Decomposing the US external returns differential

• 成果类型: Article; Proceedings Paper
• 署名作者: Curcuru, Stephanie E.; Dvorak, Tomas; Warnock, Francis E.
• 署名单位: University of Virginia; Federal Reserve System - USA; Union College; Trinity College Dublin; Federal Reserve System - USA; Federal Reserve Bank - Dallas; National Bureau of Economic Research
• 刊物名称: JOURNAL OF INTERNATIONAL ECONOMICS
• ISSN/ISSBN: 0022-1996
• DOI: 10.1016/j.jinteco.2009.06.005
• 发表日期: 2010
• 页码: 22-32
• 关键词: Returns differential; Timing effect

摘要

We decompose the returns differential between U.S. portfolio claims and liabilities into the composition, return, and timing effects. Our most striking and robust finding is that foreigners exhibit poor timing when reallocating between bonds and equities within their U.S. portfolios. The poor timing of foreign investors-caused primarily by deliberate trading, not a lack of portfolio rebalancing-contributes positively to the U.S. external returns differential. We find no evidence that the poor timing is driven by mechanical reserve accumulation by emerging market countries; rather, it is driven almost entirely by the poor timing of rich, developed (mainly European) countries. Finally, while poor foreign timing appears to be persistent across subsamples, other terms in our decomposition (the composition and return effects and U.S. timing abroad), as well as the overall differential, are sometimes negative, sometimes positive, and usually indistinguishable from zero. (C) 2009 Elsevier B.V. All rights reserved.