International capital flows and debt dynamics

Martin D. D. Evans

This paper presents a new model for studying international capital flows and debt dynamics that emphasizes the role played by expectations concerning future trade flows and returns. I use the model to estimate the drivers of the U.S. external position and capital flows between 1973 and 2008. The estimates show that most of the secular rise in U.S. international indebtedness is attributable to growing optimism about future returns on U.S. holdings of foreign equity and FDI assets. They also show that the transformation of world savings into risky assets by the U.S. had little effect on its exte

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Year of publication:	2012
Authors:	Evans, Martin D. D.
Publisher:	Washington, DC : Internat. Monetary Fund
Subject:	Kapitalmobilität \| Capital mobility \| Internationale Staatsschulden \| International sovereign debt \| Zahlungsbilanztheorie \| Balance-of-payments theory \| USA \| United States \| 1973-2008

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Extent:	Online-Ressource (PDF-Datei: 57 S., 1,828 KB) graph. Darst.
Series:	IMF working papers. - Washington, DC : IMF, ZDB-ID 2108494-4. - Vol. 12/175 IMF Working Papers
Type of publication:	Book / Working Paper
Type of publication (narrower categories):	Arbeitspapier ; Working Paper ; Graue Literatur ; Non-commercial literature
Language:	English
Notes:	"July 2012 Includes bibliographical references Systemvoraussetzungen: Acrobat Reader Cover; 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; List of Figures; 1 Alternative Measures of the U.S. External Position; 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 2 Trends In U.S. Foreign Assets, Liabilities and Real Trade Flows4.3 Sample Statistics; 3 Approximation Accuracy; List of Tables; 1 Summary Statistics; 2 Returns and Portfolio Shares; 4.4 Estimation; 4 Changes in the Composition of Asset and Liability Portfolios; 3 Granger Causality Tests; 5 Results; 5.1 Net Position Dynamics; 5 Historical Behavior of the U.S. Net External Position and its Components; 4 Variance Decompositions of xp[sub(t)]; 5.2 Gross Position Dynamics; 6 Historical Behavior of U.S. Gross Foreign Asset and Liability Positions and their Components 5 Variance Decompositions for δ[sup(FA)][sub(t)] and δ[sup(PL)][sub(t)]5.3 Net Capital Flows; 7 Variance Contributions of Trade and Returns to U.S. Net Capital Flows; 8 Variance Contributions of Net Capital Flows; 5.4 Gross 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; 6 U.S. Returns and The Exorbitant Privilege; 6.1 Portfolio Composition; 6 Portfolio Returns and Their Components 12 Composition Effects and the size of the Valuation Channel6.2 The Role of the Dollar; 7 Returns and the Dollar Depreciation Rates; 13 The U.S. Net External Position and the Role of the Dollar; 7 Conclusion Electronic reproduction; Available via World Wide Web
ISBN:	978-1-4755-0523-8 ; 978-1-4755-6613-0 ; 978-1-4755-0523-8
Source:	ECONIS - Online Catalogue of the ZBW

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