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Monthly estimates of U.S. cross-border securities positions

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  • Carol C. Bertaut
  • Ralph W. Tryon
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    Abstract

    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 procedure can be extended to extrapolate holdings estimates beyond the most recent survey values. We focus primarily on U.S. liabilities to foreign holders, because more data is available than for U.S. claims, but we show how our methodology can be applied to U.S. claims as well. We also provide some guidance on how the changes in estimated holdings can be decomposed into flows, valuation changes, and other factors. Time series of estimates of holdings, by country, are available for download.

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    File URL: http://www.federalreserve.gov/pubs/ifdp/2007/910/default.htm
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    File URL: http://www.federalreserve.gov/pubs/ifdp/2007/910/ifdp910.pdf
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    Bibliographic Info

    Paper provided by Board of Governors of the Federal Reserve System (U.S.) in its series International Finance Discussion Papers with number 910.

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    Date of creation: 2007
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    Handle: RePEc:fip:fedgif:910

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    Related research

    Keywords: Investments; Foreign ; Securities;

    This paper has been announced in the following NEP Reports:

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    Cited by:
    1. Stephanie E. Curcuru & Charles P. Thomas & Francis E. Warnock, 2008. "Current account sustainability and relative reliability," International Finance Discussion Papers 947, Board of Governors of the Federal Reserve System (U.S.).
    2. Martin Evans, 2012. "International Capital Flows and Debt Dynamics," Working Papers gueconwpa~12-12-04, Georgetown University, Department of Economics.
    3. Stephanie E. Curcuru & Tomas Dvorak & Francis E. Warnock, 2009. "Decomposing the U.S. External Returns Differential," NBER Working Papers 15077, National Bureau of Economic Research, Inc.
    4. Curcuru, Stephanie E. & Dvorak, Tomas & Warnock, Francis E., 2010. "Decomposing the U.S. external returns differential," Journal of International Economics, Elsevier, vol. 80(1), pages 22-32, January.
    5. Stephanie E. Curcuru & Charles P. Thomas & Francis E. Warnock, 2008. "Current Account Sustainability and Relative Reliability," NBER Working Papers 14295, National Bureau of Economic Research, Inc.
    6. Brandon Julio & Youngsuk Yook, 2013. "Policy uncertainty, irreversibility, and cross-border flows of capital," Finance and Economics Discussion Series 2013-64, Board of Governors of the Federal Reserve System (U.S.).
    7. Martin Evans and Alberto Fuertes, 2010. "Understanding the Dynamics of the US External Position," Working Papers gueconwpa~10-10-05, Georgetown University, Department of Economics.

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