Analysis of the Receipts of the National Fund of Kazakhstan
Keywords:sovereign wealth funds, oil fund, stabilization rule, savings rule, panel data analysis, Kazakhstan, Oil Production
The article discusses the key factors determining the National Fund of Kazakhstan (NFK) accumulation from January 2005 to February 2017. As the main factors in this model, world oil prices, the share of deductions of oil companies' income to the fund, domestic oil production, the tenge exchange rate against the U.S. dollar and interest income on the fund's investments were considered. In order to explain these factors impact on the oil fund receipts, a relevant functional model was developed. The stationarity of the data series was checked using the Augmented Dickey Fuller unit root test. Verification of the model was conducted using different econometric methods, as the primary model used the least squares method (LSM). Using the generalized method of moments (GMM) helped overcome the problem of autocorrelation and heteroscedasticity and validate the model specification. The autoregressive conditional heteroscedasticity (ARCH) method and the Generalized Linear Model (GLM) were also used to test the basic models. The built econometric models confirmed that NFK's receipts positively depend on the tax rate on oil producing firms, world oil prices, and domestic oil production and negatively on the exchange rate of tenge. However, the increase in interest rates on the U.S. Treasury bonds did not increase the fund's income. This can mean either the ineffectiveness of its investments or the periodic withdrawal of the investment income. In general, the study should help understand the factors determining NFK's revenue and increasing its amount in the future.
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