## Coincident Indicators of Capital Flows

_IMF Working Papers, February 1, 2012_

## Source details

**Canonical URL:** [Coincident Indicators of Capital Flows](https://www.imf.org/en/publications/wp/issues/2016/12/31/coincident-indicators-of-capital-flows-25737)

## Other formats

- [Markdown version](/en/publications/wp/issues/2016/12/31/coincident-indicators-of-capital-flows-25737/index.md)
- [Structured JSON version](/en/publications/wp/issues/2016/12/31/coincident-indicators-of-capital-flows-25737/index.json)
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## Bibliographic details
- Authors: Malika Pant, Yanliang Miao
- Published: February 1, 2012
- Series: IMF Working Papers
- DOI: https://doi.org/10.5089/9781463937737.001

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### Summary
- 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.

### Key findings
- 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.

### Indicators and methodology
- Two coincident composite indicators are proposed:
  - A composite indicator for net flows that augments the capital tracker with regional and global coincident correlates and reweights the tracker optimally.
  - A timelier indicator that utilizes EPFR high frequency coverage of gross bond and equity flows as a proxy for foreign investors' sentiment.
- 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.

### Policy implications and use
- 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.

*Source: IMF Working Paper "Coincident Indicators of Capital Flows" by Malika Pant and Yanliang Miao, February 1, 2012.*

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## Content in this bundle

- **Appendix 1: Lags of BoP and merchandise trade data in selected EMs**
  - [Appendix 1: Lags of BoP and merchandise trade data in selected EMs (Markdown version)](/-/media/websites/imf/imported-full-text-pdf/external/pubs/ft/wp/2012/_wp1255.pdf.md){rel="alternate" type="text/markdown"}
  - [Appendix 1: Lags of BoP and merchandise trade data in selected EMs (PDF)](/-/media/websites/imf/imported-full-text-pdf/external/pubs/ft/wp/2012/_wp1255.pdf){rel="external" type="application/pdf"}

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_Source: https://www.imf.org/en/publications/wp/issues/2016/12/31/coincident-indicators-of-capital-flows-25737_