| Description |
1 online resource (31 pages) : illustrations |
| Series |
IMF working paper, 1018-5941 ; WP/10/9 |
|
IMF working paper ; WP/10/9.
|
| Contents |
I. Introduction; II. Institutional Arrangements of an SWF; III. Macrofinacial Linkages of the SWF Management; Figures; 1. Commodity Prices and Budget Balance; A. Government Budget; B. Monetary Policy; C. Exchange Rate Issues; D. Public Sector Balance Sheet Effects; IV. An Analytical Model for the SAA Determination of a Stabilization SWF; V. Practical Aspects of an SAA Methodology; VI. Illustrative Application; 2. Correlation between Fuel Prices and the Value of the U.S. Dollar; Tables; 1. Covariance Tests of Exchange Rates and Oil Price; 2. Covariance Tests of GDP and Oil Price |
|
3. Covariance Tests of Asset Returns and Oil Price4. Asset Class Assumptions; 3. Illustrative Model Output; 5. GDP Gap and Asset Return Covariance; VII. SAA Considerations under Crisis Periods; 6. Illustrative SAA with Domestic Currency Numeraire; 4. Efficient Frontiers with Domestic Currency Numeraire; 5. Daily DJIA Returns; VIII. Concluding Remarks; References |
| Summary |
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 |
| Notes |
At head of title: Monetary and Capital Markets Department |
|
"January 2010." |
| Bibliography |
Includes bibliographical references |
| Notes |
Master and use copy. Digital master created according to Benchmark for Faithful Digital Reproductions of Monographs and Serials, Version 1. Digital Library Federation, December 2002. http://purl.oclc.org/DLF/benchrepro0212 MiAaHDL |
|
English |
|
Print version record |
|
digitized 2011 HathiTrust Digital Library committed to preserve pda MiAaHDL |
| Subject |
Sovereign wealth funds.
|
|
Asset allocation.
|
|
Monetary policy.
|
|
Asset allocation
|
|
Monetary policy
|
|
Sovereign wealth funds
|
| Form |
Electronic book
|
| Author |
Papaioannou, Michael G., author.
|
|
Petrova, Iva, author.
|
|
International Monetary Fund. Monetary and Capital Markets Department, issuing body.
|
| ISBN |
1283553015 |
|
9781283553018 |
|
9781451961904 |
|
1451961901 |
|
