A Micro to Macro Approach to International Capital Flows

本项目提出了一种从微观到宏观的方法来研究国际资本流动的微观起源。它的出发点是这样一个假设，即如果参与跨境流动的公司分布是厚尾的，那么特殊的冲击就不会抵消，并且可以解释国际资本流动动态中不可忽视的部分。我用这种从微观到宏观的方法来重新审视国际经济学中的一些主要问题。我的建议有两个方面，由这个共同的方法联系起来。在第一部分中，我在国际收支和国际投资头寸的代理交易层面上使用了一个新的数据来评估国际流动的粒度，并重新审视汇率脱节的难题，国际商业周期的一致性以及估值对外部调整的重要性。我建议解决的具体问题是：(1)一个国家的国际流动动态是否（至少在一定程度上）是由特定公司的特殊冲击驱动的？如果是的话，增加多少？(2)对大公司的冲击会影响汇率吗？(3)大公司的金融联系是否影响国际经济周期的同步？(4)境外资产估值变动的分布如何影响外部调整？在第二部分中，我评估了个人投资者的信念对资本流动的作用。首先，我重新审视了未揭示的利率平价之谜，并提出了一个分解框架，以评估其失败有多少源于投资者的主观信念，有多少源于他们的风险厌恶。一旦认识到投资者信念的重要性，我提出以下问题：(1)汇率预期是否影响投资者的国际投资组合配置？(2)这些信念在不同主体之间是异质的吗？它们的行列式是什么？(3)全球投资者的信念是否与货币危机的理论文献一致？

This project proposes a micro-to-macro approach to study the granular origins of international capital flows. Its starting point is the hypothesis that, if the distribution of firms engaging in cross-border flows is fat-tailed, idiosyncratic shocks would not cancel out and could account for a non-negligible part of dynamics of international capital flows. I employ this micro-to-macro approach to revisit some of the main questions in international economics. My proposal has two strands linked by this common approach.In the first of these strands, I employ a novel data at the agent-transaction level on the Balance of Payment and the International Investment Position to evaluate the granularity of international flows and revisit the exchange rate disconnect puzzle, international business cycle comovement and the importance of valuation effects on external adjustments. The particular questions that I propose tackling are: (1) Are the dynamics of international flows in a country driven, at least in part, by idiosyncratic firm-specific shocks? If so, by how much? (2) Do shocks to large firms affect the exchange rate? (3) Do large firms' financial linkages affect international business cycle comovement? (4) How does the distribution of valuation changes on foreign assets affect external adjustments?In the second of these strands, I assess the role of individual investors' beliefs on capital flows. I start by revisiting the Uncovered Interest Rate Parity puzzle and propose a decomposition framework to assess how much of its failure arises from investors' subjective beliefs and how much from their risk aversion. Once the importance of investors' beliefs is recognised, I ask the following questions: (1) Do exchange rate expectations affect investors' international portfolio allocation? (2) Are these beliefs heterogeneous across agents? What are their determinants? (3) Are global investors' beliefs consistent with the theoretical literature on currency crises?