CROSS-BORDER RETURNS DIFFERENTIALS
成果类型：
Article
署名作者：
Curcuru, Stephanie E.; Dvorak, Tomas; Warnock, Francis E.
署名单位：
University of Virginia; Trinity College Dublin; Federal Reserve System - USA; Federal Reserve Bank - Dallas; National Bureau of Economic Research
刊物名称：
QUARTERLY JOURNAL OF ECONOMICS
ISSN/ISSBN：
0033-5533
DOI：
10.1162/qjec.2008.123.4.1495
发表日期：
2008
页码：
1495-1530
关键词：
摘要：
Using a monthly data set on the 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 for portfolio securities is far smaller than previously reported. Examining all U.S. claims and liabilities, we find that previous estimates of large differentials are biased upward. The bias owes to computing implied returns from an internally inconsistent data set of revised data; original data produce a much smaller differential. We also attempt to reconcile our findings with observed patterns of cumulated current account deficits, the net international investment position, and the net income balance. Overall, we find no evidence that the United States can count on earning substantially more on its claims than it pays on its liabilities.
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