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Do Sovereign Wealth Funds Dampen the Negative Effects of Commodity Price Volatility?

Kamiar Mohaddes () and Mehdi Raissi

No 304, Globalization Institute Working Papers from Federal Reserve Bank of Dallas

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).

JEL-codes: C23 E32 F43 O13 O40 (search for similar items in EconPapers)
New Economics Papers: this item is included in nep-agr and nep-mac
Date: 2017-02-01
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Related works:
Journal Article: Do sovereign wealth funds dampen the negative effects of commodity price volatility? (2017) Downloads
Working Paper: Do Sovereign Wealth Funds Dampen the Negative Effects of Commodity Price Volatility? (2017) Downloads
Working Paper: Do sovereign wealth funds dampen the negative effects of commodity price volatility? (2017) Downloads
Working Paper: Do Sovereign Wealth Funds Dampen the Negative Effects of Commodity Price Volatility? (2000) Downloads
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Persistent link: https://EconPapers.repec.org/RePEc:fip:feddgw:304

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DOI: 10.24149/gwp304

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