benchmarks for net international investment positions · short-term debt liabilities 12 0.3 0.08...
TRANSCRIPT
![Page 1: Benchmarks for Net International Investment Positions · Short-term debt liabilities 12 0.3 0.08 0.62 19 0.62 Gross debt liabilities 25 0.1 0.04 0.86 109 0.52 Reserves 6 ... ITA JPN](https://reader031.vdocument.in/reader031/viewer/2022022801/5c729d1b09d3f2be7e8bc682/html5/thumbnails/1.jpg)
Benchmarks for Net International Investment Positions
Alessandro Turrini and Stefan Zeugner
European Commission
International Financial Integration in a Changing Policy Context – the End of an Era?, Brussels, 2 March 2018
The views set out in this paper are those of the authors and do not necessarily reflect the official opinion of the European Commission.
![Page 2: Benchmarks for Net International Investment Positions · Short-term debt liabilities 12 0.3 0.08 0.62 19 0.62 Gross debt liabilities 25 0.1 0.04 0.86 109 0.52 Reserves 6 ... ITA JPN](https://reader031.vdocument.in/reader031/viewer/2022022801/5c729d1b09d3f2be7e8bc682/html5/thumbnails/2.jpg)
2
Context
• Since 2008, current account imbalances in many EU and emerging countries have adjusted
• But stock imbalances remain large: in particular NIIPs, that result from past deficits and surpluses
• Issue for macroeconomic surveillance (including EU Macroeconomic Imbalance Procedure)
• Have NIIPs adjusted enough? How far to go further?
![Page 3: Benchmarks for Net International Investment Positions · Short-term debt liabilities 12 0.3 0.08 0.62 19 0.62 Gross debt liabilities 25 0.1 0.04 0.86 109 0.52 Reserves 6 ... ITA JPN](https://reader031.vdocument.in/reader031/viewer/2022022801/5c729d1b09d3f2be7e8bc682/html5/thumbnails/3.jpg)
3
Diverging NIIPs. Too much? On what respect?
![Page 4: Benchmarks for Net International Investment Positions · Short-term debt liabilities 12 0.3 0.08 0.62 19 0.62 Gross debt liabilities 25 0.1 0.04 0.86 109 0.52 Reserves 6 ... ITA JPN](https://reader031.vdocument.in/reader031/viewer/2022022801/5c729d1b09d3f2be7e8bc682/html5/thumbnails/4.jpg)
4
Aim of the paper
• Assessing NIIPs requires adequate benchmark
• Few existing analyses (e.g., Berti et al., 2010; Catão and Milesi Ferretti, 2014; Zorell, 2017) estimate common prudential thresholds across cross-country panels
• However:
Tolerance to external liabilities country-specific
How to judge large positive NIIPs?
![Page 5: Benchmarks for Net International Investment Positions · Short-term debt liabilities 12 0.3 0.08 0.62 19 0.62 Gross debt liabilities 25 0.1 0.04 0.86 109 0.52 Reserves 6 ... ITA JPN](https://reader031.vdocument.in/reader031/viewer/2022022801/5c729d1b09d3f2be7e8bc682/html5/thumbnails/5.jpg)
5
NIIP benchmarks: norm vs. prudential threshold
Two complementary approaches:
NIIP norm – two-sided:
• NIIP in line with economic fundamentals.
Prudential NIIP threshold – one-sided:
• NIIP threshold associated with increased external sustainability crisis.
![Page 6: Benchmarks for Net International Investment Positions · Short-term debt liabilities 12 0.3 0.08 0.62 19 0.62 Gross debt liabilities 25 0.1 0.04 0.86 109 0.52 Reserves 6 ... ITA JPN](https://reader031.vdocument.in/reader031/viewer/2022022801/5c729d1b09d3f2be7e8bc682/html5/thumbnails/6.jpg)
6
Estimating NIIP norms
• Directly regressing NIIP levels
Risk of spurious relation: NIIP (near)integrated in available samples.
• Alternative route:
Regress current accounts on main drivers
Predict current account norms on the basis of fundamental drivers (non-temporary, policy variables set at "normal value")
Cumulate current account norms over time
![Page 7: Benchmarks for Net International Investment Positions · Short-term debt liabilities 12 0.3 0.08 0.62 19 0.62 Gross debt liabilities 25 0.1 0.04 0.86 109 0.52 Reserves 6 ... ITA JPN](https://reader031.vdocument.in/reader031/viewer/2022022801/5c729d1b09d3f2be7e8bc682/html5/thumbnails/7.jpg)
7
Current account model
• Similar to Phillips et al. (2013)
Annual frequency
Including large set of fundamental and non-fundamental controls (25)
Variables expressed as differences from world average where appropriate
Advanced and emerging country sample (65) over 1987-2016 period
• Policy at "normal" level=world average
• NIIP not a fundamental
![Page 8: Benchmarks for Net International Investment Positions · Short-term debt liabilities 12 0.3 0.08 0.62 19 0.62 Gross debt liabilities 25 0.1 0.04 0.86 109 0.52 Reserves 6 ... ITA JPN](https://reader031.vdocument.in/reader031/viewer/2022022801/5c729d1b09d3f2be7e8bc682/html5/thumbnails/8.jpg)
8
Current account norms vs. DNIIP norms
Δ𝑁𝐼𝐼𝑃𝑡 = 𝑁𝐼𝐼𝑃𝑡 −11+𝑔𝑡𝑁𝐼𝐼𝑃𝑡−1 = 𝐶𝐴𝑡 + 𝐾𝐴𝑡 + 𝑉𝐸𝑡 +𝑁𝐸𝑂𝑡
Are current account norms a good approximation for Δ𝑁𝐼𝐼𝑃𝑡 norms?
