Macrofinancial Linkages of the Strategic Asset Allocation of Commodity-Based Sovereign Wealth Funds »
Series: IMF Working Papers
Author(s): Aaron Howard Clifford Brown , Michael Papaioannou , and Iva Petrova
Publisher: INTERNATIONAL MONETARY FUND
Publication Date: 01 January 2010
Keywords: Macrofinancial Linkages, bonds, government bonds, correlation, covariance, standard deviation,
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 ass...