Excess Returns on Net Foreign Assets: The Exorbitant Privilege From a Global Perspective
Excess Returns on Net Foreign Assets: The Exorbitant Privilege From a Global Perspective
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净外国资产的超额回报：全球视角下的过高特权
DOI：
10.2139/ssrn.1551873
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发表时间：
2010
期刊：
影响因子：
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通讯作者：
M. Habib
中科院分区：
文献类型：
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作者：
M. Habib
本文研究了1981年至2007年间49个国家的净外国资产以及外国资产总额与负债总额之间的收益差异。它表明，投资收入比资本利得更重要，在长期内使净外国资产漂移，而后者主导短期动态。从全球角度来看，美国的外国净资产超额收益确实过高，其他国家只是偶尔才能与之匹敌，而且主要是由于积极的估值效应。美国作为大投资者的角色并没有促成其过分的特权。计量经济学的面板分析也未能发现杠杆和超额收益之间存在稳健的正相关关系。值得注意的是，相反，真实的汇率贬值通过资本收益增加了超额收益，与相对外币风险成比例。投资收入的超额收益与国家风险评级呈正相关。JEL分类：F30，F31，F36
This paper studies net foreign assets and the differential returns between gross foreign assets and liabilities for a sample of 49 countries between 1981 and 2007. It shows that investment income is more important than capital gains in imparting a drift to net foreign assets over the long-run, whereas the latter dominate short-term dynamics. Excess returns on net foreign assets of the United States are indeed exorbitant from a global perspective, only occasionally matched by other countries and mainly accounted for by positive valuation effects. The role of the United States as levered investor did not contribute to its exorbitant privilege. The econometric panel analysis also fails to find a robust positive relationship between leverage and excess returns. Notably, instead, real exchange rate depreciations increase excess returns through capital gains, proportionally to the relative foreign currency exposure. Excess yields on investment income are positively associated with the country risk rating. JEL Classification: F30, F31, F36