• CA regressions yield broadly same coefficients as regressions on Δ𝑁𝐼𝐼𝑃𝑡 , but more precisely estimated
• One exception: "financial center" dummy (higher CAs and offsetting valuation effects)
• → Financial center dummy included in CA regression
but not included among the fundamentals
![Page 9: Benchmarks for Net International Investment Positions · Short-term debt liabilities 12 0.3 0.08 0.62 19 0.62 Gross debt liabilities 25 0.1 0.04 0.86 109 0.52 Reserves 6 ... ITA JPN](https://reader031.vdocument.in/reader031/viewer/2022022801/5c729d1b09d3f2be7e8bc682/html5/thumbnails/9.jpg)
9
Cumulating current account norms
𝑁𝐼𝐼𝑃𝑡 = 𝑁𝐼𝐼𝑃0𝑌0𝑌𝑡+ 𝐶𝐴𝑖
𝑡
𝑖=1
𝑌𝑖𝑌𝑡
• Choice of 𝑁𝐼𝐼𝑃0 : year where NIIP has lowest absolute value in 1993-1996 period
Earliest year for which CA norms are available for all countries is 1997
Comparability: avoid large differences in incidence of initial value across countries
NIIPs were low in absolute value at mid-1990s
• Incidence of initial NIIP is limited
![Page 10: Benchmarks for Net International Investment Positions · Short-term debt liabilities 12 0.3 0.08 0.62 19 0.62 Gross debt liabilities 25 0.1 0.04 0.86 109 0.52 Reserves 6 ... ITA JPN](https://reader031.vdocument.in/reader031/viewer/2022022801/5c729d1b09d3f2be7e8bc682/html5/thumbnails/10.jpg)
10
NIIP norms for 2016, based on differing starting values
![Page 11: Benchmarks for Net International Investment Positions · Short-term debt liabilities 12 0.3 0.08 0.62 19 0.62 Gross debt liabilities 25 0.1 0.04 0.86 109 0.52 Reserves 6 ... ITA JPN](https://reader031.vdocument.in/reader031/viewer/2022022801/5c729d1b09d3f2be7e8bc682/html5/thumbnails/11.jpg)
11
NIIP prudential threshold: Approach
Signalling approach (Kaminsky et al., 1998)
Min [Prob(missed crises) + Prob(false alarm)]
External crisis definition According to definition in Catão & Milesi-Ferretti: default or IMF assistance). 64 countries, 1980-2015
Computation of threshold: global max guaranteed
Assessment
- Signal power
- Robustness to sample perturbations
- Robustness to choice of target function (equalisation of error probability, AUROC)
![Page 12: Benchmarks for Net International Investment Positions · Short-term debt liabilities 12 0.3 0.08 0.62 19 0.62 Gross debt liabilities 25 0.1 0.04 0.86 109 0.52 Reserves 6 ... ITA JPN](https://reader031.vdocument.in/reader031/viewer/2022022801/5c729d1b09d3f2be7e8bc682/html5/thumbnails/12.jpg)
12
NIIP prudential threshold: Findings
Findings
• Common -25% NIIP threshold
• NIIP has stronger signal power than other external stock variables, equaled only by "Net Marketable External Debt" (≈NIIP net of equity)
• NIIP/relative GDP per capita permits to
Obtain a threshold with higher signal power than pure NIIP
Obtain country-specific thresholds (about -50% on average)
• Interpretation: GDP per capita captures structural and institutional aspects related to external debt tolerance
![Page 13: Benchmarks for Net International Investment Positions · Short-term debt liabilities 12 0.3 0.08 0.62 19 0.62 Gross debt liabilities 25 0.1 0.04 0.86 109 0.52 Reserves 6 ... ITA JPN](https://reader031.vdocument.in/reader031/viewer/2022022801/5c729d1b09d3f2be7e8bc682/html5/thumbnails/13.jpg)
13
Estimating prudential thresholds: Results
Dep. var.: external crisis start in t+1, 1980-2015, for 64 countries. Sample omits within crisis observations
Thres-
hold
Signal
power
% Missed
crises
% False
alerts
Threshold
std. dev. AUROC
NIIP -25 0.33 0.22 0.45 7 0.72
NIIP - FDI 12 0.12 0.27 0.61 3 0.49
NMED -16 0.39 0.2 0.41 3 0.73
Net short-term debt 204 0.01 0 0.99 68 0.11
Short-term debt liabilities 12 0.3 0.08 0.62 19 0.62
Gross debt liabilities 25 0.1 0.04 0.86 109 0.52
Reserves 6 0.24 0.38 0.38 2 0.64
NIIP / relative per capita income -83 0.48 0.18 0.34 8 0.77
NMED/relative per cap. income -78 0.55 0.3 0.16 5 0.79
NIIP / imports -140 0.41 0.36 0.24 29 0.77
NIIP / external assets -192 0.42 0.33 0.25 44 0.73
![Page 14: Benchmarks for Net International Investment Positions · Short-term debt liabilities 12 0.3 0.08 0.62 19 0.62 Gross debt liabilities 25 0.1 0.04 0.86 109 0.52 Reserves 6 ... ITA JPN](https://reader031.vdocument.in/reader031/viewer/2022022801/5c729d1b09d3f2be7e8bc682/html5/thumbnails/14.jpg)
14
Interacting NIIP with income allows for better separating crisis vs. non-crisis episodes
Large red: crisis start in t+1, small red: crisis within 5 years, grey: no crisis 1980-2015, relative income is GDP in PPP per working-age person as % of G3
![Page 15: Benchmarks for Net International Investment Positions · Short-term debt liabilities 12 0.3 0.08 0.62 19 0.62 Gross debt liabilities 25 0.1 0.04 0.86 109 0.52 Reserves 6 ... ITA JPN](https://reader031.vdocument.in/reader031/viewer/2022022801/5c729d1b09d3f2be7e8bc682/html5/thumbnails/15.jpg)
15
Additional robustness checks
• Alternative interaction terms (trade and financial openness, NIIP composition) performing less well
• Income-interacted NIIP also performs well with respect to sample and threshold uncertainty
• Results are broadly confirmed using a different crisis definition (currency crises according to Laeven and Valencia, 2012)
![Page 16: Benchmarks for Net International Investment Positions · Short-term debt liabilities 12 0.3 0.08 0.62 19 0.62 Gross debt liabilities 25 0.1 0.04 0.86 109 0.52 Reserves 6 ... ITA JPN](https://reader031.vdocument.in/reader031/viewer/2022022801/5c729d1b09d3f2be7e8bc682/html5/thumbnails/16.jpg)
16
Estimated NIIP benchmarks
• NIIP norms and NIIP prudential benchmarks for 65 countries, 1995-2016
• Main patterns for NIIP benchmarks
NIIP benchmarks highly country specific
Prudential thresholds generally well below norm (2-sided)
Negative cross-section relation → tension between
factors underpinning scope for external borrowing and debt tolerance
Median NIIP and NIIP norms co-moving in time (but exceptions!)
Growing NIIP dispersion not matched by NIIP benchmark dispersion
![Page 17: Benchmarks for Net International Investment Positions · Short-term debt liabilities 12 0.3 0.08 0.62 19 0.62 Gross debt liabilities 25 0.1 0.04 0.86 109 0.52 Reserves 6 ... ITA JPN](https://reader031.vdocument.in/reader031/viewer/2022022801/5c729d1b09d3f2be7e8bc682/html5/thumbnails/17.jpg)
17
NIIP norm vs prudential threshold, average over time
![Page 18: Benchmarks for Net International Investment Positions · Short-term debt liabilities 12 0.3 0.08 0.62 19 0.62 Gross debt liabilities 25 0.1 0.04 0.86 109 0.52 Reserves 6 ... ITA JPN](https://reader031.vdocument.in/reader031/viewer/2022022801/5c729d1b09d3f2be7e8bc682/html5/thumbnails/18.jpg)
18
Median of NIIP, NIIP norm, NIIP pru thresh., World
-50
-40
-30
-20
-10
1995 2000 2005 2010 2015year
Median NIIP/GDP Median NIIP norm
Median NIIP prudential threshold
![Page 19: Benchmarks for Net International Investment Positions · Short-term debt liabilities 12 0.3 0.08 0.62 19 0.62 Gross debt liabilities 25 0.1 0.04 0.86 109 0.52 Reserves 6 ... ITA JPN](https://reader031.vdocument.in/reader031/viewer/2022022801/5c729d1b09d3f2be7e8bc682/html5/thumbnails/19.jpg)
19
St.dev. of NIIP, NIIP norm, NIIP pru thresh., World
20
40
60
80
1995 2000 2005 2010 2015year
NIIP/GDP standard deviation NIIP norm standard deviation
NIIP prudential threshold standard deviation
![Page 20: Benchmarks for Net International Investment Positions · Short-term debt liabilities 12 0.3 0.08 0.62 19 0.62 Gross debt liabilities 25 0.1 0.04 0.86 109 0.52 Reserves 6 ... ITA JPN](https://reader031.vdocument.in/reader031/viewer/2022022801/5c729d1b09d3f2be7e8bc682/html5/thumbnails/20.jpg)
20
NIIP gaps – Main patterns
• Positive cross-section relation
• Few countries above norm but below prudential threshold (mostly lower income)
• Relatively persistent, stable distribution
• NIIP gaps signal asymmetric adjustment: negative reaction to negative NIIP gaps only, significant in the case of NIIP prudential thresholds
• [strong role of small countries with financial center status with large volatile NIIP]
• No significant reaction to lagged NIIP level relevance of country-specific benchmarks
![Page 21: Benchmarks for Net International Investment Positions · Short-term debt liabilities 12 0.3 0.08 0.62 19 0.62 Gross debt liabilities 25 0.1 0.04 0.86 109 0.52 Reserves 6 ... ITA JPN](https://reader031.vdocument.in/reader031/viewer/2022022801/5c729d1b09d3f2be7e8bc682/html5/thumbnails/21.jpg)
21
Gaps with norm and prudential threshold, average over time
Risky, yet above norm
Risky and below norm
Below norm, but 'safe'
Above norm and threshold
![Page 22: Benchmarks for Net International Investment Positions · Short-term debt liabilities 12 0.3 0.08 0.62 19 0.62 Gross debt liabilities 25 0.1 0.04 0.86 109 0.52 Reserves 6 ... ITA JPN](https://reader031.vdocument.in/reader031/viewer/2022022801/5c729d1b09d3f2be7e8bc682/html5/thumbnails/22.jpg)
22
NIIP adjustment follows negative prudential gaps, not NIIP levels
5-year non-overlapping periods. Country and time effects included. t-statistics in brackets.
