IMF Working Papers

Effects of Volatile Asset Priceson Balance of Payments and International Investment Position

By Marco Committeri

November 1, 2000

Download PDF

Preview Citation

Format: Chicago

Marco Committeri. Effects of Volatile Asset Priceson Balance of Payments and International Investment Position, (USA: International Monetary Fund, 2000) accessed September 24, 2024
Disclaimer: This Working Paper should not be reported as representing the views of the IMF.The views expressed in this Working Paper are those of the author(s) and do not necessarily represent those of the IMF or IMF policy. Working Papers describe research in progress by the author(s) and are published to elicit comments and to further debate

Summary

This paper aims at clarifying, with the help of a simple formal model and numerical examples, several aspects of the relationship between international investment position (IIP) and balance of payments (BOP) statistics. Exact and approximated relations are compared to analyze the estimation accuracy of the most popular data model used to reconcile BOP transaction statistics with IIP and external debt stock statistics, and discuss (a) how such accuracy is affected by volatile asset prices and transactions and (b) how net errors and omissions are related to the model in question. Numerical examples based on equity prices and exchange rates actually observed in the 1990s suggest that the bias might have been especially large for estimates based on less detailed financial information. Serious consideration should be therefore given by national compilers to make use of more detailed financial information in compiling BOP and IIP statistics.

Subject: Asset prices, Balance of payments statistics, Economic and financial statistics, Exchange rates, Financial institutions, Foreign exchange, Prices, Securities, Stocks

Keywords: Asset prices, Balance of payments, Balance of payments statistics, Capital flight, Case price dispersion, Errors and omissions, Exchange rates, External debt, Financial asset, Global, IMF model, International investment position, Non-transaction adjustment, Period price, Portfolio investment transaction, Securities, Statistical accuracy, Stock estimator, Stocks, Transaction volatility, Volatility, WP

Publication Details

  • Pages:

    42

  • Volume:

    ---

  • DOI:

    ---

  • Issue:

    ---

  • Series:

    Working Paper No. 2000/191

  • Stock No:

    WPIEA1912000

  • ISBN:

    9781451859706

  • ISSN:

    1018-5941

You May Also Be Interested In...

Navigating External Shocks in Southeast Asia's Emerging Markets: Key Lessons and Challenges in Applying the IMF’s Integrated Policy Framework

September 23, 2024

Togo: 2024 Article IV Consultation-Press Release; Staff Report; and Statement by the Executive Director for Togo

September 23, 2024

Systemic Implications of Financial Inclusion

September 20, 2024

Satellite-Based Census of Residential Buildings: Application for Climate Risk Assessment

September 20, 2024