IDEAS home Printed from https://ideas.repec.org/p/bde/opaper/0704.html

Valuation effects in the Spanish International Investment Position

Author

Listed:
  • Arturo Macías

    (Banco de España)

  • Álvaro Nash

    (Banco Central de Chile)

Abstract

The International Investment Position records the value of foreign assets and liabilities of an economy in a given date. Its evolution is determined by the financial transactions of the Balance of Payments, which affects the volume of assets and liabilities, by differences in the valuation of the stock, derived from changes in prices or exchange rates, and by other adjustments, that are primarily reclassifications of foreign assets. The objective of this article is to compute the price and exchange rate effects implicit in the evolution of the International Investment Position of Spain, taking into account its possible limitations. The valuation effects are determined by the characteristics of the financial instrument and the information sources available for every heading of the IIP. In this article, disaggregated data by denomination currency of the instrument are used for every heading. On the other hand, for portfolio investment, asset-by-asset data available for 2003 and 2004 are used. In addition, for IED data, which are mainly not recorded at market price (and given that price changes for those instruments between 1993 and 2006 have been substantial), it is developed a methodology in order to reconstruct the value of IED assets and liabilities, including the valuation associated with price changes. The conclusions of this work for the Spanish case provide evidence that stock revaluation explains a very important share of the IIP changes for the latest years. The 55% of the increase of the IIP between 1993 and 2004 is related to value changes due to price or exchange rate changes. The accumulation of these value changes is equal to the 19% of the GDP of the year 2004. The decomposition of this effect between price effect and exchange rate effect can be estimated for 1997-2004 period, and the increase in the net IIP debt position (247.930 million euros) can be explained in a 52% by Balance of Payments transactions, and 47.3% is the result of revaluation of the instruments and other adjustments. This 47.3% can be decomposed in a 27.6% due to price effects, 10.1% due to exchange rate effects and the remaining 9.6% is the result of other non determined variations.

Suggested Citation

  • Arturo Macías & Álvaro Nash, 2007. "Valuation effects in the Spanish International Investment Position," Occasional Papers 0704, Banco de España.
    • Handle: RePEc:bde:opaper:0704
    as

    Download full text from publisher

    File URL: http://www.bde.es/f/webbde/SES/Secciones/Publicaciones/PublicacionesSeriadas/DocumentosOcasionales/07/Fic/do0704.pdf
    File Function: First spanish version, August 2007
    Download Restriction: no
    ---><---

    References listed on IDEAS

    as
    1. Pierre-Olivier Gourinchas & Hélène Rey, 2007. "International Financial Adjustment," Journal of Political Economy, University of Chicago Press, vol. 115(4), pages 665-703, August.
    2. Lane, Philip & Milesi-Ferretti, Gian Maria, "undated". "External Wealth of Nations," Instructional Stata datasets for econometrics extwealth, Boston College Department of Economics.
    3. Esteban Jadresic & Sergio Lehman & Álvaro Rojas & Jorge Selaive & Alberto Naudon, 2003. "Análisis del Balance Financiero Externo de Chile," Economic Policy Papers Central Bank of Chile 07, Central Bank of Chile.
    Full references (including those not matched with items on IDEAS)

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Konrad Sobanski, 2015. "Valuation Effect As A Determinant Of The International Investment Position In Central And Eastern European Economies," Equilibrium. Quarterly Journal of Economics and Economic Policy, Institute of Economic Research, vol. 10(3), pages 151-164, September.

