Monthly Estimates of U.S. Cross-Border Securities Positions

57 Pages Posted: 9 Dec 2007

See all articles by Carol C. Bertaut

Carol C. Bertaut

Board of Governors of the Federal Reserve System

Ralph W. Tryon

Government of the United States of America - Division of International Finance (IFDP)

Date Written: November 2007

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.

Keywords: International investment position, treasury international capital, cross-border securities holdings

JEL Classification: C80, F30

Suggested Citation

Bertaut, Carol C. and Tryon, Ralph, Monthly Estimates of U.S. Cross-Border Securities Positions (November 2007). FRB International Finance Discussion Paper No. 910. Available at SSRN: https://ssrn.com/abstract=1066802 or http://dx.doi.org/10.2139/ssrn.1066802

Carol C. Bertaut (Contact Author)

Board of Governors of the Federal Reserve System ( email )

20th and C Streets, NW
Washington, DC 20551
United States

Ralph Tryon

Government of the United States of America - Division of International Finance (IFDP) ( email )

Stop 24
Washington, DC 20551
United States
202-452-2368 (Phone)
202-736-5638 (Fax)

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