| 来源类型 | Discussion paper |
| 规范类型 | 论文 |
| 来源ID | DP10188 |
| DP10188 The Elephant in the Ground: Managing Oil and Sovereign Wealth | |
| Frederick van der Ploeg; Samuel Wills | |
| 发表日期 | 2014-10-05 |
| 出版年 | 2014 |
| 语种 | 英语 |
| 摘要 | Oil exporters typically do not consider below-ground assets when allocating their sovereign wealth fund portfolios, and ignore above-ground assets when extracting oil. We present a unified framework for considering both. Subsoil oil should alter a fund?s portfolio through additional leverage and hedging. First-best spending should be a share of total wealth, and any unhedged volatility must be managed by precautionary savings. If oil prices are pro-cyclical, oil should be extracted faster than the Hotelling rule to generate a risk premium on oil wealth. We then discuss how the management of Norway?s fund can practically be improved with our analysis. |
| 主题 | International Macroeconomics |
| 关键词 | Oil Portfolio allocation Sovereign wealth fund Leverage Hedging Optimal extraction |
| URL | https://cepr.org/publications/dp10188 |
| 来源智库 | Centre for Economic Policy Research (United Kingdom) |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/539020 |
| 推荐引用方式 GB/T 7714 | Frederick van der Ploeg,Samuel Wills. DP10188 The Elephant in the Ground: Managing Oil and Sovereign Wealth. 2014. |
| 条目包含的文件 | 条目无相关文件。 | |||||
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