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Author Evans, Martin D. D.,
Title International capital flows and debt dynamics / prepared by Martin D.D. Evans.
Imprint [Washington, D.C.] : International Monetary Fund, [2012]
©2012

Series IMF working paper ; WP/12/175
IMF working paper ; WP/12/175.
Subject Capital movements -- Econometric models.
Capital movements -- United States -- Econometric models.
Debts, External -- Econometric models.
Debts, External -- United States -- Econometric models.
Alt Name International Monetary Fund. Research Department.
Description 1 online resource (59 pages).
Note Title from PDF title page (IMF Web site, viewed Jul. 17, 2012).
"Research."
"July 2012."
Summary 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 external position, but the expected future real depreciation of the dollar allowed the U.S. to sustain a higher level of international debt after the 1990s.
Bibliography Note Includes bibliographical references.
Contents 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.
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.
ISBN 1475581211 (electronic bk.)
9781475581218 (electronic bk.)
9781475505238
9781475566130
147550523X
9781475505238
1475566131
9781475566130
OCLC # 800083422