Estimating U.S. Cross-Border Securities Positions: New Data and New Methods

58 Pages Posted: 21 Aug 2014

See all articles by Carol C. Bertaut

Carol C. Bertaut

Board of Governors of the Federal Reserve System

Ruth Judson

Board of Governors of the Federal Reserve - Division of International Finance

Date Written: August 18, 2014

Abstract

The role of capital flows in the buildup to the global financial crisis and the potential vulnerabilities posed by capital flows to emerging market economies highlight the importance of reliable and timely measures of cross-border investment activity to better monitor developments as they unfold. We present new monthly estimates of U.S. cross-border securities investment, combining information from detailed annual Treasury International Capital (TIC) surveys with new information from the TIC form SLT. We also show how changes in the new monthly data can be decomposed into flows, estimated valuation changes, and a residual "gap". These decompositions can provide a richer and timelier view of developments in both foreign portfolio investment in the U.S. and U.S. portfolio investment abroad than available from transactions data or survey data alone. Data on cross-border holdings through December 2013, by country, are available for download; we also provide advice on how to construct estimates going forward. These data can be combined with the existing Bertaut-Tryon monthly estimates of securities holdings (now updated through 2011) to generate consistent monthly time series of positions.

Keywords: capital flows, portfolio investment, treasury international capital, U.S. treasuries, emerging market economies

JEL Classification: C8, F3, G1

Suggested Citation

Bertaut, Carol C. and Judson, Ruth A., Estimating U.S. Cross-Border Securities Positions: New Data and New Methods (August 18, 2014). FRB International Finance Discussion Paper No. 1113. Available at SSRN: https://ssrn.com/abstract=2483922 or http://dx.doi.org/10.2139/ssrn.2483922

Carol C. Bertaut (Contact Author)

Board of Governors of the Federal Reserve System ( email )

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

Ruth A. Judson

Board of Governors of the Federal Reserve - Division of International Finance ( email )

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

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