Dep. Variable: avg. 5-year change of NIIP
Positive NIIP gap wrt. to norm, t-5 0.022
[0.41]
Negative NIIP gap wrt. to norm, t-5 -0.036
[-1.05]
Positive NIIP gap wrt. to 0.028
prudential threshold, t-5 [0.57]
Negative NIIP gap wrt. to -0.099***
prudential threshold, t-5 [-3.47]
NIIP if positive, t-5 -0.016
[-0.38]
NIIP if negative, t-5 -0.022
[-0.58]
Constant 3.44* 1.56 4.02
[1.91] [0.81] [1.34]
R² 0.078 0.106 0.075
Observations 323 323 323
![Page 23: Benchmarks for Net International Investment Positions · Short-term debt liabilities 12 0.3 0.08 0.62 19 0.62 Gross debt liabilities 25 0.1 0.04 0.86 109 0.52 Reserves 6 ... ITA JPN](https://reader031.vdocument.in/reader031/viewer/2022022801/5c729d1b09d3f2be7e8bc682/html5/thumbnails/23.jpg)
23
Conclusions
• NIIP dynamics have changed after the crisis: benchmarks needed for surveillance purposes
• This paper computes complementary country-specific benchmarks for NIIPs for advanced and emerging economies:
Two-sided NIIP norm
One-sided prudential threshold
• The benchmarks
permit interpretation of ongoing trends (e.g., fundamentals hardly explain growing global stock imbalances)
Are a better predictor of NIIP reversal than simple NIIP (or common benchmarks)
Help assessing current accounts (computing 'required current account' to reach country-specific target NIIP)
![Page 24: Benchmarks for Net International Investment Positions · Short-term debt liabilities 12 0.3 0.08 0.62 19 0.62 Gross debt liabilities 25 0.1 0.04 0.86 109 0.52 Reserves 6 ... ITA JPN](https://reader031.vdocument.in/reader031/viewer/2022022801/5c729d1b09d3f2be7e8bc682/html5/thumbnails/24.jpg)
24
Graph 11: ReqCA to reach NIIP norm v ReqCA to reach -10%
ARGARGARGARGARGARGARGARGARGARGARGARGARGARGARGARGARGARGARGARGARG
AUSAUSAUSAUSAUSAUSAUSAUSAUSAUSAUSAUSAUSAUSAUSAUSAUSAUSAUSAUSAUS
AUTAUTAUTAUTAUTAUTAUTAUTAUTAUTAUTAUTAUTAUTAUTAUTAUTAUTAUTAUTAUT
BELBELBELBELBELBELBELBELBELBELBELBELBELBELBELBELBELBELBELBELBEL
BGRBGRBGRBGRBGRBGRBGRBGRBGRBGRBGRBGRBGRBGRBGRBGRBGRBGRBGRBGRBGR
BRABRABRABRABRABRABRABRABRABRABRABRABRABRABRABRABRABRABRABRABRA
CANCANCANCANCANCANCANCANCANCANCANCANCANCANCANCANCANCANCANCANCAN
CHECHECHECHECHECHECHECHECHECHECHECHECHECHECHECHECHECHECHECHECHE
CHLCHLCHLCHLCHLCHLCHLCHLCHLCHLCHLCHLCHLCHLCHLCHLCHLCHLCHLCHLCHL
CHNCHNCHNCHNCHNCHNCHNCHNCHNCHNCHNCHNCHNCHNCHNCHNCHNCHNCHNCHNCHN
COLCOLCOLCOLCOLCOLCOLCOLCOLCOLCOLCOLCOLCOLCOLCOLCOLCOLCOLCOLCOL
CRICRICRICRICRICRICRICRICRICRICRICRICRICRICRICRICRICRICRICRICRI
CYPCYPCYPCYPCYPCYPCYPCYPCYPCYPCYPCYPCYPCYPCYPCYPCYPCYPCYPCYPCYP
CZECZECZECZECZECZECZECZECZECZECZECZECZECZECZECZECZECZECZECZECZE
DEUDEUDEUDEUDEUDEUDEUDEUDEUDEUDEUDEUDEUDEUDEUDEUDEUDEUDEUDEUDEU
DNKDNKDNKDNKDNKDNKDNKDNKDNKDNKDNKDNKDNKDNKDNKDNKDNKDNKDNKDNKDNK
EGYEGYEGYEGYEGYEGYEGYEGYEGYEGYEGYEGYEGYEGYEGYEGYEGYEGYEGYEGYEGY
ESPESPESPESPESPESPESPESPESPESPESPESPESPESPESPESPESPESPESPESPESP
ESTESTESTESTESTESTESTESTESTESTESTESTESTESTESTESTESTESTESTESTEST
FINFINFINFINFINFINFINFINFINFINFINFINFINFINFINFINFINFINFINFINFIN
FRAFRAFRAFRAFRAFRAFRAFRAFRAFRAFRAFRAFRAFRAFRAFRAFRAFRAFRAFRAFRAGBRGBRGBRGBRGBRGBRGBRGBRGBRGBRGBRGBRGBRGBRGBRGBRGBRGBRGBRGBRGBR
GRCGRCGRCGRCGRCGRCGRCGRCGRCGRCGRCGRCGRCGRCGRCGRCGRCGRCGRCGRCGRC
GTMGTMGTMGTMGTMGTMGTMGTMGTMGTMGTMGTMGTMGTMGTMGTMGTMGTMGTMGTMGTM
HKGHKGHKGHKGHKGHKGHKGHKGHKGHKGHKGHKGHKGHKGHKGHKGHKGHKGHKGHKGHKG
HRVHRVHRVHRVHRVHRVHRVHRVHRVHRVHRVHRVHRVHRVHRVHRVHRVHRVHRVHRVHRV
