Front Matter Page
Research
Contents
1 Introduction
2 International Assets, Liabilities, Returns and Trade Flows
2.1 The Balance of Payments and Consolidated Budget Constraint
2.2 Trade Flows, Asset Pricing and Portfolio Choice
3 A Model of Capital Flow Dynamics
3.1 Approximating the Consolidated Budget Constraint
3.2 Net Positions and Capital Flows
3.3 Gross Positions and Capital Flows
3.4 Equilibrium Positions and Capital Flows
4 Data and Estimation
4.1 Data
4.2 Adjusting Trade Flows
4.3 Sample Statistics
4.4 Estimation
5 Results
5.1 Net Position Dynamics
5.2 Gross Position Dynamics
5.3 Net Capital Flows
5.4 Gross Capital Flows
6 U.S. Returns and The Exorbitant Privilege
6.1 Portfolio Composition
6.2 The Role of the Dollar
7 Conclusion
List of Figures
1 Alternative Measures of the U.S. External Position
2 Trends In U.S. Foreign Assets, Liabilities and Real Trade Flows
3 Approximation Accuracy
4 Changes in the Composition of Asset and Liability Portfolios
5 Historical Behavior of the U.S. Net External Position and its Components
6 Historical Behavior of U.S. Gross Foreign Asset and Liability Positions and their Components
7 Variance Contributions of Trade and Returns to U.S. Net Capital Flows
8 Variance Contributions of Net Capital Flows
9 Historical Behavior of U.S. Gross Foreign Asset and Liability Positions and their Components
10 Variance Contributions to Gross Capital Flows
11 Variance Contributions of Gross Capital Flows
12 Composition Effects and the size of the Valuation Channel
13 The U.S. Net External Position and the Role of the Dollar
List of Tables
1 Summary Statistics
2 Returns and Portfolio Shares
3 Granger Causality Tests
4 Variance Decompositions of xpt
5 Variance Decompositions for
6 Portfolio Returns and Their Components
7 Returns and the Dollar Depreciation Rates