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Table 6. Foreign Asset Returns and Domestic Market Returns
|
(1) Real return For. assets |
(2) Real return For. assets |
(3) Real return Port.Eq. asset |
(4) Real return s Port.Eq. asset |
(5) Real return |
(6) Real yield Debt assets | |
|
Dom Stock Return Dom Bond Return Dom Interest Rate |
0.12 (5.98)*** |
0.45 (8.90)*** |
0.37 (8.37)*** |
0.42 (3.94)*** |
0.47 (13.2)*** |
0.47 (10.2)*** |
|
Adj R2 |
0.15 |
0.52 |
0.36 |
0.11 |
0.55 |
0.42 |
|
Number of observ. |
220 |
205 |
137 |
125 |
144 |
158 |
* 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.
Table 7 Rates of Return and Real Exchange Rates
|
Correlations |
(1) Assets P ( r, rUS ) |
(2) Assets ρ ( rt, drert ) |
(3) Assets ρ( rUS, dret∙t) |
(4) Liabilities P( r, rU ) |
(5) Liabilities |
(6) Liabilities ρ( rU, drert ) |
|
Australia |
0.16 |
-0.47 |
0.79 |
-0.21 |
-0.54 |
0.94 |
|
Austria |
-0.02 |
-0.32 |
0.95 |
0.19 |
-0.20 |
0.92 |
|
Finland |
-0.10 |
-0.61 |
0.84 |
0.73 |
-0.36 |
0.37 |
|
France |
0.36 |
-0.59 |
0.54 |
0.60 |
-0.48 |
0.40 |
|
Germany |
-0.59 |
-0.74 |
0.98 |
-0.05 |
-0.29 |
0.97 |
|
Italy |
-0.01 |
-0.52 |
0.84 |
-0.34 |
-0.62 |
0.95 |
|
Japan |
-0.80 |
-0.96 |
0.93 |
0.66 |
0.24 |
0.88 |
|
Netherlands |
-0.45 |
-0.80 |
0.89 |
-0.36 |
-0.72 |
0.91 |
|
Portugal |
-0.04 |
-0.46 |
0.91 |
-0.34 |
-0.22 |
0.84 |
|
Spain |
-0.55 |
-0.78 |
0.94 |
-0.70 |
-0.79 |
0.96 |
|
Sweden |
0.17 |
-0.54 |
0.74 |
-0.22 |
-0.72 |
0.83 |
|
Switzerland |
-0.51 |
-0.78 |
0.93 |
-0.17 |
-0.63 |
0.87 |
|
United Kingd. |
-0.45 |
-0.93 |
0.72 |
-0.48 |
-0.88 |
0.82 |
|
Mean |
-0.22 |
-0.65 |
0.85________ |
-0.05 |
-0.48 |
0.82__________ |
Note: rt, rtUS are real returns on foreign holdings in domestic currency and in US dollars, respectively;
drer is the percentage change in bilateral end-of-period real exchange rate vis-à-vis the US.
Correlations calculated over time period 1982-2001 or shorter.