Equities
Researcher models business cycle using ‘animal spirits’
San Francisco Fed paper incorporates ‘equity sentiment shock’ into model
High reserves and low yields force central banks to focus on returns – survey
Equities become more important in reserve portfolios, accounting for 90% of returns in 2017
Central banks still value diversification, say reserve managers
Rise in US yields does not outweigh the benefits of forex diversification, say delegates attending Nalm Americas
China opens onshore market to foreign investors
MSCI adds Chinese shares to its emerging markets index for the first time
ZLB increases equities-oil correlation – St Louis Fed research
The assets were uncorrelated until late 2008, when Fed took federal funds rate to zero
Official reserve management in the 21st century
A lack of operational clarity and reluctance to view reserve portfolios holistically have prevented optimal, rules-based approaches to reserve management becoming commonplace. BlackRock‘s Terrence Keeley, Stuart Jarvis and Michael Palframan explain how…
Norway’s pension fund suffers volatile first quarter
Fund loses $21 billion amid market gyrations but real estate proves its worth
Short-selling behaviour can cause financial instability – Sarb report
Short-selling of Capitec Bank stock could have caused financial instability, Sarb says, but quick action stemmed crisis
SNB loses $6.9 billion in Q1
Higher interest rates reduced the value of sovereign bonds
Rising rates seen as main risk by reserve managers
High asset prices and the halting and withdrawal of bond-buying programmes pose challenges
Synchronisation of global house prices poses new risks – IMF
Macro-prudential housing policies may be affected by global movements, researchers say
Powell strikes cautiously upbeat note in first policy press conference
Federal Open Market Committee shifts economic forecasts up marginally
Bank of Israel profits from rising equities – market operations director
Andrew Abir says Israeli central bank has benefited from rising US equities
Re-pricing of assets could dampen global recovery, RBA deputy warns
Debelle says equities may be mispriced and says interest rates show “puzzling” features
Return of volatility helps shatter market illusions – BIS’s Borio
Quarterly review focuses on recent market gyrations; researchers outline new early warning indicators for financial stress
Neural network learns ‘universal model’ for stock-price moves
Relationships between order flow and price “are stable through time, and across stocks and sectors”
Norwegian sovereign wealth fund says 2017 saw third-highest annual returns
NBIM says returns from holdings in oil and gas companies lag those of other sectors
Researchers develop new index to measure geopolitical risk
Heightened threats slow growth and equities returns in advanced economies, paper finds
Reserve manager of the year: Bank of Korea
The South Korean central bank has revamped its reserve operations, and adopted a proactive approach to managing risks and returns that is matched by few of its peers
Central banks mull securities lending as response to low yields
Institutions are proving more willing to experiment as conservatism threatens to erode their reserves
Implementing a holistic and dynamic risk budget
The National Bank of Denmark has implemented a dynamic risk budget that takes the bank’s unavoidable policy risks as the point of departure. The new approach has led to a reassessment of investment exposures and how they are rebalanced over time and…
Singapore and Malaysia to set up stock market link
The two markets have a combined market capitalisation of more than $1.2 trillion and 1,600 publicly listed companies
Plunging shares may be another sign of economic strength
The sell-off may be a reaction to stronger economic indicators and expectations of a hawkish Fed, say analysts
Banks not necessarily more opaque than other firms – BIS paper
Study compares stock returns of those with insider knowledge against the wider market