Cross-border Portfolios: Assets, Liabilities, and Non-flow Adjustments

18 Pages Posted: 19 Oct 2015

See all articles by Stephanie E. Curcuru

Stephanie E. Curcuru

Board of Governors of the Federal Reserve System

Charles P. Thomas

Thomas & Son Analytics

Francis E. Warnock

University of Virginia - Darden Business School; National Bureau of Economic Research (NBER)

Date Written: October 2015

Abstract

We document patterns of cross-border asset and liability positions, focusing on EME Asia and a five-year period around the global financial crisis. On EME Asia’s external portfolio, we calculate cumulative five-year losses – or, more accurately, negative non-flow adjustments – of almost $600 billion. The “losses” are quite small relative to GDP, amounting to only 1% of GDP on the asset side. “Losses” are relatively small in part because of the substantial home bias in portfolios – the external portion of EME Asia’s portfolios is small – but also because of modest average annual returns on foreign equities and foreign bonds.

Full publication: Cross-Border Financial Linkages: Challenges for Monetary Policy and Financial Stability

Suggested Citation

Curcuru, Stephanie E. and Thomas, Charles P. and Warnock, Francis E., Cross-border Portfolios: Assets, Liabilities, and Non-flow Adjustments (October 2015). BIS Paper No. 82a. Available at SSRN: https://ssrn.com/abstract=2668678

Stephanie E. Curcuru (Contact Author)

Board of Governors of the Federal Reserve System ( email )

20th and C Streets, NW
Washington, DC 20551
United States

Charles P. Thomas

Thomas & Son Analytics ( email )

5409 Center St
Chevy Chase, MD 20815
United States
2022075834 (Phone)

Francis E. Warnock

University of Virginia - Darden Business School ( email )

P.O. Box 6550
Charlottesville, VA 22906-6550
United States
434-924-6076 (Phone)

HOME PAGE: http://faculty.darden.virginia.edu/warnockf/index.htm

National Bureau of Economic Research (NBER) ( email )

1050 Massachusetts Avenue
Cambridge, MA 02138-5398

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