Modeling direct investment valuation adjustments and estimating quarterly positions
By: Jane Ihrig, Jaime Marquez
Contributors: Marquez, Jaime R.; Board of Governors of the Federal Reserve System (U.S.)
Series: International finance discussion papers -- no. 857; International finance discussion papers (Online) -- no. 857.
Publisher: Federal Reserve Board
Published: 2006
Place of publication: Washington, D.C
Language: eng
Format: [electronic resource] /
Description: "This paper takes an in-depth look at U.S.  direct investment valuation adjustments.  We develop a methodology to generate valuation adjustments at the quarterly frequency, which can be combined with the Bureau of Economic Analysis's quarterly direct investment flows to obtain quarterly estimates of direct investment assets and liabilities.  Our methodology involves two steps.  First, we estimate valuation adjustment models with annual data.  Our models rely on variables that reflect terms used by the Bureau of Economic Analysis in their data construction: exchange-rate changes, changes in the price of products, and changes in stock-market prices.  Second, we apply quarterly data to the estimated models to generate quarter valuations and implement a procedure that ensures that the estimated valuations for the four quarters in a given year sum to the reported annual valuation adjustments.  With this framework we consider how asset price shocks affect the net direct investment position and, hence, net international investment position"--Federal Reserve Board web site.
Notes: Title from PDF file as viewed on 6/1/2006.

Includes bibliographical references.

Also available in print.

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Mode of access: World Wide Web.