Collaborative Research: Global Imbalances and Valuation Effects

这个项目开发了新的理论和方法，以了解外国净资产和总资产、贸易平衡和汇率的决定因素。它量化了它们在各国外部赤字动态中各自扮演的角色。调查人员构建了一个美国外国资产和负债的分类数据库，以获得对资产回报和汇率的可预测性以及估值效应对外部赤字可持续性的重要性的新见解。他们将沿着三个维度扩展这项工作。首先，他们将与其他国家进行类似的分析，将大型金融发达经济体(英国、日本)与小型开放经济体(加拿大)以及新兴市场进行对比。其次，他们将开发新的组合投资理论，其中国际财富转移和可预测的超额回报发挥着关键作用。最后，调查人员使用他们的方法来分析财政调整。这一提议的学术价值在于加深了我们对金融全球化如何影响外部调整进程的理解。传统模型关注的是赤字国家通过未来净出口的变化来恢复外部平衡。对美国来说，调查人员发现，外国资产和负债的重估在数量上也是一个重要的、稳定的渠道。这项研究还有助于确定资产回报和汇率变动的重要决定因素。对于美国汇率，研究人员的模型在一个季度到四年的时间内表现优于样本外的随机游走。该提案扩展了实证分析，以评估估值效应对其他国家的重要性和方向。该提案还开发了一类与观察到的资本流动、资产价格、货币波动和净出口模式相一致的一般均衡动态模型。这些模型的特点是在股权和国际财富转移方面存在国内偏见，这些元素很少被纳入开放经济模型，但对现实主义至关重要。拟议的模型使调查人员能够研究需求和供应冲击或投资组合偏好变化的影响，例如国内偏好的侵蚀或国际货币地位的丧失对各国积累外债能力的影响。最后，拟议的活动通过衡量估值效应对财政调整的重要性，扩展了我们对政府债务动态的理解。拟议的活动具有更广泛的影响。首先，该项目突出了资本损益对外国资产和负债总额的作用，为经常账户可持续性问题提供了新的视角。它提供了一种外部失衡的理论上的衡量标准，并建立了一个数据库来实施这一措施。初步结果显示，目前美国的外部失衡比上世纪80年代中期要小。这一事实本身对政策辩论就很重要。其次，调查人员的框架表明，货币和财政政策对外部账户的影响，除其他外，通过汇率变化的估值效应发挥作用。这些影响在发达经济体和新兴市场的影响截然不同，因为新兴市场的债务大多以美元计价。它们对汇率制度的选择有影响。第三，外国净资产头寸回报和汇率的可预测性对金融市场、有效经济政策的设计以及国际企业的对冲战略具有重要影响。第四，拟议的方法也可以卓有成效地应用于其他失衡的分析。研究人员建议研究估值效应(通过通胀)可能很重要的财政失衡。最后，研究团队构建的按市值计算的美国外国资产和负债季度数据库已经引起了其他研究人员和组织(国际货币基金组织、国际清算银行)的兴趣。NBER已要求他们参加一次关于G7经常账户失衡的特别会议。他们正计划为其他工业化国家和新兴国家建立类似的数据库。这些数据可以用来检验各种开放经济宏观经济理论。

This project develops new theories and methodologies to understand the determinants of net and gross foreign assets, the trade balance and the exchange rate. It quantifies their respective roles in the dynamics of countries' external deficits. The investigators constructed a disaggregated database of U.S. foreign assets and liabilities to obtain novel insights into the predictability of asset returns and exchange rates and the importance of valuation effects for the sustainability of external deficits. They will extend this work along three dimensions. First, they will do a similar analysis with other countries, contrasting large financially developed economies (UK, Japan) with small open economies (Canada) as well as emerging markets. Second, they will develop new theories of portfolio investment where international wealth transfers and predictable excess returns play a key role. Lastly, the investigators use their methodology to analyze fiscal adjustment. The Intellectual Merit of this proposal is to further our understanding of how financial globalization affects the process of external adjustment. Traditional models focus on deficit countries restoring external balance through future changes in net exports. For the US, the investigators find that revaluations of foreign assets and liabilities are a quantitatively important -and stabilizing- channel as well. This research helps also identify important determinants of asset returns and currency movements. For the US exchange rate, the investigators' model outperforms the random walk out-of-sample from one quarter to four years. The proposal extends the empirical analysis in order to assess the importance and direction of valuation effects for other countries. The proposal also develops a class of general equilibrium dynamic models consistent with observed patterns of capital flows, asset prices, currency fluctuations and net exports. Those models feature home bias in equity and international wealth transfers, elements rarely incorporated in open economy models and yet crucial for realism. The proposed models allow the investigators to study the effect of demand and supply shocks or changes in portfolio preferences such as erosion of home bias or loss of international currency status on the capacity of countries to accumulate foreign debt. Finally the proposed activity extends our understanding of government debt dynamics by measuring the importance of valuation effects for fiscal adjustments.The proposed activity has many Broader Impacts. First, the project provides a new perspective on the issue of current account sustainability by highlighting the role of capital gains and losses on gross foreign assets and liabilities. It provides a theoretically grounded measure of external imbalance and constructs a database to implement it. Initial results show that US external imbalances are currently smaller than in the mid 1980s. This fact alone is important for the policy debate. Second, the investigators' framework suggests that the impact of monetary and fiscal policy on external accounts operates inter alia through valuation effects via exchange rate changes. These effects play very differently in developed economies and in emerging markets where most liabilities are in dollars. They have implications for the choice of exchange rate regime. Third, predictability of the returns on net foreign asset positions and of the exchange rate has important consequences for financial markets, the design of effective economic policies, and hedging strategies for international businesses. Fourth, the proposed methodology can also be applied fruitfully to the analysis of other imbalances. The investigators propose to look at fiscal imbalances where valuation effects (via inflation) may be important. Finally the quarterly database of US foreign assets and liabilities at market value that the research team constructed has already raised the interest of other researchers and organizations (IMF, BIS). The NBER has asked them to participate in a special conference on G7 current account imbalances. They are planning to build similar databases for other industrialized as well as emerging countries. These data could be used for the testing of a wide array of open economy macroeconomic theories.