G2TT
来源类型Working Paper
规范类型报告
DOI10.3386/w13768
来源IDWorking Paper 13768
Cross-Border Returns Differentials
Stephanie E. Curcuru; Tomas Dvorak; Francis E. Warnock
发表日期2008-02-07
出版年2008
语种英语
摘要Were the U.S. to persistently earn substantially more on its foreign investments ("U.S. claims") than foreigners earn on their U.S. investments ("U.S. liabilities"), the likelihood that the current environment of sizeable global imbalances will evolve in a benign manner increases. However, using a monthly dataset on the foreign equity and bond portfolios of U.S. investors and the U.S. equity and bond portfolios of foreign investors, we find that the returns differential for portfolio securities is near zero, far smaller than previously reported. Examining all U.S. claims and liabilities (portfolio securities as well as direct investment and banking), we find that previous estimates of large differentials are biased upward. The bias owes to computing implied returns from an internally inconsistent dataset of revised data; original data produce a much smaller differential. We also attempt to reconcile our finding of a near zero returns differential with observed patterns of cumulated current account deficits, the net international investment position, and the net income balance. Overall, we find no evidence that the U.S. can count on earning substantially more on its claims than it pays on its liabilities.
主题International Economics ; International Finance ; Financial Economics ; Financial Markets
URLhttps://www.nber.org/papers/w13768
来源智库National Bureau of Economic Research (United States)
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资源类型智库出版物
条目标识符http://119.78.100.153/handle/2XGU8XDN/571444
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GB/T 7714
Stephanie E. Curcuru,Tomas Dvorak,Francis E. Warnock. Cross-Border Returns Differentials. 2008.
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