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Leave the volatility fund alone : principles for managing oil wealth
Wills, Samuel - In: Journal of macroeconomics 55 (2018), pp. 332-352
Persistent link: https://www.econbiz.de/10012127613
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The opportunity cost of domestic oil consumption for an oil exporter : Illustration for Saudi Arabia
Karanfil, Fatih; Pierru, Axel - In: Energy economics 96 (2021), pp. 1-12
Persistent link: https://www.econbiz.de/10012816954
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Welfare gains from macro-hedging
Alghalith, Moawia; Wong, Wing Keung - In: Annals of financial economics 15 (2020) 2, pp. 1-7
Persistent link: https://www.econbiz.de/10012642979
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Hedge effectiveness of put replication, gold, and oil on ASEAN-5 equities
Robiyanto, Robiyanto; Nugroho, Bayu Adi; Handriani, Eka; … - In: Financial innovation : FIN 6 (2020) 53, pp. 1-29
effectiveness of put replication, gold, and oil on hedge equities in the ASEAN-5 (Indonesia, Malaysia, Singapore, Thailand, and the …-adjusted-performance such as Sharpe ratio, drawdown, and Omega ratio. The result reveals that gold is a cheaper hedge than oil and oil …-hedged strategy is more expensive in ASEAN-5 compared to oil exporting nations. Also, investors with big exposure to the oil …
Persistent link: https://www.econbiz.de/10012418412
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Potential welfare gains from optimal macro hedging for oil exporters
Lalloo, Ricardo - In: Annals of financial economics 18 (2023) 3, pp. 1-22
Persistent link: https://www.econbiz.de/10014442623
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Rohstoffbasierte Staatsfonds : Theorie und Empirie
Clemens, Marius; Fuhrmann, Wilfried - 2008 - 1. Ausg.
Persistent link: https://www.econbiz.de/10003758754
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On the political economy of sovereign wealth funds
Grigoryan, Artur - 2016
Persistent link: https://www.econbiz.de/10012388599
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Portfolio choice for a resource-based sovereign wealth fund : an analysis of cash flows
Mork, Knut Anton; Eap, Hanna Marisela; Haraldsen, … - In: International Journal of Financial Studies : open … 8 (2020) 1/14, pp. 1-20
exhaustible resources, such as oil and gas. The question is whether the SWF portfolio should underweight shares in the resource …. Subsequently, we look at the correlations between each industry's cash flow and the Norwegian government's cash flow from oil and … gas. We find a close, statistically significant, and persistent correlation for the oil and gas industry. The correlations …
Persistent link: https://www.econbiz.de/10012238773
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Harnessing windfall revenues: optimal policies for resource-rich developing economies
van der Ploeg, Frederick; Venables, Anthony J. - 2009
A windfall of natural resource revenue (or foreign aid) faces government with choices of how to manage public debt, investment, and the distribution of funds for consumption, particularly if the windfall is both anticipated and temporary. We show that the permanent income hypothesis prescription...
Persistent link: https://www.econbiz.de/10010276227
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A tractable model of precautionary reserves, net foreign assets, or sovereign wealth funds
Carroll, Chris; Jeanne, Olivier - 2009
We model the motives for residents of a country to hold foreign assets, including the precautionary motive that has been omitted from much previous literature as intractable. Our model captures many of the principal insights from the existing specialized literature on the precautionary motive,...
Persistent link: https://www.econbiz.de/10003864319