Valuation effects and the dynamics of net external assets

• 成果类型: Article; Proceedings Paper
• 署名作者: Devereux, Michael B.; Sutherland, Alan
• 署名单位: University of British Columbia; National Bureau of Economic Research; University of St Andrews
• 刊物名称: JOURNAL OF INTERNATIONAL ECONOMICS
• ISSN/ISSBN: 0022-1996
• DOI: 10.1016/j.jinteco.2009.06.001
• 发表日期: 2010
• 页码: 129-143
• 关键词: Valuation effects; Net foreign asset dynamics; Current account imbalances; Country portfolios; risk sharing

摘要

'Valuation effects' can imply that the traditional Current account is an inaccurate measure of the change in the net foreign asset (NFA) position, This paper uses new developments in the analysis of portfolio choice in general equilibrium to investigate valuation effects in a two-country model. Broadly speaking, the valuation effects in the model correspond to those observed in the data. But there is a key distinction between 'unanticipated' and 'anticipated' valuation effects. Unanticipated effects can be large, dominating the movement in NFA, but anticipated effects arise only at higher orders of approximation and are small for reasonable parameterizations. (C) 2009 Elsevier B.V. All rights reserved.