A Portfolio Approach to Global Imbalances

• 成果类型: Article
• 署名作者: Jiang, Zhengyang; Richmond, Robert j.; Zhang, Tony
• 署名单位: Northwestern University; National Bureau of Economic Research; New York University; Federal Reserve System - USA; Federal Reserve System Board of Governors; New York University
• 刊物名称: JOURNAL OF FINANCE
• ISSN/ISSBN: 0022-1082
• DOI: 10.1111/jofi.13333
• 发表日期: 2024
• 页码: 2025-2076
• 关键词: capital flows; external wealth; foreign-assets; MODEL; RISK; demand; determinants; liabilities; NATIONS; TRADE

摘要

We use a portfolio-based framework to understand what drives the decline of the U.S. net foreign asset (NFA) position and the reversal in returns earned on the U.S. NFA (exorbitant privilege). We show that global savings gluts and monetary policies widened the U.S. NFA position, while investor demand shifts partially offset this widening. Moreover, U.S. privilege declined after 2010, in line with increasing foreign demand for U.S. equity. We also highlight a quantity dimension of the U.S. privilege: The U.S. can issue substantially more debt than other countries for a given yield increase.