

• Procyclicality: Reserve managers have contributed to procyclical behavior, especially by reducing exposure to high-risk assets during crises.
• Diversification and Hedging: There is a growing focus on diversification and the use of hedging instruments to mitigate risk.
• Coordination: MICs and LICs are open to coordination in reserve management, either between central banks or through international organizations.
• Gold and Safe-Haven Assets: Gold is increasingly used as a hedge, but its use may be based on historical trends rather than tail risk.
• Market Efficiency: Reserve managers believe that active management is necessary due to market inefficiencies and the need for better intelligence for policy decisions.

Respondents Profile

• Sample Characteristics: The survey included 67 central banks from 156 IMF member countries, with an average reserve holding of $66 billion.
• Country Distribution: The sample was relatively evenly distributed among advanced countries (ACs), middle and other high-income countries (MICs), and low-income countries (LICs).
• Response Rate: The response rate was higher in Europe, with 42% of respondents from the region.
• Reserve Levels: About a third of respondents considered the level of reserves as a concern, while 25% of ACs and 47.4% of LICs did so.

Conclusion

The paper emphasizes the need for reserve managers to consider the broader implications of their actions on financial stability, particularly in terms of procyclicality. It also highlights the importance of improving risk management frameworks, diversifying reserve holdings, and exploring alternative investment strategies to address the challenges posed by the financial crisis. The findings suggest that while some progress has been made in risk management, more work is needed to ensure that reserve management practices are more resilient and less prone to exacerbating market cycles.