International capital flows, portfolio composition, and the stability of external imbalances

• 成果类型: Article
• 署名作者: Devereux, Michael B.; Saito, Makoto; Yu, Changhua
• 署名单位: University of British Columbia; Nagoya University; Peking University; National Bureau of Economic Research; Centre for Economic Policy Research - UK
• 刊物名称: JOURNAL OF INTERNATIONAL ECONOMICS
• ISSN/ISSBN: 0022-1996
• DOI: 10.1016/j.jinteco.2020.103386
• 发表日期: 2020
• 关键词: International portfolio choice; current account; External imbalance; External adjustment; Self-correcting

摘要

This paper develops a simple and tractable model of net capital flows in which time-varying gross country portfolios are an essential element in current account imbalances. The main constituents of country portfolios in the model are general derivatives, which could be interpreted as nominal bond assets and liabilities in particular. Under very weak conditions, the world wealth distribution is stationary. Stationarity is generated by movements in derivative (i.e., bond) risk-premia such that the return on a debtor country's gross liabilities is less than the return on its gross assets. This is well known feature of the US international investment position. We also provide suggestive evidence that a similar property holds more widely for a sample of advanced and emerging market countries. (c) 2020 Elsevier B.V. All rights reserved.