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U.S. Dollar Risk Premiums and Capital Flows / Ravi Balakrishnan, Volodymyr Tulin.
- Format:
- Book
- Government document
- Author/Creator:
- Balakrishnan, Ravi.
- Series:
- IMF Working Papers; Working Paper ; No. 2006/160
- IMF Working Papers
- Language:
- English
- Subjects (All):
- Dollar, American.
- Capital movements.
- Physical Description:
- 1 online resource (29 p.)
- Edition:
- 1st ed.
- Place of Publication:
- Washington, D.C. : International Monetary Fund, 2006.
- Language Note:
- English
- Summary:
- 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.
- Contents:
- ""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""
- Notes:
- "June 2006."
- Includes bibliographical references.
- Description based on print version record.
- ISBN:
- 9786613821546
- 9781462385119
- 1462385117
- 9781452743080
- 1452743088
- 9781282448353
- 1282448358
- 9781451984101
- 1451984103
- OCLC:
- 694141217
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