International Finance Discussion Papers (IFDP)
November 2007
Monthly Estimates of U.S. Cross-Border Securities Positions
Carol C. Bertaut and Ralph W. Tryon
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.
Related Material: Data Appendix (47 KB PDF), Time series of monthly estimates of foreign holdings of U.S. securities and U.S. holdings of foreign securities, along with the basic decomposition into monthly flows, valuation changes, and estimated gap contributions as described in section 6; Data (1503 KB ZIP), Estimated monthly positions
Full paper (screen reader version)Keywords: International investment position, treasury international capital, cross-border securities holdings
PDF: Full Paper
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