IMF Working Papers

Capital Flow Data – A Guide for Empirical Analysis and Real-time Tracking

By Robin Koepke, Simon Paetzold

August 21, 2020

Download PDF

Preview Citation

Format: Chicago

Robin Koepke, and Simon Paetzold. Capital Flow Data – A Guide for Empirical Analysis and Real-time Tracking, (USA: International Monetary Fund, 2020) accessed November 23, 2024

Disclaimer: IMF Working Papers describe research in progress by the author(s) and are published to elicit comments and to encourage debate. The views expressed in IMF Working Papers are those of the author(s) and do not necessarily represent the views of the IMF, its Executive Board, or IMF management.

Summary

This paper provides an analytical overview of the most widely used capital flow datasets. The paper is written as a guide for academics who embark on empirical research projects and for policymakers who need timely information on capital flow developments to inform their decisions. We address common misconceptions about capital flow data and discuss differences between high-frequency proxies for portfolio flows. In a nowcasting “horse race” we show that high-frequency proxies have significant predictive content for portfolio flows from the balance of payments (BoP). We also construct a new dataset for academic use, consisting of monthly portfolio flows broadly consistent with BoP data.

Starting in 2023, updates to the monthly portfolio flow dataset introduced in this paper are provided as part of the OECD’s Monthly Capital Flow Dataset (De Crescenzio and Lepers 2021), available here: https://www.oecd.org/daf/inv/investment-policy/oecd-monthly-capital-flow-dataset.xlsx

Subject: Balance of payments, Balance of payments statistics, Capital flows, Economic and financial statistics, Emerging and frontier financial markets, Financial institutions, Financial markets, Flow of funds, National accounts, Stocks

Keywords: Africa, Balance of payments, Balance of payments statistics, Capital flows, Coincident indicators, Debt flow, Emerging and frontier financial markets, Flow data, Flow of funds, Flow proxy, Fund flows, Global, IIF data, IMF balance of payments data, IMF balance of payments statistic, Portfolio flow, Portfolio flows, Stocks, WP

Publication Details

  • Pages:

    47

  • Volume:

    ---

  • DOI:

    ---

  • Issue:

    ---

  • Series:

    Working Paper No. 2020/171

  • Stock No:

    WPIEA2020171

  • ISBN:

    9781513554495

  • ISSN:

    1018-5941

Supplemental Resources