International Financial Integration*



-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.



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