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Europe > Norway

You are looking at 1 - 4 of 4 items for :

  • Type: Journal Issue x
  • Asset-liability management x
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Cover IMF Working Papers
Procyclical Behavior of Institutional Investors During the Recent Financial Crisis: Causes, Impacts, and Challenges
Mr. Michael G. Papaioannou
,
Mr. Joonkyu Park
,
Jukka Pihlman
, and
Han van der Hoorn
This paper (i) provides evidence on the procyclical investment behavior of major institutional investors during the global financial crisis; (ii) identifies the main factors that could account for such behavior; (iii) discusses the implications of procyclical behavior; and (iv) proposes a framework for sound investment practices for long-term investors. Such procyclical investment behavior is understandable and may be considered rational from an individual institution’s perspective. However, our main conclusion is that behaving in a manner consistent with longterm investing would lead to better long-term, risk-adjusted returns and, importantly, could lessen the potential adverse effects of the procyclical investment behavior of institutional investors on global financial stability.
Keywords:
WP; flight to quality; investment behavior; long-term investor; risk tolerance; asset owner; hedge fund; individual investor; investment horizon; sovereign investor; Financial crisis; long-term investments; institutional investors; procyclicality; asset allocation; asset class; endowment fund; Pension spending; Asset allocation; Liquidity; Mutual funds; Global
Cover IMF Working Papers
Sovereign Risk and Asset and Liability Management: Conceptual Issues
Mr. Udaibir S Das
,
Miss Yinqiu Lu
,
Mr. Michael G. Papaioannou
, and
Iva Petrova
Country practices towards managing financial risks on a sovereign balance sheet continue to evolve. Each crisis period, and its legacy on sovereign balance sheets, reaffirms the need for strengthening financial risk management. This paper discusses some salient features embedded in in the current generation of sovereign asset and liability management (SALM) approaches, including objectives, definitions of relevant assets and liabilities, and methodologies used in obtaining optimal SALM outcomes. These elements are used in developing an analytical SALM framework which could become an operational instrument in formulating asset management and debtor liability management strategies at the sovereign level. From a portfolio perspective, the SALM approach could help detect direct and derived sovereign risk exposures. It allows analyzing the financial characteristics of the balance sheet, identifying sources of costs and risks, and quantifying the correlations among these sources of risk. The paper also outlines institutional requirements in implementing an SALM framework and seeks to lay the ground for further policy and analytical work on this topic.
Keywords:
WP; debt; balance sheet; interest rate; sovereign asset and liability management; economic risk; sovereign balance sheet; reserve management; debt management; foreign currency; SALM framework; capital market; balance sheet risk; SALM objective; government balance sheet; SALM approach; cash reserves; Financial statements; Government asset and liability management; Currencies; Government debt management; Africa; Global
Cover IMF Working Papers
Investment Objectives of Sovereign Wealth Funds: A Shifting Paradigm
Iva Petrova
,
Jukka Pihlman
,
Mr. Peter J Kunzel
, and
Miss Yinqiu Lu
While SWF investment objectives to some extent reflect inherent characteristics, notable differences in strategic asset allocation (SAA) exist even amongst SWFs of similar types. Even so, this paper shows that the global crisis may have changed SWF’s asset allocations in ways that may not be ideal or justified in all cases and that a review of investment objectives may be warranted. It also argues for regular macro-risk assessments for the sovereign, the continued importance of SWFs as a stabilizer in international capital markets, as well as the active role they could play in international regulatory reform.
Keywords:
WP; sovereign wealth fund; SWF; investment; asset; investment horizon; Sovereign Wealth Funds; Portfolio Choice; Investment and Risk Management; Government Policy and Regulation; savings SWF; SWF resource; SWF's ability; SWF objective; SWF website; cross-border operation; reserve investment corporation; savings-type SWF; stabilization SWF; SWF performance; asset-liability management consideration; Asset allocation; Reserve assets; Pension spending; Stocks; Business enterprises; Global
Cover IMF Working Papers
Governance and Fund Management in the Chinese Pension System
Yu-Wei Hu
,
Gregorio Impavido
, and
Xiaohong Li
The Chinese pension system is highly fragmented and decentralized, with governance standards, pension fund management practices, their regulation and supervision varying considerably both across the funded components of the Chinese pension system and across provinces. This paper describes the key components of the system, highlights the progress made to date and identifies remaining weaknesses, in regard to information disclosure, the governance framework and pension fund management standards.
Keywords:
WP; asset manager; NSSF assets; fixed income; bank deposit; investment fund; NSSF staff; private equity