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Working Paper
Monthly estimates of U.S. cross-border securities positions
This paper reports monthly estimates of U.S. cross-border securities positions obtained by combining the (now) annual TIC surveys with monthly transactions data adjusted for various differences in the two reporting standards. Our approach is similar to that of Thomas, Warnock, and Wongswan (2004), but in addition to having a somewhat larger dataset we are able to make some simplifications to the numerical procedure used and we incorporate additional adjustments to the transactions data. This paper describes the procedure used and presents the monthly results. In addition, we discuss how the ...
Working Paper
\"Fool Me Once . . . \" Did U.S. investors play it safer in the European debt crisis?
This paper examines U.S. investors? portfolio investment patterns since the global financial crisis, particularly since the European debt crisis that began in late 2009. The global financial crisis during 2007-2009 was accompanied by an increase in U.S. investors? home bias. U.S. investors experienced significant valuation losses and pulled back notably from their foreign investment, especially from foreign debt. In contrast, while they have also incurred sizable losses on cross-border investment during the European debt crisis, U.S. investors so far have not shown any increase in home bias, ...
Working Paper
Precautionary portfolio behavior from a life-cycle perspective
The literature on asset accumulation by households draws a sharp distinction between "short-run" precautionary motives to buffer annual consumption from annual labor income shocks, and "long-run" life cycle considerations under labor income certainty. However, empirical estimates of the persistence of shocks to annual incomes imply that households are subject to considerable career uncertainty. We study long-run precautionary motives for life-cycle wealth accumulation and portfolio choice. We compute optimal portfolios under three sources of uncertainty (stock returns, incomes, and ...
Working Paper
Equity prices, household wealth, and consumption growth in foreign industrial countries: wealth effects in the 1990s
Although most recent empirical research regarding the size and significance of the impact of changes in wealth on consumption has looked for such effects in the United States, equity prices in the 1990s rose considerably in most other industrial countries as well. This paper investigates the strength of the wealth effect across countries. Using a variety of methods, I find evidence of significant wealth effects in the United Kingdom and Canada of a size comparable to that in the United States, reflecting the importance of equities in aggregate household wealth in these countries. A ...
Working Paper
Household portfolios in the United States
This paper investigates the composition of households' assets and liabilities in the United States. Using aggregate and survey data, we document major trends in household portfolios in the past 15 years. We show that, despite the broad array of financial products available, the portfolio of the typical household remains fairly simple and safe, consisting of a checking account, savings account, and tax-deferred retirement account; in 1998, less than half of all households owned some form of stock. We use pooled data from the Survey of Consumer Finances to investigate determinants of portfolio ...
Discussion Paper
Estimating U.S. Cross-Border Securities Flows: Ten Years of the TIC SLT
The Treasury International Capital (TIC) system collects cross-border securities positions and transactions data and is the primary source of information on foreign official and private demand for U.S. Treasuries and other U.S. securities, as well as for U.S. investment in foreign securities. As noted in earlier work, though, the TIC system currently collects data separately on holdings of securities (the monthly TIC SLT and the annual SHL/SHC collections) and on transactions, the TIC S, and these two data streams can be difficult to reconcile, making interpretation of movements in the data ...
Working Paper
The Replacement of Safe Assets: Evidence from the U.S. Bond Portfolio
The expansion in financial sector "safe" assets, largely in the form of structured products from the U.S. and the Caribbean, in the lead-up to the global financial crisis has by now been fairly well documented. Using a unique dataset derived from security-level data on U.S. portfolio holdings of foreign securities, we show that since the crisis, it is mostly the foreign financial sector that appears to have met U.S. demand for safe and liquid investment assets by expanding its supply of debt securities. We also find a strong negative correlation between the foreign share of the U.S. ...
Journal Article
The European Central Bank and the Eurosystem
The Eurosystem comprises the European Central Bank at its center as well as the national central banks of the twelve countries currently participating in monetary union. The European Central Bank was established in July 1998, six months before the beginning of Stage Three of economic and monetary union. Although decisions regarding monetary policy are made centrally by the Governing Council of the Eurosystem, the operational aspects of monetary policy-including open market operations, administration of the minimum reserve system, and management of the standing facilities-are undertaken in a ...