    Most related items

    These are the items that most often cite the same works as this one and are cited by the same works as this one.
    1. Obstfeld, Maurice, 2012. "Financial flows, financial crises, and global imbalances," Journal of International Money and Finance, Elsevier, vol. 31(3), pages 469-480.
    2. Hoffmann, Mathias, 2013. "What drives China's current account?," Journal of International Money and Finance, Elsevier, vol. 32(C), pages 856-883.
    3. Anna Pavlova & Roberto Rigobon, 2010. "International Macro-Finance," NBER Working Papers 16630, National Bureau of Economic Research, Inc.
    4. Pascal Towbin, 2013. "Financial Integration And External Sustainability," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 18(4), pages 375-395, October.
    5. Ali Trabelsi Karoui & Aida Kammoun, 2021. "Exchange Rate Determination: Mixed Microstructural and Macroeconomic Approach," International Journal of Economics and Financial Issues, Econjournals, vol. 11(3), pages 89-106.
    6. McCauley, Robert N., 2015. "Does the US dollar confer an exorbitant privilege?," Journal of International Money and Finance, Elsevier, vol. 57(C), pages 1-14.
    7. Bernoth, Kerstin & Herwartz, Helmut, 2021. "Exchange rates, foreign currency exposure and sovereign risk," EconStor Open Access Articles and Book Chapters, ZBW - Leibniz Information Centre for Economics, vol. 117, pages 1-1.
    8. Zorell, Nico, 2017. "Large net foreign liabilities of euro area countries," Occasional Paper Series 198, European Central Bank.
    9. Philip R. Lane, 2008. "The Macroeconomics of Financial Integration: A European Perspective," The Institute for International Integration Studies Discussion Paper Series iiisdp265, IIIS.
    10. Bergant, Katharina, 2021. "The role of stock-flow adjustment during the global financial crisis," Journal of International Money and Finance, Elsevier, vol. 110(C).
    11. Devereux, Michael B. & Sutherland, Alan, 2010. "Valuation effects and the dynamics of net external assets," Journal of International Economics, Elsevier, vol. 80(1), pages 129-143, January.
    12. Maurice Obstfeld & Kenneth S. Rogoff, 2005. "The unsustainable U.S. current account position revisited," Proceedings, Federal Reserve Bank of San Francisco, issue feb.
    13. Faruk Balli & Sebnem Kalemli‐Ozcan & Bent E. Sørensen, 2012. "Risk sharing through capital gains," Canadian Journal of Economics/Revue canadienne d'économique, John Wiley & Sons, vol. 45(2), pages 472-492, May.
    14. Devereux, Michael B. & Saito, Makoto & Yu, Changhua, 2020. "International capital flows, portfolio composition, and the stability of external imbalances," Journal of International Economics, Elsevier, vol. 127(C).
    15. Mariam Camarero & Josep Lluís Carrion‐i‐Silvestre & Cecilio Tamarit, 2021. "External imbalances from a GVAR perspective," The World Economy, Wiley Blackwell, vol. 44(11), pages 3202-3245, November.
    16. Oscar Bajo-Rubio & Carmen D Roldᮠ & Esteve, 2014. "Sustainability of external imbalances in the OECD countries," Applied Economics, Taylor & Francis Journals, vol. 46(4), pages 441-449, February.
    17. Nicolas Coeurdacier & Robert Kollmann & Philippe Martin, 2009. "International Portfolios with Supply, Demand, and Redistributive Shocks," NBER Chapters, in: NBER International Seminar on Macroeconomics 2007, pages 231-263, National Bureau of Economic Research, Inc.
    18. Bruno Bonizzi, 2013. "Capital Flows to Emerging Markets: An alternative Theoretical Framework," Working Papers 186, Department of Economics, SOAS University of London, UK.
    19. Camarero, Mariam & Carrion-i-Silvestre, Josep Lluís & Tamarit, Cecilio, 2013. "Global imbalances and the intertemporal external budget constraint: A multicointegration approach," Journal of Banking & Finance, Elsevier, vol. 37(12), pages 5357-5372.
    20. Devereux, Michael B. & Genberg, Hans, 2007. "Currency appreciation and current account adjustment," Journal of International Money and Finance, Elsevier, vol. 26(4), pages 570-586, June.

    More about this item

    Keywords

    ;
    ;
    ;
    ;
    ;
    ;
    ;
    ;

    JEL classification:

    • F10 - International Economics - - Trade - - - General
    • F20 - International Economics - - International Factor Movements and International Business - - - General
    • F40 - International Economics - - Macroeconomic Aspects of International Trade and Finance - - - General

    NEP fields

    This paper has been announced in the following NEP Reports:

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:bde:opaper:0704. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Ángel Rodríguez. Electronic Dissemination of Information Unit. Research Department. Banco de España (email available below). General contact details of provider: https://edirc.repec.org/data/bdegves.html .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.