| 来源类型 | Working Paper |
| 规范类型 | 报告 |
| DOI | 10.3386/w18866 |
| 来源ID | Working Paper 18866 |
| On Returns Differentials | |
| Stephanie E. Curcuru; Charles P. Thomas; Francis E. Warnock | |
| 发表日期 | 2013-03-08 |
| 出版年 | 2013 |
| 语种 | 英语 |
| 摘要 | Estimates of U.S. returns differentials have ranged from exorbitant to quite small, in part because of their volatility coupled with the relatively short time series available. We shed light on underlying drivers of returns differentials by presenting a number of decompositions: a by-asset-class decomposition into yields and capital gains, the Gourinchas and Rey (2007a) composition and return effects, and further decompositions of capital gains that focus on exchange rate effects. While each decomposition informs thinking about returns differentials, one constant is evident throughout: to date the existing differential favoring the U.S. has owed primarily to one factor, a differential in direct investment yields. We discuss how our analysis informs the income puzzle (of positive net income flows to the U.S. even as its net international investment position is negative and substantial) and the position puzzle (of a sizeable gap between the reported U.S. net international position and cumulated current account deficits), provide an initial assessment of the literature on the dynamics of returns differentials, and present a framework to guide a forward-looking view of how returns differentials might evolve in the future. |
| 主题 | International Economics ; International Finance ; Financial Economics ; Financial Markets |
| URL | https://www.nber.org/papers/w18866 |
| 来源智库 | National Bureau of Economic Research (United States) |
| 引用统计 | |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/576541 |
| 推荐引用方式 GB/T 7714 | Stephanie E. Curcuru,Charles P. Thomas,Francis E. Warnock. On Returns Differentials. 2013. |
| 条目包含的文件 | ||||||
| 文件名称/大小 | 资源类型 | 版本类型 | 开放类型 | 使用许可 | ||
| w18866.pdf（499KB） | 智库出版物 | 限制开放 | CC BY-NC-SA | 浏览 | ||
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