升级全球金融安全网：综合储备存款的影响

Upgrading the Global Implications of a Synthetic Reserve Giovanni Dell’Ariccia, Pascal Farahmand, Pierre-Olivier Gourinchas,Istvan Mak, Adrian Peralta-Alva, and Francisco Roldan WP/26/125 IMF Working Papersdescribe research inprogress by the author(s) and are published toelicit comments and to encourage debate.The views expressed in IMF Working Papers arethose of the author(s) and do not necessarily 2026JUN IMF Working Paper Research Department Upgrading the Global Financial Safety Net: Implications of aSynthetic Reserve Deposit Prepared by Giovanni Dell’Ariccia, Pascal Farahmand, Pierre-OlivierGourinchas, Istvan Mak, Adrian Peralta-Alva, and Francisco Roldan* Authorized for distribution by Julie KozackJune 2026 IMF Working Papersdescribe research in progress by the author(s) and are published to elicitcomments and to encourage debate.The views expressed in IMF Working Papers are those of theauthor(s) and do not necessarily represent the views of the IMF, its Executive Board, or IMF management. ABSTRACT:Sovereigns self-insure via reserve accumulation, prioritizing liquidity over yield. This practiceimposes opportunity costs and can amplify the convenience premium on traditional reserve assets. This paperevaluates Synthetic Reserve Deposits (SRDs), a pooling mechanism designed to improve the return-liquiditytrade-off. Participants would hold floating-value claims on a vehicle comprising a settlement buffer, aninvestment portfolio, and, in some designs, an optional collateralized liquidity window. The architectureseparates the allocation of portfolio risk from the provision of short-term foreign-currency liquidity: market risk Upgrading the Global Financial Safety Net:Implications of a Synthetic Reserve Deposit∗ Giovanni Dell’Ariccia1, Pascal Farahmand2, Pierre-Olivier Gourinchas1, IstvanMak3, Adrian Peralta-Alva1, and Francisco Rold´an1 1Research Department, International Monetary Fund2Finance Department, International Monetary Fund3Monetary and Capital Markets Department, International Monetary Fund June 26, 2026 Abstract Sovereigns self-insure via reserve accumulation, prioritizing liquidity over yield. Thispractice imposes opportunity costs and can amplify the convenience premium on tra-ditional reserve assets.This paper evaluates Synthetic Reserve Deposits (SRDs), apooling mechanism designed to improve the return-liquidity trade-off.Participantswould hold floating-value claims on a vehicle comprising a settlement buffer, an invest-ment portfolio, and, in some designs, an optional collateralized liquidity window. Thearchitecture separates the allocation of portfolio risk from the provision of short-termforeign-currency liquidity:market risk remains with SRD holders, while liquidity is Contents 1Introduction 2Related Literature 3The Economics of Self-Insurance 3.1The Insurance Value of Reserve Accumulation . . . . . . . . . . . . . . . . .3.2Structural Fragmentation of the Global Financial Safety Net. . . . . . . . 4Balance Sheet Mechanics 4.1Claim Structure and Valuation. . . . . . . . . . . . . . . . . . . . . . . . .4.2Issuance and Redemption at Contemporaneous Market Value. . . . . . . . 5Quantitative Illustrations 5.1Risk-Return Properties Relative to Traditional Reserves. . . . . . . . . . .5.2Asset Pricing Interpretation . . . . . . . . . . . . . . . . . . . . . . . . . . . 6Liquidity Frictions and Tail Risk 6.1Haircuts, Margin Calls, and Residual Exposure. . . . . . . . . . . . . . . .6.2An Illustration of the Collateral Facility in a Market Slump. . . . . . . . . 7Macroeconomic Aggregation and Market Impact 7.1Demand Estimation and the Subscription Rule. . . . . . . . . . . . . . . .7.2Illustrative Aggregate Scale. . . . . . . . . . . . . . . . . . . . . . . . . . . 8Impact of the SRD on the Global Economy 8.1Two Interacting Mechanisms. . . . . . . . . . . . . . . . . . . . . . . . . .8.2Pareto Improvements without Pigouvian Taxes. . . . . . . . . . . . . . . . 9Conclusion AData Description and Asset Coverage B.1Historical data and preprocessing . . . . . . . . . . . . . . . . . . . . . . . .B.2Empirical marginal transformation and copula estimation. . . . . . . . . . CConstructing the Stochastic Discount FactorDEfficient FrontierEHistorical Counterfactual with Reserve FlowsFSynthesizing Reserve Assets 1Introduction The modern International Monetary and Financial System features a scarcity of safe assets.Countries facing external risk value foreign exchange reserves that are stable in value andimmediately deployable. Correspondingly, they self-insure through large holdings of short-duration reserve assets.However, since the supply of assets that are simultaneously safe, This paper studies a class of arrangements through which countries could lower the costof meeting reserve liquidity and safety objectives by pooling part of their foreign-exchangereserves. These arrangements, which we label “Synthetic Reserve Deposits” (SRDs), aim tomaximize returns subject t