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

Kamiar Mohaddes and Mehdi Raissi

CAMA Working Papers from Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University

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)
Pages: 24 pages
Date: 2017-02
New Economics Papers: this item is included in nep-agr, nep-fdg and nep-mac
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Citations: View citations in EconPapers (42)

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https://cama.crawford.anu.edu.au/sites/default/fil ... _mohaddes_raissi.pdf (application/pdf)

Related works:
Journal Article: 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:een:camaaa:2017-11

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