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Please cite Hünnekes, Konradt, Schularick, Trebesch and Wingenbach “Exportweltmeister: Germany’s Foreign Investment Returns in International Comparison” in the Journal of International Economics.
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Sheetsreturns_ewm
Returns for 13 countries in original paper, 1970-2020
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returns_imf
Returns for 157 countries based on IMF BOP/IIP, 1971-2023
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Variables
return_A
Nominal return on total IIP assets denominated in local currency, in percent
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return_A_r
Real return on total IIP assets denominated in local currency, in percent
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return_A_DI
Nominal return on foreign direct investment denominated in local currency, in percent
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return_A_PF_D
Nominal return on debt denominated in local currency, in percent
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return_A_PF_EIF
Nominal return on equity denominated in local currency, in percent
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return_A_OTwR
Nominal return on other investments and reserves denominated in local currency, in percent
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To update returns, download the most recent data from the Balance of Payments and International Investment Position Statistics (BPM6) by the IMF and follow the steps in Section 2.1 of the paper.
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1. Download data from IMF BOP/IIP, https://data.imf.org/?sk=7a51304b-6426-40c0-83dd-ca473ca1fd52
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2. Download bilateral USD exchange rates from the BIS, https://data.bis.org/topics/XRU, and convert IMF data to local currency (we use end of year rates for IIP positions and average rates for capital income and financial account outflows
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3. Compute financial account aggregates, FA_outflow = FA_outflow_DI+FA_outflow_PF+FA_outflow_OT+FA_outflow_R
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4. Adjust IIP to exclude derivatives, IIP_assets = IIP_assets-IIP_assets_FD
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5. Calculate valuation changes as the residual of IIP changes and financial account outflows, KG_tot_A = D_IIP_assets-FA_outflow
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6. Calculate returns as the sum of valuation changes and capital income, return_A = 100*(KG_tot_A+cap_income)/L.IIP_assets
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7. Repeat for asset class specific returns
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8. To calculate real returns, download consumer price data from the World Bank and deflate nominal returns, return_A_r = (((1+return_A/100)/infl)-1)*100
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Note: For Germany, we directly use data from Bundesbank until 2020 (see Section 2.3 for details), although returns are comparable when using IMF data. For all other countries we combine data by the IMF and Lane and Milesi-Ferretti (2007) and apply a diligent procedure to clean the data (see Table A12 in the Appendix for details on each country). If you use updated data by the IMF as per our procedure explained above, standard data revisions may impact the return estimates:
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