HUNHUNHUNHUNHUNHUNHUNHUNHUNHUNHUNHUNHUNHUNHUNHUNHUNHUNHUNHUNHUN
IDNIDNIDNIDNIDNIDNIDNIDNIDNIDNIDNIDNIDNIDNIDNIDNIDNIDNIDNIDNIDN
INDINDINDINDINDINDINDINDINDINDINDINDINDINDINDINDINDINDINDINDIND
IRLIRLIRLIRLIRLIRLIRLIRLIRLIRLIRLIRLIRLIRLIRLIRLIRLIRLIRLIRLIRL
ISLISLISLISLISLISLISLISLISLISLISLISLISLISLISLISLISLISLISLISLISL
ISRISRISRISRISRISRISRISRISRISRISRISRISRISRISRISRISRISRISRISRISR
ITAITAITAITAITAITAITAITAITAITAITAITAITAITAITAITAITAITAITAITAITA
JPNJPNJPNJPNJPNJPNJPNJPNJPNJPNJPNJPNJPNJPNJPNJPNJPNJPNJPNJPNJPN
KORKORKORKORKORKORKORKORKORKORKORKORKORKORKORKORKORKORKORKORKOR
LKALKALKALKALKALKALKALKALKALKALKALKALKALKALKALKALKALKALKALKALKA
LTULTULTULTULTULTULTULTULTULTULTULTULTULTULTULTULTULTULTULTULTU
LUXLUXLUXLUXLUXLUXLUXLUXLUXLUXLUXLUXLUXLUXLUXLUXLUXLUXLUXLUXLUX
LVALVALVALVALVALVALVALVALVALVALVALVALVALVALVALVALVALVALVALVALVA
MARMARMARMARMARMARMARMARMARMARMARMARMARMARMARMARMARMARMARMARMAR
MEXMEXMEXMEXMEXMEXMEXMEXMEXMEXMEXMEXMEXMEXMEXMEXMEXMEXMEXMEXMEX
MKDMKDMKDMKDMKDMKDMKDMKDMKDMKDMKDMKDMKDMKDMKDMKDMKDMKDMKDMKDMKD
MLTMLTMLTMLTMLTMLTMLTMLTMLTMLTMLTMLTMLTMLTMLTMLTMLTMLTMLTMLTMLT
MYSMYSMYSMYSMYSMYSMYSMYSMYSMYSMYSMYSMYSMYSMYSMYSMYSMYSMYSMYSMYS
NLDNLDNLDNLDNLDNLDNLDNLDNLDNLDNLDNLDNLDNLDNLDNLDNLDNLDNLDNLDNLD
NORNORNORNORNORNORNORNORNORNORNORNORNORNORNORNORNORNORNORNORNOR
NZLNZLNZLNZLNZLNZLNZLNZLNZLNZLNZLNZLNZLNZLNZLNZLNZLNZLNZLNZLNZL
PAKPAKPAKPAKPAKPAKPAKPAKPAKPAKPAKPAKPAKPAKPAKPAKPAKPAKPAKPAKPAK
PERPERPERPERPERPERPERPERPERPERPERPERPERPERPERPERPERPERPERPERPER
PHLPHLPHLPHLPHLPHLPHLPHLPHLPHLPHLPHLPHLPHLPHLPHLPHLPHLPHLPHLPHL
POLPOLPOLPOLPOLPOLPOLPOLPOLPOLPOLPOLPOLPOLPOLPOLPOLPOLPOLPOLPOL
PRTPRTPRTPRTPRTPRTPRTPRTPRTPRTPRTPRTPRTPRTPRTPRTPRTPRTPRTPRTPRT
ROUROUROUROUROUROUROUROUROUROUROUROUROUROUROUROUROUROUROUROUROU
RUSRUSRUSRUSRUSRUSRUSRUSRUSRUSRUSRUSRUSRUSRUSRUSRUSRUSRUSRUSRUS
SGPSGPSGPSGPSGPSGPSGPSGPSGPSGPSGPSGPSGPSGPSGPSGPSGPSGPSGPSGPSGPSVKSVKSVKSVKSVKSVKSVKSVKSVKSVKSVKSVKSVKSVKSVKSVKSVKSVKSVKSVKSVK
SVNSVNSVNSVNSVNSVNSVNSVNSVNSVNSVNSVNSVNSVNSVNSVNSVNSVNSVNSVNSVNSWESWESWESWESWESWESWESWESWESWESWESWESWESWESWESWESWESWESWESWESWE
THATHATHATHATHATHATHATHATHATHATHATHATHATHATHATHATHATHATHATHATHA
TUNTUNTUNTUNTUNTUNTUNTUNTUNTUNTUNTUNTUNTUNTUNTUNTUNTUNTUNTUNTUN
TURTURTURTURTURTURTURTURTURTURTURTURTURTURTURTURTURTURTURTURTUR
UKRUKRUKRUKRUKRUKRUKRUKRUKRUKRUKRUKRUKRUKRUKRUKRUKRUKRUKRUKRUKR
URYURYURYURYURYURYURYURYURYURYURYURYURYURYURYURYURYURYURYURYURY
USAUSAUSAUSAUSAUSAUSAUSAUSAUSAUSAUSAUSAUSAUSAUSAUSAUSAUSAUSAUSA
ZAFZAFZAFZAFZAFZAFZAFZAFZAFZAFZAFZAFZAFZAFZAFZAFZAFZAFZAFZAFZAF
-4-2
02
Re
qu
ire
d c
urr
en
t a
cco
un
t to
ha
lve
th
e N
IIP
ga
p w
ith
re
sp
ect to
-1
1%
-5 0 5 10Required current account to halve the NIIP gap with respect norm
![Page 25: Benchmarks for Net International Investment Positions · Short-term debt liabilities 12 0.3 0.08 0.62 19 0.62 Gross debt liabilities 25 0.1 0.04 0.86 109 0.52 Reserves 6 ... ITA JPN](https://reader031.vdocument.in/reader031/viewer/2022022801/5c729d1b09d3f2be7e8bc682/html5/thumbnails/25.jpg)
25
APPENDIX
![Page 26: Benchmarks for Net International Investment Positions · Short-term debt liabilities 12 0.3 0.08 0.62 19 0.62 Gross debt liabilities 25 0.1 0.04 0.86 109 0.52 Reserves 6 ... ITA JPN](https://reader031.vdocument.in/reader031/viewer/2022022801/5c729d1b09d3f2be7e8bc682/html5/thumbnails/26.jpg)
26
Current account norms 2016
Fundamentals only explain some of CA patterns. Non-fundamental controls are important.
