Knut Anton Mork

Mork, Knut A.; Trønnes, Haakon Andreas & Bjerketvedt, Vegard Skonseng (2022)

Capital Preservation and Current Spending with Sovereign Wealth Funds and Endowment Funds: A simulation Study

International Journal of Financial Studies (IJFS), 10(3) Doi: 10.3390/ijfs10030067 - Fulltekst i vitenarkiv

Mork, Knut A. (2022)

The Long Norwegian Boom: Dutch Disease After All?

Energy Journal, 43(3), s. 133- 156. Doi: 10.5547/01956574.43.3.kmor

Mork, Knut A.; Eap, Hanna Marisela & Haraldsen, Magnus Eskedal (2020)

Portfolio Choice for a Resource-Based Sovereign Wealth Fund: An Analysis of Cash Flows

International Journal of Financial Studies (IJFS), 8(1) Doi: 10.3390/ijfs8010014 - Fulltekst i vitenarkiv

We consider the portfolio choice of a government with a Sovereign Wealth Fund (SWF) when government revenues depend on exhaustible resources, such as oil and gas. The question is whether the SWF portfolio should underweight shares in the resource industry. Some studies have found that these share prices correlate more closely with the overall stock market than the resource price, which would seem to weaken the case for underweighting. However, equity price movements depend not only on changes in expectations of future cash flows, but also on time variation in discount factors. We analyze cash flows directly, rather than trying to disentangle these effects. We have collected cash-flow data for the companies in all of the major industries of the FTSE Global All Cap index, the basis for the strategic index of the Norwegian Government Pension Fund Global. Subsequently, we look at the correlations between each industry’s cash flow and the Norwegian government’s cash flow from oil and gas. We find a close, statistically significant, and persistent correlation for the oil and gas industry. The correlations for other industries are small and mostly insignificant. We believe that our findings can be used to support proposals for SWFs in countries with significant petroleum revenues to underweight shares in this industry.

Lindset, Snorre & Mork, Knut A. (2019)

Risk Taking and Fiscal Smoothing with Sovereign Wealth Funds in Advanced Economies

International Journal of Financial Studies (IJFS), 7(4), s. 1- 24. Doi: 10.3390/ijfs7010004 - Fulltekst i vitenarkiv

In an economy with a sovereign wealth fund (SWF), the government may draw on the fund to supplement other government revenues. If the fund is invested in risky assets, this introduces a new stochastic element into the government’s budget. We analyze the interaction between the draw from and risk taking in the SWF. Using non-expected utility preferences, we distinguish between intended changes and stochastic changes in the SWF draws over time. We show that the desire for smoothness in taxes and public services translates into smoothing of SWF draws and lower risk taking. It can even lead to procyclical rebalancing of the SWF portfolio. Future interest rates are associated with interest-rate risk. We show that this risk may lead to a higher optimal equity share in the SWF portfolio. Policy makers can use the draws from the SWF to smooth over time variation in risk-free rates.

Mork, Knut A. (2005)

Realrenter i en oljeeksporterende økonomi

Norsk økonomisk tidsskrift, 119, s. 68- 83.

Mork, Knut A. (2019)

Vi trenger venner--verden blir mer krevende

Dagens næringsliv [Kronikk]

Mork, Knut A. (2019)

De skjulte oljepengene tar også slutt

Dagens næringsliv [Kronikk]

Mork, Knut A. (2019)

Nedgangstider er ei det verste

Dagens næringsliv [Kronikk]

Mork, Knut A. (2019)

Flyskam? Et dårlig og lite hyggelig virkemiddel. Sats heller på ny teknologi.

Dagens næringsliv [Kronikk]

Mork, Knut A. (2019)

Handelskrigen kan gi nedgangstider

Dagens næringsliv [Kronikk]

Mork, Knut A. (2020)

Oljeeventyret. En takk og et farvel

[Popular scientific book]. Spartacus.

Mork, Knut A. (2016)

Aksjeandelen i Statens pensjonsfond utland, NOU 2016:20

[Report]. Finansdepartementet.