1.

Record Nr.

UNINA9910788525403321

Autore

Balakrishnan Ravi

Titolo

U.S. Dollar Risk Premiums and Capital Flows / / Ravi Balakrishnan, Volodymyr Tulin

Pubbl/distr/stampa

Washington, D.C. : , : International Monetary Fund, , 2006

ISBN

1-4623-8511-7

1-4527-4308-8

1-282-44835-8

1-4519-8410-3

9786613821546

Descrizione fisica

1 online resource (29 p.)

Collana

IMF Working Papers

Altri autori (Persone)

TulinVolodymyr

Soggetti

Dollar, American

Capital movements

Exports and Imports

Foreign Exchange

Investments: General

Investments: Bonds

Investment

Capital

Intangible Capital

Capacity

General Financial Markets: General (includes Measurement and Data)

International Investment

Long-term Capital Movements

Macroeconomics

Investment & securities

International economics

Currency

Foreign exchange

Return on investment

Treasury bills and bonds

Capital flows

Corporate bonds

Exchange rates

Saving and investment

Government securities

Bonds



United States

Lingua di pubblicazione

Inglese

Formato

Materiale a stampa

Livello bibliografico

Monografia

Note generali

"June 2006."

Nota di bibliografia

Includes bibliographical references.

Nota di contenuto

""Contents""; ""I. INTRODUCTION AND SUMMARY""; ""II. WHAT ARE RISK PREMIUMS ON THE DOLLAR AND HOW CAN WE MEASURE THEM? ""; ""III. CAPITAL FLOWS AND RISK PREMIUMS""; ""IV. EXPLAINING RISK PREMIUM MOVEMENTS""; ""V. CONCLUSIONS AND POLICY IMPLICATIONS""; ""DATA AND REGRESSION METHODOLOGY""; ""References""

Sommario/riassunto

This paper sheds light on the attractiveness of U.S. assets by studying dollar risk premiums, calculated using Consensus exchange rate forecasts, and linking them to bilateral capital flows. The paper finds that the presence of negative dollar risk premiums (i.e. expectations of a dollar depreciation net of interest rate effects) amid record capital inflows could suggest that investors may favor U.S. assets for structural reasons. One possible explanation could be that the Asian crisis created a large pool of savings searching for relatively riskless investment opportunities, which were provided by deep, liquid, and innovative U.S. financial markets with robust investor protection. Moreover, the continued attractiveness of U.S. financial markets to European investors suggests that they offer a large array of assets, with different risk/return characteristics, that facilitate the structuring of diversified investment portfolios. Looking forward, this suggests that the allocative efficiency of U.S. financial markets could mitigate risks of a disorderly unwinding of global current account imbalances.