The Elephant In The Ground: Managing Oil And Sovereign Wealth
The Elephant In The Ground: Managing Oil And Sovereign Wealth
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地下大象：管理石油和主权财富
DOI：
10.1016/j.euroecorev.2015.10.005
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发表时间：
2016
影响因子：
2.8
通讯作者：
Van Den Bremer T
中科院分区：
文献类型：
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作者：
Van Den Bremer T
过去二十年来，国际金融和资源经济最重要的发展之一是迅速而广泛地出现了规模达6万亿美元的主权财富基金行业。石油出口国在分配这些资金时通常会忽略地下资产，在开采石油时也会忽略地上资产。我们提出了一个统一的风格化框架来考虑这两者。地下石油应该通过额外的杠杆和对冲来改变基金的投资组合。最好的支出应该是总财富的一部分，任何无法对冲的波动都必须通过预防性储蓄来管理。如果油价是顺周期的，石油的开采速度应该比霍特林法则更快，从而产生石油财富的风险溢价。最后，我们讨论了我们的分析如何在实践中改善挪威基金的管理。
One of the most important developments in international finance and resource economics in the past twenty years is the rapid and widespread emergence of the $6 trillion sovereign wealth fund industry. Oil exporters typically ignore below-ground assets when allocating these funds, and ignore above-ground assets when extracting oil. We present a unified stylized 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 unhedgeable 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. Finally, we discuss how our analysis could improve the management of Norway’s fund in practice.