![Page 27: Benchmarks for Net International Investment Positions · Short-term debt liabilities 12 0.3 0.08 0.62 19 0.62 Gross debt liabilities 25 0.1 0.04 0.86 109 0.52 Reserves 6 ... ITA JPN](https://reader031.vdocument.in/reader031/viewer/2022022801/5c729d1b09d3f2be7e8bc682/html5/thumbnails/27.jpg)
27
Graph 2: NIIP norms vs prudential thresholds, average
ARGARGARGARGARGARGARGARGARGARGARGARGARGARGARGARGARGARGARGARGARGARGARGARGARGARGARGARGARGARGARGARGARGARGARGARGARGARGARGARGARGARGARGARGARGARGARGARGARGARGARGARGARGARGARGARGARGARGARGARGARGAUSAUSAUSAUSAUSAUSAUSAUSAUSAUSAUSAUSAUSAUSAUSAUSAUSAUSAUSAUSAUSAUSAUSAUSAUSAUSAUSAUSAUSAUSAUSAUSAUSAUSAUSAUSAUSAUSAUSAUSAUSAUSAUSAUSAUSAUSAUSAUSAUSAUSAUSAUSAUSAUSAUSAUSAUSAUSAUSAUSAUS
AUTAUTAUTAUTAUTAUTAUTAUTAUTAUTAUTAUTAUTAUTAUTAUTAUTAUTAUTAUTAUTAUTAUTAUTAUTAUTAUTAUTAUTAUTAUTAUTAUTAUTAUTAUTAUTAUTAUTAUTAUTAUTAUTAUTAUTAUTAUTAUTAUTAUTAUTAUTAUTAUTAUTAUTAUTAUTAUTAUTAUT
BELBELBELBELBELBELBELBELBELBELBELBELBELBELBELBELBELBELBELBELBELBELBELBELBELBELBELBELBELBELBELBELBELBELBELBELBELBELBELBELBELBELBELBELBELBELBELBELBELBELBELBELBELBELBELBELBELBELBELBELBEL
BGRBGRBGRBGRBGRBGRBGRBGRBGRBGRBGRBGRBGRBGRBGRBGRBGRBGRBGRBGRBGRBGRBGRBGRBGRBGRBGRBGRBGRBGRBGRBGRBGRBGRBGRBGRBGRBGRBGRBGRBGRBGRBGRBGRBGRBGRBGRBGRBGRBGRBGRBGRBGRBGRBGRBGRBGRBGRBGRBGRBGR
BRABRABRABRABRABRABRABRABRABRABRABRABRABRABRABRABRABRABRABRABRABRABRABRABRABRABRABRABRABRABRABRABRABRABRABRABRABRABRABRABRABRABRABRABRABRABRABRABRABRABRABRABRABRABRABRABRABRABRABRABRA
CANCANCANCANCANCANCANCANCANCANCANCANCANCANCANCANCANCANCANCANCANCANCANCANCANCANCANCANCANCANCANCANCANCANCANCANCANCANCANCANCANCANCANCANCANCANCANCANCANCANCANCANCANCANCANCANCANCANCANCANCAN
CHECHECHECHECHECHECHECHECHECHECHECHECHECHECHECHECHECHECHECHECHECHECHECHECHECHECHECHECHECHECHECHECHECHECHECHECHECHECHECHECHECHECHECHECHECHECHECHECHECHECHECHECHECHECHECHECHECHECHECHECHE
CHLCHLCHLCHLCHLCHLCHLCHLCHLCHLCHLCHLCHLCHLCHLCHLCHLCHLCHLCHLCHLCHLCHLCHLCHLCHLCHLCHLCHLCHLCHLCHLCHLCHLCHLCHLCHLCHLCHLCHLCHLCHLCHLCHLCHLCHLCHLCHLCHLCHLCHLCHLCHLCHLCHLCHLCHLCHLCHLCHLCHL
CHNCHNCHNCHNCHNCHNCHNCHNCHNCHNCHNCHNCHNCHNCHNCHNCHNCHNCHNCHNCHNCHNCHNCHNCHNCHNCHNCHNCHNCHNCHNCHNCHNCHNCHNCHNCHNCHNCHNCHNCHNCHNCHNCHNCHNCHNCHNCHNCHNCHNCHNCHNCHNCHNCHNCHNCHNCHNCHNCHNCHN
COLCOLCOLCOLCOLCOLCOLCOLCOLCOLCOLCOLCOLCOLCOLCOLCOLCOLCOLCOLCOLCOLCOLCOLCOLCOLCOLCOLCOLCOLCOLCOLCOLCOLCOLCOLCOLCOLCOLCOLCOLCOLCOLCOLCOLCOLCOLCOLCOLCOLCOLCOLCOLCOLCOLCOLCOLCOLCOLCOLCOL
CRICRICRICRICRICRICRICRICRICRICRICRICRICRICRICRICRICRICRICRICRICRICRICRICRICRICRICRICRICRICRICRICRICRICRICRICRICRICRICRICRICRICRICRICRICRICRICRICRICRICRICRICRICRICRICRICRICRICRICRICRICYPCYPCYPCYPCYPCYPCYPCYPCYPCYPCYPCYPCYPCYPCYPCYPCYPCYPCYPCYPCYPCYPCYPCYPCYPCYPCYPCYPCYPCYPCYPCYPCYPCYPCYPCYPCYPCYPCYPCYPCYPCYPCYPCYPCYPCYPCYPCYPCYPCYPCYPCYPCYPCYPCYPCYPCYPCYPCYPCYPCYP
CZECZECZECZECZECZECZECZECZECZECZECZECZECZECZECZECZECZECZECZECZECZECZECZECZECZECZECZECZECZECZECZECZECZECZECZECZECZECZECZECZECZECZECZECZECZECZECZECZECZECZECZECZECZECZECZECZECZECZECZECZE
DEUDEUDEUDEUDEUDEUDEUDEUDEUDEUDEUDEUDEUDEUDEUDEUDEUDEUDEUDEUDEUDEUDEUDEUDEUDEUDEUDEUDEUDEUDEUDEUDEUDEUDEUDEUDEUDEUDEUDEUDEUDEUDEUDEUDEUDEUDEUDEUDEUDEUDEUDEUDEUDEUDEUDEUDEUDEUDEUDEUDEU
DNKDNKDNKDNKDNKDNKDNKDNKDNKDNKDNKDNKDNKDNKDNKDNKDNKDNKDNKDNKDNKDNKDNKDNKDNKDNKDNKDNKDNKDNKDNKDNKDNKDNKDNKDNKDNKDNKDNKDNKDNKDNKDNKDNKDNKDNKDNKDNKDNKDNKDNKDNKDNKDNKDNKDNKDNKDNKDNKDNKDNK
EGYEGYEGYEGYEGYEGYEGYEGYEGYEGYEGYEGYEGYEGYEGYEGYEGYEGYEGYEGYEGYEGYEGYEGYEGYEGYEGYEGYEGYEGYEGYEGYEGYEGYEGYEGYEGYEGYEGYEGYEGYEGYEGYEGYEGYEGYEGYEGYEGYEGYEGYEGYEGYEGYEGYEGYEGYEGYEGYEGYEGYESPESPESPESPESPESPESPESPESPESPESPESPESPESPESPESPESPESPESPESPESPESPESPESPESPESPESPESPESPESPESPESPESPESPESPESPESPESPESPESPESPESPESPESPESPESPESPESPESPESPESPESPESPESPESPESPESPESPESPESPESP
ESTESTESTESTESTESTESTESTESTESTESTESTESTESTESTESTESTESTESTESTESTESTESTESTESTESTESTESTESTESTESTESTESTESTESTESTESTESTESTESTESTESTESTESTESTESTESTESTESTESTESTESTESTESTESTESTESTESTESTESTEST
