02228cas a2200265 a 4500 AALejournalIMF006220 230101c9999 xx r poo 0 0eng d 5.00 USD 9781451961904 1018-5941 BD-DhAAL BD-DhAAL Brown, Aaron Howard Clifford. Macrofinancial Linkages of the Strategic Asset Allocation of Commodity-Based Sovereign Wealth Funds / Aaron Howard Clifford Brown, Michael Papaioannou, Iva Petrova. Washington, D.C. : International Monetary Fund, 2010. 1 online resource (32 pages) IMF Working Papers <strong>Off-Campus Access:</strong> No User ID or Password Required <strong>On-Campus Access:</strong> No User ID or Password Required Electronic access restricted to authorized BRAC University faculty, staff and students 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 asset allocation (SAA) strategies with regard to the government budget, monetary policy, and exchange rate movements. Based on a simple Markowitz-model framework, which integrates the specific objectives and constraints facing an SWF and the country's specific characteristics and macroeconomic vulnerabilities (especially in relation to commodity prices and prospective defined liabilities), we derive an SAA. The asset-liability methodology that is applied in the selection of an SWF SAA also allows assessing whether (i) the SAA adequately takes into account the country-specific risks and vulnerabilities, and (ii) its objectives and macrofinancial constraints are consistent. Some analytical and practical issues in determining an SAA model are also discussed, along with key effects of a financial crisis. Mode of access: Internet Papaioannou, Michael. Petrova, Iva. IMF Working Papers; Working Paper ; No. 2010/009 Full text available on IMF http://elibrary.imf.org/view/journals/001/2010/009/001.2010.issue-009-en.xml IMF e-Library