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Board of Governors of the Federal Reserve System (U.S.)
International Finance Discussion Papers
Estimating U.S. Cross-Border Securities Positions: New Data and New Methods
Carol C. Bertaut
Ruth Judson
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.


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Carol C. Bertaut & Ruth Judson, Estimating U.S. Cross-Border Securities Positions: New Data and New Methods, Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers 1113, 13 Aug 2014.
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Keywords: Capital flows; portfolio investment; treasury international capital; U.S. treasuries; emerging market economies
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