|
on International Finance |
| By: | Hünnekes, Franziska; Konradt, Maximilian; Schularick, Moritz; Trebesch, Christoph; Wingenbach, Julian |
| Abstract: | Germany is a world champion in exporting capital (“Exportweltmeister”). Few countries have invested larger amounts of savings abroad. However, we show that Germany plays in the third division when it comes to investment performance. We construct a comprehensive new database of foreign investment returns for 13 advanced economies going back to the 1970s. Germany’s foreign returns were 2 to 5 percentage points lower, per year, than those of comparable countries. Germany also earns significantly less within asset classes, especially for equities and FDI. These aggregate results are confirmed when using return data from 50, 000 mutual funds worldwide. German investment funds are worse at stock picking and at timing the market than their international peers. This is particularly true for the ”Big 6” German mutual fund companies. German households would have fared much better with a passive investment strategy. |
| Keywords: | International Capital Flows, Foreign Assets, Investment Returns |
| JEL: | F21 F30 F31 F36 G15 |
| Date: | 2025 |
| URL: | https://d.repec.org/n?u=RePEc:zbw:ifwkie:318206 |
| By: | Ilhyock Shim; Torsten Ehlers; Fredy Gamboa; Han Qiu |
| Abstract: | Regional integration among emerging market economies complements global integration rather than substituting for it, which implies that strong regional ties act as buffers against global fragmentation.Emerging Asia is more integrated than other emerging market regions due to a higher share of manufacturing with complex supply chains and the presence of regional financial centres in Hong Kong SAR and Singapore.Trade and banking integration reinforce each other, and regional payment system integration has positive externalities by reducing the transaction costs of trade and enabling cross-border banking services.Tapping the significant potential for further regional integration requires concerted efforts on cross-border cooperation and the implementation of targeted trade and banking sector liberalisation policies. |
| Date: | 2025–06–05 |
| URL: | https://d.repec.org/n?u=RePEc:bis:bisblt:102 |
| By: | Bluhm, Richard; Dreher, Axel; Fuchs, Andreas; Parks, Bradley C.; Strange, Austin M.; Tierney, Michael J. |
| Abstract: | This paper studies the causal effect of transport infrastructure on the spatial distribution of economic activity within subnational regions across a large number of developing countries. To do so, we introduce a new global dataset of geolocated Chinese grant- and loan-financed development projects from 2000 to 2014 and combine it with measures of spatial concentration based on remotely sensed data. We find that Chinese financed transportation projects decentralize economic activity within regions, as measured by a spatial Gini coefficient, by 2.2 percentage points. The treatment effects are particularly strong in regions that are less developed, more urbanized, and located closer to cities. |
| Keywords: | Development finance, Transport costsInfrastructure, Foreign aid, Spatial concentration, China |
| JEL: | F35 R11 R12 P33 O18 O19 |
| Date: | 2025 |
| URL: | https://d.repec.org/n?u=RePEc:zbw:ifwkie:318203 |
| By: | Yiming Ma; Yao Zeng; Anthony Lee Zhang |
| Abstract: | Stablecoins are cryptoassets which are designed to be pegged to the dollar, but are backed by imperfectly liquid USD assets. We show that stablecoins feature concentrated arbitrage: the largest issuer, Tether, only allows 6 agents in an average month to redeem stablecoins for cash. We argue that issuers' choice of arbitrage concentration reflects a tradeoff: efficient arbitrage improves stablecoin price stability in secondary markets, but amplifies run risks by reducing investors' price impact from selling stablecoins. Our findings imply that policies designed to improve stablecoin price stability may have the unintended consequence of increasing stablecoin run risks. |
| JEL: | G1 G2 G21 G23 G28 |
| Date: | 2025–05 |
| URL: | https://d.repec.org/n?u=RePEc:nbr:nberwo:33882 |
| By: | Guido Menzio; Saverio Spinella |
| Abstract: | Recent empirical evidence documents that different individuals earn systematically different rates of return, even after controlling for portfolio composition. We propose a general equilibrium theory of residual heterogeneity in rates of return on wealth by embedding a financial market with search frictions into a monetary incomplete-market model. We show that the distribution of rates of return offered in the financial market is endogenous and depends on the marginal product of capital, the return on fiat money, and the joint distribution of households across wealth and financial human capital. When calibrated, the model succeeds in reproducing the extent of residual dispersion in returns to wealth across individuals. We use the calibrated model to study various policies and counterfactuals, with a particular focus on monetary policy. |
| JEL: | D52 D83 E21 E44 |
| Date: | 2025–05 |
| URL: | https://d.repec.org/n?u=RePEc:nbr:nberwo:33868 |
| By: | Adriano A. Rampini; S. Viswanathan |
| Abstract: | We argue that firms’ assets, especially their tangible assets, serve as collateral restricting both secured and unsecured debt. Secured debt is explicitly collateralized, placing a lien on specific assets, which facilitates enforcement. Unsecured debt is backed by unencumbered assets and thus implicitly collateralized. The explicit collateralization of secured debt entails costs but enables higher leverage. Therefore, financially constrained firms use more secured debt both across and within firms. Our dynamic model is consistent with stylized facts on the relation between secured debt and measures of financial constraints and between leverage and tangible assets, and with evidence from a causal forest. |
| JEL: | D25 E22 G32 |
| Date: | 2025–05 |
| URL: | https://d.repec.org/n?u=RePEc:nbr:nberwo:33875 |
| By: | Torben G. Andersen (Finance Department, Kellogg School of Management, Northwestern University); Yi Ding (Faculty of Business Administration, University of Macau); Viktor Todorov (Finance Department, Kellogg School of Management, Northwestern University) |
| Abstract: | We develop nonparametric estimates for tail risk in the cross-section of asset prices at high frequencies. We show that the tail behavior of the crosssectional return distribution depends on whether the time interval contains a systematic jump event. If so, the cross-sectional return tail is governed by the assets’ exposures to the systematic event while, otherwise, it is determined by the idiosyncratic jump tails of the stocks. We develop an estimator for the tail shape of the cross-sectional return distribution that display distinct properties with and without systematic jumps. Empirically, we provide evidence for symmetric cross-sectional return tails at high-frequency that exhibit nontrivial and persistent time series variation. A hypothesis of equal cross-sectional return tail shapes during periods with and without systematic jump events is strongly rejected by the data. |
| Keywords: | Cross-sectional return distribution, extreme value theory, highfrequency data, tail risk |
| Date: | 2025–06 |
| URL: | https://d.repec.org/n?u=RePEc:boa:wpaper:202530 |