FINFINFINFINFINFINFINFINFINFINFINFINFINFINFINFINFINFINFINFINFINFINFINFINFINFINFINFINFINFINFINFINFINFINFINFINFINFINFINFINFINFINFINFINFINFINFINFINFINFINFINFINFINFINFINFINFINFINFINFINFIN
FRAFRAFRAFRAFRAFRAFRAFRAFRAFRAFRAFRAFRAFRAFRAFRAFRAFRAFRAFRAFRAFRAFRAFRAFRAFRAFRAFRAFRAFRAFRAFRAFRAFRAFRAFRAFRAFRAFRAFRAFRAFRAFRAFRAFRAFRAFRAFRAFRAFRAFRAFRAFRAFRAFRAFRAFRAFRAFRAFRAFRAGBRGBRGBRGBRGBRGBRGBRGBRGBRGBRGBRGBRGBRGBRGBRGBRGBRGBRGBRGBRGBRGBRGBRGBRGBRGBRGBRGBRGBRGBRGBRGBRGBRGBRGBRGBRGBRGBRGBRGBRGBRGBRGBRGBRGBRGBRGBRGBRGBRGBRGBRGBRGBRGBRGBRGBRGBRGBRGBRGBRGBR
GRCGRCGRCGRCGRCGRCGRCGRCGRCGRCGRCGRCGRCGRCGRCGRCGRCGRCGRCGRCGRCGRCGRCGRCGRCGRCGRCGRCGRCGRCGRCGRCGRCGRCGRCGRCGRCGRCGRCGRCGRCGRCGRCGRCGRCGRCGRCGRCGRCGRCGRCGRCGRCGRCGRCGRCGRCGRCGRCGRCGRC
GTMGTMGTMGTMGTMGTMGTMGTMGTMGTMGTMGTMGTMGTMGTMGTMGTMGTMGTMGTMGTMGTMGTMGTMGTMGTMGTMGTMGTMGTMGTMGTMGTMGTMGTMGTMGTMGTMGTMGTMGTMGTMGTMGTMGTMGTMGTMGTMGTMGTMGTMGTMGTMGTMGTMGTMGTMGTMGTMGTMGTM
HKGHKGHKGHKGHKGHKGHKGHKGHKGHKGHKGHKGHKGHKGHKGHKGHKGHKGHKGHKGHKGHKGHKGHKGHKGHKGHKGHKGHKGHKGHKGHKGHKGHKGHKGHKGHKGHKGHKGHKGHKGHKGHKGHKGHKGHKGHKGHKGHKGHKGHKGHKGHKGHKGHKGHKGHKGHKGHKGHKGHKG
HRVHRVHRVHRVHRVHRVHRVHRVHRVHRVHRVHRVHRVHRVHRVHRVHRVHRVHRVHRVHRVHRVHRVHRVHRVHRVHRVHRVHRVHRVHRVHRVHRVHRVHRVHRVHRVHRVHRVHRVHRVHRVHRVHRVHRVHRVHRVHRVHRVHRVHRVHRVHRVHRVHRVHRVHRVHRVHRVHRVHRV
HUNHUNHUNHUNHUNHUNHUNHUNHUNHUNHUNHUNHUNHUNHUNHUNHUNHUNHUNHUNHUNHUNHUNHUNHUNHUNHUNHUNHUNHUNHUNHUNHUNHUNHUNHUNHUNHUNHUNHUNHUNHUNHUNHUNHUNHUNHUNHUNHUNHUNHUNHUNHUNHUNHUNHUNHUNHUNHUNHUNHUN IDNIDNIDNIDNIDNIDNIDNIDNIDNIDNIDNIDNIDNIDNIDNIDNIDNIDNIDNIDNIDNIDNIDNIDNIDNIDNIDNIDNIDNIDNIDNIDNIDNIDNIDNIDNIDNIDNIDNIDNIDNIDNIDNIDNIDNIDNIDNIDNIDNIDNIDNIDNIDNIDNIDNIDNIDNIDNIDNIDNIDN
INDINDINDINDINDINDINDINDINDINDINDINDINDINDINDINDINDINDINDINDINDINDINDINDINDINDINDINDINDINDINDINDINDINDINDINDINDINDINDINDINDINDINDINDINDINDINDINDINDINDINDINDINDINDINDINDINDINDINDINDIND
IRLIRLIRLIRLIRLIRLIRLIRLIRLIRLIRLIRLIRLIRLIRLIRLIRLIRLIRLIRLIRLIRLIRLIRLIRLIRLIRLIRLIRLIRLIRLIRLIRLIRLIRLIRLIRLIRLIRLIRLIRLIRLIRLIRLIRLIRLIRLIRLIRLIRLIRLIRLIRLIRLIRLIRLIRLIRLIRLIRLIRL
ISLISLISLISLISLISLISLISLISLISLISLISLISLISLISLISLISLISLISLISLISLISLISLISLISLISLISLISLISLISLISLISLISLISLISLISLISLISLISLISLISLISLISLISLISLISLISLISLISLISLISLISLISLISLISLISLISLISLISLISLISL
ISRISRISRISRISRISRISRISRISRISRISRISRISRISRISRISRISRISRISRISRISRISRISRISRISRISRISRISRISRISRISRISRISRISRISRISRISRISRISRISRISRISRISRISRISRISRISRISRISRISRISRISRISRISRISRISRISRISRISRISRISR
ITAITAITAITAITAITAITAITAITAITAITAITAITAITAITAITAITAITAITAITAITAITAITAITAITAITAITAITAITAITAITAITAITAITAITAITAITAITAITAITAITAITAITAITAITAITAITAITAITAITAITAITAITAITAITAITAITAITAITAITAITA
JPNJPNJPNJPNJPNJPNJPNJPNJPNJPNJPNJPNJPNJPNJPNJPNJPNJPNJPNJPNJPNJPNJPNJPNJPNJPNJPNJPNJPNJPNJPNJPNJPNJPNJPNJPNJPNJPNJPNJPNJPNJPNJPNJPNJPNJPNJPNJPNJPNJPNJPNJPNJPNJPNJPNJPNJPNJPNJPNJPNJPN
KORKORKORKORKORKORKORKORKORKORKORKORKORKORKORKORKORKORKORKORKORKORKORKORKORKORKORKORKORKORKORKORKORKORKORKORKORKORKORKORKORKORKORKORKORKORKORKORKORKORKORKORKORKORKORKORKORKORKORKORKOR
LKALKALKALKALKALKALKALKALKALKALKALKALKALKALKALKALKALKALKALKALKALKALKALKALKALKALKALKALKALKALKALKALKALKALKALKALKALKALKALKALKALKALKALKALKALKALKALKALKALKALKALKALKALKALKALKALKALKALKALKALKA
LTULTULTULTULTULTULTULTULTULTULTULTULTULTULTULTULTULTULTULTULTULTULTULTULTULTULTULTULTULTULTULTULTULTULTULTULTULTULTULTULTULTULTULTULTULTULTULTULTULTULTULTULTULTULTULTULTULTULTULTULTU
LUXLUXLUXLUXLUXLUXLUXLUXLUXLUXLUXLUXLUXLUXLUXLUXLUXLUXLUXLUXLUXLUXLUXLUXLUXLUXLUXLUXLUXLUXLUXLUXLUXLUXLUXLUXLUXLUXLUXLUXLUXLUXLUXLUXLUXLUXLUXLUXLUXLUXLUXLUXLUXLUXLUXLUXLUXLUXLUXLUXLUX
LVALVALVALVALVALVALVALVALVALVALVALVALVALVALVALVALVALVALVALVALVALVALVALVALVALVALVALVALVALVALVALVALVALVALVALVALVALVALVALVALVALVALVALVALVALVALVALVALVALVALVALVALVALVALVALVALVALVALVALVALVA
MARMARMARMARMARMARMARMARMARMARMARMARMARMARMARMARMARMARMARMARMARMARMARMARMARMARMARMARMARMARMARMARMARMARMARMARMARMARMARMARMARMARMARMARMARMARMARMARMARMARMARMARMARMARMARMARMARMARMARMARMAR
