Effects of Volatile Asset Prices on Balance of Payments and International Investment Position Data

Committeri, Marco

doi:10.2139/ssrn.880297

Cited by 2 publications

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“…12.54 In addition, research at the IMF (Committeri, 2000) has shown that the availability of more detailed financial information, allowing disaggregated estimates based on homogeneous groupings of instruments and currencies, results in estimates that are closer to the actual values of the relevant variables, irrespective of the intraperiod dispersion of prices and exchange rates. Creating homogeneous groupings might be achieved by collecting data on an instrument-by-instrument basis or on an aggregate basis, where information is collected by currency, maturity, and by type of instrument (such as whether the instrument has a fixed or variable rate of interest).…”

Section: 52mentioning

confidence: 99%

External Debt Statistics: Guide for Compilers and Users

2014

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So, the Guide provides additional conceptual guidance, and presentation tables, for data series such as the debt-service schedule (especially relevant for liquidity analysis), the currency composition of debt, and other series known from experience to be of analytical use. The Guide also explains the concept of net external debt-that is, a comparison of the stock of external debt with holdings of external financial assets of similar instrument type-and incorporates financial derivative positions into external debt analysis.Drawing on the broad range of experience in the international agencies involved in its production, the Guide provides advice on the compilation of external debt statistics, and the analytical use of such data. This advice is not intended to be comprehensive, but rather provides an overview of the issues. The work of international agencies in the field of external debt is outlined. Because the Guide is primarily intended to be a source of reference for both compilers and users of external debt statistics, certain sections will be more relevant for some audiences than others. For instance, the first section discusses complex conceptual measurement issues and provides detailed advice as a source of reference-this guidance is intended particularly for the compiler. In contrast, the section on the use of external debt data is directed toward both users and compilers. It is hoped that by this approach the Guide will contribute to better external debt statistics and an improved understanding of the complex issues involved in both compiling and analyzing them.

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Section: 52mentioning

confidence: 99%

External Debt Statistics: Guide for Compilers and Users

2014

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The Geography of International Portfolio Flows, International Capm and the Role of Monetary Policy Frameworks

Santis

2006

SSRN Journal

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Using bilateral data on international equity and bond flows, we find that (i) the prediction of the International Capital Asset Pricing Model is partially met and that global equity markets might be more integrated than global bond markets, and (ii) asset allocators engage in trend-chasing activities, particularly in bond markets. Moreover, over the turbulent 1998-2001 period characterized by an equity bubble and the subsequent burst, we find evidence that investors preferred portfolio assets of countries where the central bank gave relative importance to money. As for EMU, once controlling for diversification benefits and the elimination of the exchange rate risk, we show that cross-border portfolio flows among euro-area countries have increased due to the catalyst effect of EMU. Countries' shares in the world market portfolio, home bias, initial degree of misallocation across countries, past returns, diversification benefits, and EMU can explain 35-40 percent of the total variation in equity and bond asset flows. JEL Codes: C13, C21, F37, G11.

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Effects of Volatile Asset Prices on Balance of Payments and International Investment Position Data

Cited by 2 publications

References 0 publications

External Debt Statistics: Guide for Compilers and Users

External Debt Statistics: Guide for Compilers and Users

The Geography of International Portfolio Flows, International Capm and the Role of Monetary Policy Frameworks

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