Do sovereign wealth funds dampen the negative effects of commodity price volatility?

Kamiar Mohaddes and Mehdi Raissi

Journal of Commodity Markets, 2017, vol. 8, issue C, 18-27

Abstract: This paper studies the impact of commodity terms of trade (CToT) volatility on economic growth (and its sources) in a sample of 69 commodity-dependent countries, and assesses the role of Sovereign Wealth Funds (SWFs) and quality of institutions in their long-term growth performance. Using annual data over the period 1981–2014, we employ the Cross-Sectionally augmented Autoregressive Distributive Lag (CS-ARDL) methodology for estimation to account for cross-country heterogeneity, cross-sectional dependence, and feedback effects. We find that while CToT volatility exerts a negative impact on economic growth (operating through lower accumulation of physical capital and lower TFP), the average impact is dampened if a country has a SWF and better institutional quality (hence a more stable government expenditure).

Keywords: Economic growth; Commodity prices; Volatility; Sovereign wealth funds (search for similar items in EconPapers)
JEL-codes: C23 E32 F43 O13 O40 (search for similar items in EconPapers)
Date: 2017
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (39)

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Related works:
Working Paper: Do Sovereign Wealth Funds Dampen the Negative Effects of Commodity Price Volatility? (2017)
Working Paper: Do sovereign wealth funds dampen the negative effects of commodity price volatility? (2017)
Working Paper: Do Sovereign Wealth Funds Dampen the Negative Effects of Commodity Price Volatility? (2017)
Working Paper: Do Sovereign Wealth Funds Dampen the Negative Effects of Commodity Price Volatility? (2000)
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Persistent link: https://EconPapers.repec.org/RePEc:eee:jocoma:v:8:y:2017:i:c:p:18-27

DOI: 10.1016/j.jcomm.2017.08.004

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