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

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dc.contributor.authorMohaddes, Kamiar
dc.contributor.authorRaissi, Mehdi
dc.date.accessioned2025-03-27T01:06:12Z
dc.date.available2025-03-27T01:06:12Z
dc.date.issued2017-01
dc.description.abstractThis 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).
dc.identifier.urihttps://hdl.handle.net/1885/733743534
dc.language.isoen_AU
dc.provenanceThe publisher permission to make it open access was granted in November 2024
dc.publisherCrawford School of Public Policy, The Australian National University
dc.relation.ispartofseriesCAMA Working Paper 11/2017
dc.rightsAuthor(s) retain copyright
dc.sourceCentre for Applied Macroeconomic Analysis Working Papers
dc.source.urihttps://crawford.anu.edu.au
dc.titleDo sovereign wealth funds dampen the negative effects of commodity price volatility?
dc.typeWorking/Technical Paper
dcterms.accessRightsOpen Access
dspace.entity.typePublication
local.bibliographicCitation.issueNov-17
local.type.statusPublished Version

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