Macrofinancial Linkages of the Strategic Asset Allocation of Commodity-Based Sovereign Wealth Funds
This paper analyses the links between the investment strategies of a commodity-based SWF and the macroeconomic framework of the owner country. We examine some basic macrofinancial linkages of an SWF's strategic asset allocation (SAA) strategies with regard to the government budget, monetary policy, and exchange rate movements. Based on a simple Markowitz-model framework, which integrates the specific objectives and constraints facing an SWF and the country's specific characteristics and macroeconomic vulnerabilities (especially in relation to commodity prices and prospective defined liabilities), we derive an SAA. The asset-liability methodology that is applied in the selection of an SWF SAA also allows assessing whether (i) the SAA adequately takes into account the country-specific risks and vulnerabilities, and (ii) its objectives and macrofinancial constraints are consistent. Some analytical and practical issues in determining an SAA model are also discussed, along with key effects of a financial crisis.
|Date of creation:||01 Jan 2010|
|Contact details of provider:|| Postal: International Monetary Fund, Washington, DC USA|
Phone: (202) 623-7000
Fax: (202) 623-4661
Web page: http://www.imf.org/external/pubind.htm
More information through EDIRC
|Order Information:||Web: http://www.imf.org/external/pubs/pubs/ord_info.htm|
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Engel, Eduardo & Valdés, Rodrigo O., 2001.
"Optimal fiscal strategy for oil exporting countries,"
Sede de la CEPAL en Santiago (Estudios e Investigaciones)
34818, Naciones Unidas Comisión Económica para América Latina y el Caribe (CEPAL).
- Eduardo M.R.A. Engel & Rodrigo Valdés, 2000. "Optimal Fiscal Strategy for Oil Exporting Countries," Documentos de Trabajo 78, Centro de Economía Aplicada, Universidad de Chile.
- Rodrigo O. Valdes & Eduardo M Engel, 2000. "Optimal Fiscal Strategy for Oil Exporting Countries," IMF Working Papers 00/118, International Monetary Fund.
- Christian B. Mulder & Amadou N Sy & Yinqiu Lu & Udaibir S Das, 2009. "Setting Up a Sovereign Wealth Fund; Some Policy and Operational Considerations," IMF Working Papers 09/179, International Monetary Fund.
- Peter J Kunzel & Cornelia Hammer & Iva Petrova, 2008. "Sovereign Wealth Funds; Current Institutional and Operational Practices," IMF Working Papers 08/254, International Monetary Fund.
When requesting a correction, please mention this item's handle: RePEc:imf:imfwpa:10/9. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Jim Beardow)or (Hassan Zaidi)
If references are entirely missing, you can add them using this form.