-43 -
Table 5A. Rates of Return on Foreign Assets and Market Returns, 1982-2001
|
(1) (2) Real ret. Real ret. Port. Eq. Port. Eq. |
(3) Real ret. FDI book |
(4) Real ret. FDI book |
(5) Real ret. FDI mkt |
(6) Real ret. FDI mkt |
(7) Real ret. Debt |
(8) Real yld Debt |
(9) Real yld Debt | |
|
Global Stock Return |
0.77 |
0.16 |
0.57 | |||||
|
(14.1)*** |
(3.45)*** |
(8.43)*** | ||||||
|
Stock Return |
0.74 | |||||||
|
(Port. Survey weights) |
(13.6)*** | |||||||
|
Stock Return |
0.14 |
0.62 | ||||||
|
(FDI distrib. weights) |
(2.12)** |
(7.33)*** | ||||||
|
Bond Return |
0.49 | |||||||
|
(Port. Survey weights) |
(10.4)*** | |||||||
|
Interest Yield |
0.51 | |||||||
|
(Port. Survey weights) |
(10.2)*** | |||||||
|
Interest Yield |
0.43 | |||||||
|
(BIS weights) |
(7.40)*** | |||||||
|
Adj R2 |
0.62 0.60 |
0.14 |
0.12 |
0.58 |
0.51 |
0.43 |
0.42 |
0.35 |
|
Number of observ. |
138 138 |
217 |
157 |
56 |
56 |
157 |
158 |
112 |
Table 5B. Rates of Return on Foreign Liabilities and Market Returns
|
(1) Real return Portf. equity |
(2) Real return FDI (book) |
(3) Real return FDI (mkt) |
(4) Real return Debt |
(5) Real yield Debt | |
|
Dom Stock Return Dom Bond Return Dom Interest Rate |
1.04 (27.9)*** |
0.12 (2.55)** |
0.45 (5.33)*** |
0.45 (8.20)*** |
0.55 (12.1)*** |
|
Adj R2 |
0.86 |
0.12 |
0.35 |
0.34 |
0.50 |
|
Number of observ. |
139 |
217 |
57 |
146 |
160 |
* Panel regressions with country fixed effects (t-statistics in parenthesis). ** (***) indicates statistical
significance at the 0.05 (0.01) confidence level. See text for definition of variables.