The stability of large external imbalances: the role of returns differentials
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...
Gespeichert in:
| Hauptverfasser: | , , |
|---|---|
| Format: | Buch |
| Sprache: | English |
| Veröffentlicht: |
Cambridge, Mass.
National Bureau of Economic Research
2007
|
| Schriftenreihe: | Working paper series / National Bureau of Economic Research
13074 |
| Online-Zugang: | Volltext |
| Zusammenfassung: | 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, utilizing data on the actual 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 of U.S. claims over U.S. liabilities is essentially zero. Ending our sample in 2005, the differential is positive, whereas through 2004 it is negative; in both cases the differential is statistically indecipherable from zero. Moreover, were it not for the poor timing of investors from developed countries, who tend to shift their U.S. portfolios toward (or away from) equities prior to the subsequent underperformance (or strong performance) of equities, the returns differential would be even lower. Thus, in the context of equity and bond portfolios we find no evidence that the U.S. can count on earning more on its claims than it pays on its liabilities. |
| Beschreibung: | 48 S. graph. Darst. 22 cm |
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| 490 | 1 | |a Working paper series / National Bureau of Economic Research |v 13074 | |
| 520 | 8 | |a 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, utilizing data on the actual 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 of U.S. claims over U.S. liabilities is essentially zero. Ending our sample in 2005, the differential is positive, whereas through 2004 it is negative; in both cases the differential is statistically indecipherable from zero. Moreover, were it not for the poor timing of investors from developed countries, who tend to shift their U.S. portfolios toward (or away from) equities prior to the subsequent underperformance (or strong performance) of equities, the returns differential would be even lower. Thus, in the context of equity and bond portfolios we find no evidence that the U.S. can count on earning more on its claims than it pays on its liabilities. | |
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| id | DE-604.BV023592986 |
| illustrated | Illustrated |
| index_date | 2024-07-02T22:41:31Z |
| indexdate | 2024-07-09T21:25:14Z |
| institution | BVB |
| language | English |
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| physical | 48 S. graph. Darst. 22 cm |
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| spelling | Curcuru, Stephanie E. Verfasser (DE-588)133356116 aut The stability of large external imbalances the role of returns differentials Stephanie E. Curcuru ; Thomas Dvorak ; Francis E. Warnock Cambridge, Mass. National Bureau of Economic Research 2007 48 S. graph. Darst. 22 cm txt rdacontent n rdamedia nc rdacarrier Working paper series / National Bureau of Economic Research 13074 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, utilizing data on the actual 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 of U.S. claims over U.S. liabilities is essentially zero. Ending our sample in 2005, the differential is positive, whereas through 2004 it is negative; in both cases the differential is statistically indecipherable from zero. Moreover, were it not for the poor timing of investors from developed countries, who tend to shift their U.S. portfolios toward (or away from) equities prior to the subsequent underperformance (or strong performance) of equities, the returns differential would be even lower. Thus, in the context of equity and bond portfolios we find no evidence that the U.S. can count on earning more on its claims than it pays on its liabilities. Dvořák, Tomáš 1973- Verfasser (DE-588)133356140 aut Warnock, Francis E. Verfasser (DE-588)131562029 aut Erscheint auch als Online-Ausgabe National Bureau of Economic Research <Cambridge, Mass.> NBER working paper series 13074 (DE-604)BV002801238 13074 http://papers.nber.org/papers/w13074.pdf kostenfrei Volltext |
| spellingShingle | Curcuru, Stephanie E. Dvořák, Tomáš 1973- Warnock, Francis E. The stability of large external imbalances the role of returns differentials |
| title | The stability of large external imbalances the role of returns differentials |
| title_auth | The stability of large external imbalances the role of returns differentials |
| title_exact_search | The stability of large external imbalances the role of returns differentials |
| title_exact_search_txtP | The stability of large external imbalances the role of returns differentials |
| title_full | The stability of large external imbalances the role of returns differentials Stephanie E. Curcuru ; Thomas Dvorak ; Francis E. Warnock |
| title_fullStr | The stability of large external imbalances the role of returns differentials Stephanie E. Curcuru ; Thomas Dvorak ; Francis E. Warnock |
| title_full_unstemmed | The stability of large external imbalances the role of returns differentials Stephanie E. Curcuru ; Thomas Dvorak ; Francis E. Warnock |
| title_short | The stability of large external imbalances |
| title_sort | the stability of large external imbalances the role of returns differentials |
| title_sub | the role of returns differentials |
| url | http://papers.nber.org/papers/w13074.pdf |
| volume_link | (DE-604)BV002801238 |
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