MEXMEXMEXMEXMEXMEXMEXMEXMEXMEXMEXMEXMEXMEXMEXMEXMEXMEXMEXMEXMEXMEXMEXMEXMEXMEXMEXMEXMEXMEXMEXMEXMEXMEXMEXMEXMEXMEXMEXMEXMEXMEXMEXMEXMEXMEXMEXMEXMEXMEXMEXMEXMEXMEXMEXMEXMEXMEXMEXMEXMEXMKDMKDMKDMKDMKDMKDMKDMKDMKDMKDMKDMKDMKDMKDMKDMKDMKDMKDMKDMKDMKDMKDMKDMKDMKDMKDMKDMKDMKDMKDMKDMKDMKDMKDMKDMKDMKDMKDMKDMKDMKDMKDMKDMKDMKDMKDMKDMKDMKDMKDMKDMKDMKDMKDMKDMKDMKDMKDMKDMKDMKD
MLTMLTMLTMLTMLTMLTMLTMLTMLTMLTMLTMLTMLTMLTMLTMLTMLTMLTMLTMLTMLTMLTMLTMLTMLTMLTMLTMLTMLTMLTMLTMLTMLTMLTMLTMLTMLTMLTMLTMLTMLTMLTMLTMLTMLTMLTMLTMLTMLTMLTMLTMLTMLTMLTMLTMLTMLTMLTMLTMLTMLT MYSMYSMYSMYSMYSMYSMYSMYSMYSMYSMYSMYSMYSMYSMYSMYSMYSMYSMYSMYSMYSMYSMYSMYSMYSMYSMYSMYSMYSMYSMYSMYSMYSMYSMYSMYSMYSMYSMYSMYSMYSMYSMYSMYSMYSMYSMYSMYSMYSMYSMYSMYSMYSMYSMYSMYSMYSMYSMYSMYSMYS
NLDNLDNLDNLDNLDNLDNLDNLDNLDNLDNLDNLDNLDNLDNLDNLDNLDNLDNLDNLDNLDNLDNLDNLDNLDNLDNLDNLDNLDNLDNLDNLDNLDNLDNLDNLDNLDNLDNLDNLDNLDNLDNLDNLDNLDNLDNLDNLDNLDNLDNLDNLDNLDNLDNLDNLDNLDNLDNLDNLDNLD
NORNORNORNORNORNORNORNORNORNORNORNORNORNORNORNORNORNORNORNORNORNORNORNORNORNORNORNORNORNORNORNORNORNORNORNORNORNORNORNORNORNORNORNORNORNORNORNORNORNORNORNORNORNORNORNORNORNORNORNORNOR
NZLNZLNZLNZLNZLNZLNZLNZLNZLNZLNZLNZLNZLNZLNZLNZLNZLNZLNZLNZLNZLNZLNZLNZLNZLNZLNZLNZLNZLNZLNZLNZLNZLNZLNZLNZLNZLNZLNZLNZLNZLNZLNZLNZLNZLNZLNZLNZLNZLNZLNZLNZLNZLNZLNZLNZLNZLNZLNZLNZLNZL
PAKPAKPAKPAKPAKPAKPAKPAKPAKPAKPAKPAKPAKPAKPAKPAKPAKPAKPAKPAKPAKPAKPAKPAKPAKPAKPAKPAKPAKPAKPAKPAKPAKPAKPAKPAKPAKPAKPAKPAKPAKPAKPAKPAKPAKPAKPAKPAKPAKPAKPAKPAKPAKPAKPAKPAKPAKPAKPAKPAKPAK
PERPERPERPERPERPERPERPERPERPERPERPERPERPERPERPERPERPERPERPERPERPERPERPERPERPERPERPERPERPERPERPERPERPERPERPERPERPERPERPERPERPERPERPERPERPERPERPERPERPERPERPERPERPERPERPERPERPERPERPERPER
PHLPHLPHLPHLPHLPHLPHLPHLPHLPHLPHLPHLPHLPHLPHLPHLPHLPHLPHLPHLPHLPHLPHLPHLPHLPHLPHLPHLPHLPHLPHLPHLPHLPHLPHLPHLPHLPHLPHLPHLPHLPHLPHLPHLPHLPHLPHLPHLPHLPHLPHLPHLPHLPHLPHLPHLPHLPHLPHLPHLPHL
POLPOLPOLPOLPOLPOLPOLPOLPOLPOLPOLPOLPOLPOLPOLPOLPOLPOLPOLPOLPOLPOLPOLPOLPOLPOLPOLPOLPOLPOLPOLPOLPOLPOLPOLPOLPOLPOLPOLPOLPOLPOLPOLPOLPOLPOLPOLPOLPOLPOLPOLPOLPOLPOLPOLPOLPOLPOLPOLPOLPOLPRTPRTPRTPRTPRTPRTPRTPRTPRTPRTPRTPRTPRTPRTPRTPRTPRTPRTPRTPRTPRTPRTPRTPRTPRTPRTPRTPRTPRTPRTPRTPRTPRTPRTPRTPRTPRTPRTPRTPRTPRTPRTPRTPRTPRTPRTPRTPRTPRTPRTPRTPRTPRTPRTPRTPRTPRTPRTPRTPRTPRT
ROUROUROUROUROUROUROUROUROUROUROUROUROUROUROUROUROUROUROUROUROUROUROUROUROUROUROUROUROUROUROUROUROUROUROUROUROUROUROUROUROUROUROUROUROUROUROUROUROUROUROUROUROUROUROUROUROUROUROUROUROU
RUSRUSRUSRUSRUSRUSRUSRUSRUSRUSRUSRUSRUSRUSRUSRUSRUSRUSRUSRUSRUSRUSRUSRUSRUSRUSRUSRUSRUSRUSRUSRUSRUSRUSRUSRUSRUSRUSRUSRUSRUSRUSRUSRUSRUSRUSRUSRUSRUSRUSRUSRUSRUSRUSRUSRUSRUSRUSRUSRUSRUS
SGPSGPSGPSGPSGPSGPSGPSGPSGPSGPSGPSGPSGPSGPSGPSGPSGPSGPSGPSGPSGPSGPSGPSGPSGPSGPSGPSGPSGPSGPSGPSGPSGPSGPSGPSGPSGPSGPSGPSGPSGPSGPSGPSGPSGPSGPSGPSGPSGPSGPSGPSGPSGPSGPSGPSGPSGPSGPSGPSGPSGP
SVKSVKSVKSVKSVKSVKSVKSVKSVKSVKSVKSVKSVKSVKSVKSVKSVKSVKSVKSVKSVKSVKSVKSVKSVKSVKSVKSVKSVKSVKSVKSVKSVKSVKSVKSVKSVKSVKSVKSVKSVKSVKSVKSVKSVKSVKSVKSVKSVKSVKSVKSVKSVKSVKSVKSVKSVKSVKSVKSVKSVKSVNSVNSVNSVNSVNSVNSVNSVNSVNSVNSVNSVNSVNSVNSVNSVNSVNSVNSVNSVNSVNSVNSVNSVNSVNSVNSVNSVNSVNSVNSVNSVNSVNSVNSVNSVNSVNSVNSVNSVNSVNSVNSVNSVNSVNSVNSVNSVNSVNSVNSVNSVNSVNSVNSVNSVNSVNSVNSVNSVNSVN
SWESWESWESWESWESWESWESWESWESWESWESWESWESWESWESWESWESWESWESWESWESWESWESWESWESWESWESWESWESWESWESWESWESWESWESWESWESWESWESWESWESWESWESWESWESWESWESWESWESWESWESWESWESWESWESWESWESWESWESWESWE
THATHATHATHATHATHATHATHATHATHATHATHATHATHATHATHATHATHATHATHATHATHATHATHATHATHATHATHATHATHATHATHATHATHATHATHATHATHATHATHATHATHATHATHATHATHATHATHATHATHATHATHATHATHATHATHATHATHATHATHATHA
TUNTUNTUNTUNTUNTUNTUNTUNTUNTUNTUNTUNTUNTUNTUNTUNTUNTUNTUNTUNTUNTUNTUNTUNTUNTUNTUNTUNTUNTUNTUNTUNTUNTUNTUNTUNTUNTUNTUNTUNTUNTUNTUNTUNTUNTUNTUNTUNTUNTUNTUNTUNTUNTUNTUNTUNTUNTUNTUNTUNTUN
TURTURTURTURTURTURTURTURTURTURTURTURTURTURTURTURTURTURTURTURTURTURTURTURTURTURTURTURTURTURTURTURTURTURTURTURTURTURTURTURTURTURTURTURTURTURTURTURTURTURTURTURTURTURTURTURTURTURTURTURTUR UKRUKRUKRUKRUKRUKRUKRUKRUKRUKRUKRUKRUKRUKRUKRUKRUKRUKRUKRUKRUKRUKRUKRUKRUKRUKRUKRUKRUKRUKRUKRUKRUKRUKRUKRUKRUKRUKRUKRUKRUKRUKRUKRUKRUKRUKRUKRUKRUKRUKRUKRUKRUKRUKRUKRUKRUKRUKRUKRUKRUKR
