All the latest research from OxCarre and beyond
Sunday, October 9, 2016
Sovereign wealth funds pull $90bn from asset managers
Article in the FT:
State-backed investment vehicles grapple with low commodity prices and disappointing returns.
Read on here.
Tuesday, October 4, 2016
New OxCarre research: Saving Alberta's Resource Revenues: Role of intergenerational and liquidity funds
New OxCarre research from:
Ton van der Bremer (University of Edinburgh) and Rick van der Ploeg (OxCarre)
Saving Alberta's Resource Revenues: Role of intergenerational and liquidity funds
Abstract:
We use a welfare-based intertemporal stochastic optimization model and historical data to estimate the size of the optimal intergenerational and liquidity funds and the corresponding resource dividend available to the government of the Canadian province Alberta. To first-order of approximation, this dividend should be a constant fraction of total above- and below-ground wealth, complemented by additional precautionary savings at initial times to build up a small liquidity fund to cope with oil price volatility. The ongoing dividend equals approximately 30 per cent of government revenue and requires building assets of approximately 40 per cent of GDP in 2030, 100 per cent of GDP in 2050 and 165 per cent in 2100. Finally, the effect of the recent plunge in oil prices on our estimates is examined. Our recommendations are in stark contrast with historical and current government policy.
We use a welfare-based intertemporal stochastic optimization model and historical data to estimate the size of the optimal intergenerational and liquidity funds and the corresponding resource dividend available to the government of the Canadian province Alberta. To first-order of approximation, this dividend should be a constant fraction of total above- and below-ground wealth, complemented by additional precautionary savings at initial times to build up a small liquidity fund to cope with oil price volatility. The ongoing dividend equals approximately 30 per cent of government revenue and requires building assets of approximately 40 per cent of GDP in 2030, 100 per cent of GDP in 2050 and 165 per cent in 2100. Finally, the effect of the recent plunge in oil prices on our estimates is examined. Our recommendations are in stark contrast with historical and current government policy.
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