Excess Returns, Average Returns and the Adjustment Mechanism of the External Position of a Country

Civelli Andrea

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Excess Returns, Average Returns and the Adjustment Mechanism of the External Position of a Country

机译：超额收益，平均收益和一国对外地位的调整机制

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I provide a new decomposition of the external constraint of a country in which, in addition to the trade and valuation channel, adjustments in the stochastic discount factor and the spread between average international returns and risk-free rate can offset a current debt position. The importance of these channels is empirically assessed using US data. A primary contribution of the discount factor and secondary effects of excess and average returns are found in the non-detrended analysis, confirming the theoretical characterization of the valuation effects in previous literature. By using detrended data instead, the role of excess returns would be spuriously overestimated.

机译：我对一个国家的外部约束进行了新的分解，在该国家中，除了贸易和估值渠道外，随机贴现因子的调整以及平均国际收益和无风险利率之间的价差可以抵消当前的债务状况。这些渠道的重要性使用美国数据进行了经验评估。在非去趋势分析中发现了折现因子的主要贡献以及超额收益和平均收益的次要效应，这证实了先前文献中估值效应的理论特征。通过使用去趋势化的数据，超额收益的作用将被虚假地高估。

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《Review of international economics》 |2016年第2期|226-252|共27页
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Civelli Andrea;
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Univ Arkansas, Business Bldg 402, Fayetteville, AR 72701 USA;

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Excess Returns, Average Returns and the Adjustment Mechanism of the External Position of a Country

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