skip to content

Faculty of Economics

Journal Cover

Mohaddes, K. and Raissi, M.

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

Journal of Commodity Markets

Vol. 8 pp. 18-27 (2017)

Abstract: This 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).

Keywords: Economic growth, Commodity prices, Volatility, Sovereign wealth funds

JEL Codes: C23, E32, F43, O13, O40

Author links: Kamiar Mohaddes  

Publisher's Link: https://www.sciencedirect.com/science/article/pii/S2405851317300181

Open Access Full Text: https://www.repository.cam.ac.uk/handle/1810/267866



Cambridge Working Paper in Economics Version of Paper: Do Sovereign Wealth Funds Dampen the Negative Effects of Commodity Price Volatility?, Mohaddes, K. and Raissi, M., (2017)

Papers and Publications



Recent Publications


Ambrus, A. and Elliott, M. Investments in Social Ties, Risk Sharing, and Inequality Review of Economic Studies [2021]

Carvalho, V. M., Nirei, M., Saito, Y. U. and Tahbaz-Salehi, A. Supply Chain Disruptions: Evidence from the Great East Japan Earthquake Quarterly Journal of Economics [2021]

Chen, C. Y.-H., Klochkov, Y. and Härdle, W. K. SONIC: SOcial Network analysis with Influencers and Communities Journal of Econometrics, forthcoming [2021]

Bergin, P. R. and Corsetti, G. Beyond Competitive Devaluations: The Monetary Dimensions of Comparative Advantage American Economic Journal: Macroeconomics [2020]