**Appendix B2: Variables and Sources of Data**

|**Variable**|**Definition**|**Sources**|
|---|---|---|
|Portfolio liabilities|Transactions with nonresidents in financial securities (such as<br>corporate securities,bonds,notes,and moneymarket instruments)|IFS (line 78bgd)|
|Other liabilities|Other transactions with nonresidents, major categories are:<br>transactions in currencyand deposit loans and trade credits|IFS (line 78bid)|
|Direct foreign<br>liabilities|Equity capital, reinvested earnings|IFS (line 78bgd)|
|Capital flows|Sum ofportfolio and other liabilities|IFS|
|Public debt|Gross general government debt (in some cases central government<br>debt),% of GDP|IFS/National Sources|
|Fiscal balance|Revenue (including grants) minus expense, net acquisition of<br>nonfinancial assets. % of GDP.|WEO|
|Capital controls|Overall restrictions index of all asset categories|Klein et al.,(2015)|
|Fed funds Rate|Fed fund rate(%) (US PolicyRate)|IFS|
|World GDP|World GDP(%per annum)|WDI,World Bank|
|VIX|CBOE Volatility Index|Bloomberg|
|Net foreign currency<br>position|An index which takes values between (-1; 1):value of -1<br>corresponds to zero foreign-currency foreign assets and only<br>foreign-currency liabilities, +1 corresponds to only foreign-<br>currencyforeign assets and no domestic-currencyforeign liabilities|Lane and Shambaugh (2014),<br>updated version of Lane and<br>Milesi-Ferretti (2007) dataset|
|Political risk|Risk ratings range from a high of 100 (least risk) to a low of 0<br>(highest risk)|Political Risk Services (PRS)|
|Exchange regime|de facto exchange rate regime classification|Ilzetzki,Reinhart,Rogoff,2008|
|Investmentgrowth|Quarterlyinvestmentgrowth|IFS|
|Nominal GDP|QuarterlyNominal GDP|GEM,World Bank|
|Real GDP|QuarterlyReal GDP|IFS|
|Foreign reserves|Foreign Exchange Reserves in Million USD(End ofperiod data)|IFS|
|Exchange rate|Official exchange rate local currency per USD(Monthlyaverage)|IFS|
|Stockprice index|National Stock Price Indices,monthlyaverage in currentprices|IFS and Haver|
|Current account<br>balance|Sum of net exports of goods and services, net primary income, and<br>net secondaryincome,% of GDP|National Sources|
|Domestic credit to<br>private sector|Financial resources provided to the private sector by financial<br>corporations|WDI|
|Real effective<br>exchange rate|Nominal effective exchange rate index adjusted for relative<br>movements in national price or cost indicators of the home<br>country,selected countries,and the euro area|JPMorgan Real Broad Effective<br>Exchange Rate Index|
|Nominal effective<br>exchange rate|Ratio (base 2010 = 100) of an index of a currency's period-average<br>exchange rate to a weighted geometric average of exchange rates<br>for currencies of selected countries and the euro area|JPMorgan Nominal Broad<br>Effective Exchange Rate Index|
|Real exchange rate|Computed as nominal exchange rate*US consumer price index/<br>consumerprice index|exchange rate from IFS; CPI<br>from WDI|
|Inflation|CPI inflation calculated as % change overpreviousyear.(%yoy)|IFS|
|Inflation targeting|dummy variable takes a value of 1 after a country moves to an<br>inflation targetingregime and 0 before that||
|External liabilities|External liabilities includeportfolio equity,FDI and debt liabilities.|Lane and Milesi-Ferretti(2007)|
|G4-moneysupply|Sum of US,UK, Japan and Euro area moneysupply (M2)|Haver|

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