Valuation effects in the Spanish International Investment Position
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.
|Date of creation:||Aug 2007|
|Contact details of provider:|| Web page: http://www.bde.es/|
More information through EDIRC
References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Lane, Philip & Milesi-Ferretti, Gian Maria, "undated". "External Wealth of Nations," Instructional Stata datasets for econometrics extwealth, Boston College Department of Economics.
- Pierre-Olivier Gourinchas & HÃ©lÃ¨ne Rey, 2007.
"International Financial Adjustment,"
Journal of Political Economy,
University of Chicago Press, vol. 115(4), pages 665-703, 08.
- Pierre-Olivier Gourinchas & Hélène Rey, 2005. "International financial adjustment," Proceedings, Federal Reserve Bank of San Francisco.
- Gourinchas, Pierre-Olivier & Rey, HÃ©lÃ¨ne, 2005. "International Financial Adjustment," Center for International and Development Economics Research, Working Paper Series qt124628cx, Center for International and Development Economics Research, Institute for Business and Economic Research, UC Berkeley.
- Gourinchas, Pierre-Olivier & Rey, Hélène, 2005. "International Financial Adjustment," CEPR Discussion Papers 4923, C.E.P.R. Discussion Papers.
- Helene Rey & Pierre Olivier Gourinchas, 2005. "International Financial Adjustment," 2005 Meeting Papers 169, Society for Economic Dynamics.
- Pierre-Olivier Gourinchas & Hélène Rey, 2005. "International Financial Adjustment," International Finance 0505004, EconWPA.
- Pierre-Olivier Gourinchas & Helene Rey, 2005. "International Financial Adjustment," NBER Working Papers 11155, National Bureau of Economic Research, Inc.
- 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)
When requesting a correction, please mention this item's handle: RePEc:bde:opaper:0704. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (María Beiro. Electronic Dissemination of Information Unit. Research Department. Banco de España)
If references are entirely missing, you can add them using this form.