{
  "title": "Coincident Indicators of Capital Flows",
  "publication": "IMF Working Papers, February 1, 2012",
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  "summary": "Capital flows data from Balance of Payments statistics often lag 3-6 months, which renders timely surveillance and policy deliberation difficult. To address the tension, we propose two coincident composite indicators for capital flows that improve upon existing proxies.",
  "sections": [
    {
      "heading": "Summary",
      "content": "- Capital flows data from Balance of Payments statistics often lag 3-6 months, which reduces timeliness for surveillance and policy deliberation.\n- The paper proposes two coincident composite indicators for capital flows that improve upon existing proxies.\n- A timelier variant uses EPFR high frequency coverage of gross bond and equity flows to indicate foreign investors' sentiment."
    },
    {
      "heading": "Key findings",
      "content": "- The most widely used proxy, the capital tracker, often overpredicts net flows by 30 percent.\n- A composite indicator that assigns the capital tracker a lesser but optimally estimated weight and incorporates other regional and global coincident correlates of capital flows outperforms the capital tracker in its original format."
    },
    {
      "heading": "Indicators and methodology",
      "content": "- Two coincident composite indicators are proposed:\n  - A composite indicator for net flows that augments the capital tracker with regional and global coincident correlates and reweights the tracker optimally.\n  - A timelier indicator that utilizes EPFR high frequency coverage of gross bond and equity flows as a proxy for foreign investors' sentiment.\n- The approach explicitly seeks to address the 3-6 months reporting lag in Balance of Payments statistics by relying on higher-frequency and correlated series."
    },
    {
      "heading": "Policy implications and use",
      "content": "- Improved coincident indicators can enhance timely surveillance and policy deliberation by providing more accurate real-time signals of capital flow developments than the capital tracker alone.\n- The EPFR-based high-frequency indicator can complement the composite net flows indicator for even timelier monitoring of investor sentiment in bond and equity markets.\n\nSource: IMF Working Paper \"Coincident Indicators of Capital Flows\" by Malika Pant and Yanliang Miao, February 1, 2012.\n\n---\n\n Content in this bundle\n\n- Appendix 1: Lags of BoP and merchandise trade data in selected EMs\n  - Appendix 1: Lags of BoP and merchandise trade data in selected EMs (Markdown version){rel=\"alternate\" type=\"text/markdown\"}\n  - Appendix 1: Lags of BoP and merchandise trade data in selected EMs (PDF){rel=\"external\" type=\"application/pdf\"}\n\n---\n\nSource: https://www.imf.org/en/publications/wp/issues/2016/12/31/coincident-indicators-of-capital-flows-25737"
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    "Authors: Malika Pant, Yanliang Miao",
    "Published: February 1, 2012",
    "Series: IMF Working Papers",
    "DOI: https://doi.org/10.5089/9781463937737.001",
    "Capital flows data from Balance of Payments statistics often lag 3-6 months, which reduces timeliness for surveillance and policy deliberation.",
    "The paper proposes two coincident composite indicators for capital flows that improve upon existing proxies.",
    "A timelier variant uses EPFR high frequency coverage of gross bond and equity flows to indicate foreign investors' sentiment.",
    "The most widely used proxy, the capital tracker, often overpredicts net flows by 30 percent.",
    "A composite indicator that assigns the capital tracker a lesser but optimally estimated weight and incorporates other regional and global coincident correlates of capital flows outperforms the capital tracker in its original format.",
    "Two coincident composite indicators are proposed:",
    "The approach explicitly seeks to address the 3-6 months reporting lag in Balance of Payments statistics by relying on higher-frequency and correlated series.",
    "Improved coincident indicators can enhance timely surveillance and policy deliberation by providing more accurate real-time signals of capital flow developments than the capital tracker alone.",
    "The EPFR-based high-frequency indicator can complement the composite net flows indicator for even timelier monitoring of investor sentiment in bond and equity markets.",
    "**Appendix 1: Lags of BoP and merchandise trade data in selected EMs**"
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