URYURYURYURYURYURYURYURYURYURYURYURYURYURYURYURYURYURYURYURYURYURYURYURYURYURYURYURYURYURYURYURYURYURYURYURYURYURYURYURYURYURYURYURYURYURYURYURYURYURYURYURYURYURYURYURYURYURYURYURYURY
USAUSAUSAUSAUSAUSAUSAUSAUSAUSAUSAUSAUSAUSAUSAUSAUSAUSAUSAUSAUSAUSAUSAUSAUSAUSAUSAUSAUSAUSAUSAUSAUSAUSAUSAUSAUSAUSAUSAUSAUSAUSAUSAUSAUSAUSAUSAUSAUSAUSAUSAUSAUSAUSAUSAUSAUSAUSAUSAUSAUSA
ZAFZAFZAFZAFZAFZAFZAFZAFZAFZAFZAFZAFZAFZAFZAFZAFZAFZAFZAFZAFZAFZAFZAFZAFZAFZAFZAFZAFZAFZAFZAFZAFZAFZAFZAFZAFZAFZAFZAFZAFZAFZAFZAFZAFZAFZAFZAFZAFZAFZAFZAFZAFZAFZAFZAFZAFZAFZAFZAFZAFZAF
45' line
-100
-50
05
01
00
NIIP
no
rm
-150 -100 -50 0NIIP prudential threshold
![Page 28: Benchmarks for Net International Investment Positions · Short-term debt liabilities 12 0.3 0.08 0.62 19 0.62 Gross debt liabilities 25 0.1 0.04 0.86 109 0.52 Reserves 6 ... ITA JPN](https://reader031.vdocument.in/reader031/viewer/2022022801/5c729d1b09d3f2be7e8bc682/html5/thumbnails/28.jpg)
28
Graph 7: Frequency of NIIP gaps
![Page 29: Benchmarks for Net International Investment Positions · Short-term debt liabilities 12 0.3 0.08 0.62 19 0.62 Gross debt liabilities 25 0.1 0.04 0.86 109 0.52 Reserves 6 ... ITA JPN](https://reader031.vdocument.in/reader031/viewer/2022022801/5c729d1b09d3f2be7e8bc682/html5/thumbnails/29.jpg)
29
Graph 8: Distribution of NIIP gaps wrt. NIIP norm, World
-400
-200
02
00
400
NIIP
ga
p w
rt. n
orm
1995 2000 2005 2010 2015
![Page 30: Benchmarks for Net International Investment Positions · Short-term debt liabilities 12 0.3 0.08 0.62 19 0.62 Gross debt liabilities 25 0.1 0.04 0.86 109 0.52 Reserves 6 ... ITA JPN](https://reader031.vdocument.in/reader031/viewer/2022022801/5c729d1b09d3f2be7e8bc682/html5/thumbnails/30.jpg)
30
Graph 9: NIIP gaps wrt. NIIP prudential threshold, World
-200
02
00
400
600
NIIP
ga
p w
rt. p
rud
en
tia
l th
resh
old
1995 2000 2005 2010 2015
![Page 31: Benchmarks for Net International Investment Positions · Short-term debt liabilities 12 0.3 0.08 0.62 19 0.62 Gross debt liabilities 25 0.1 0.04 0.86 109 0.52 Reserves 6 ... ITA JPN](https://reader031.vdocument.in/reader031/viewer/2022022801/5c729d1b09d3f2be7e8bc682/html5/thumbnails/31.jpg)
31
Graph 10: Positive NIIP gaps with respect to norm
![Page 32: Benchmarks for Net International Investment Positions · Short-term debt liabilities 12 0.3 0.08 0.62 19 0.62 Gross debt liabilities 25 0.1 0.04 0.86 109 0.52 Reserves 6 ... ITA JPN](https://reader031.vdocument.in/reader031/viewer/2022022801/5c729d1b09d3f2be7e8bc682/html5/thumbnails/32.jpg)
32
Table 1: Baseline CA regression
(1) (2) (3) (4)
Dependent: Current account balance as % of GDP
Explanatory variables
Relative
to world
average
Interaction
term Coefficient
Statistical
significance
Relative income per capita in PPP (lagged) ✔ 0.034 ***
Relative income interacted with capital openness (lagged) ✔ ✔ 0.033 *
Ageing speed ✔ -0.025
Ageing speed wrt. world * income per capita (PPP) as %
of G3 mean ✔ ✔ 0.164 **
Old-age dependency ratio ✔ -0.047 *
Population growth HP-filtered (lagged) ✔ -0.576 **
Share of manufacturing in value added, instrumented ✔ 0.234 ***
Oil & gas balance / GDP 5Y-mov.av., if positive ✔ 0.427 ***
Mining products exports as % of total exports (lagged) 0.002
Domestic currency % use in world FX reserves -0.041 ***
Financial centre dummy 0.016 ***
NIIP / GDP (lagged, in USD terms) 0.032 ***
NIIP exceeding -60% of GDP (lagged) ✔ -0.030 **
VIX*(capital openness) (lagged) 0.084 ***
VIX *(capital openness) * reserve currency status ✔ -0.210 *
Annual real GDP growth expected 5 years ahead ✔ -0.310 ***
Public health expenditure / GDP (lagged) ✔ -1.739 ***
Health exp. wrt. world av., interacted with old-age dep.
ratio ✔ ✔ 4.773 ***
Structural fiscal balance, instrumented ✔ 0.272 ***
(FX reserve change)/GDP * capital closedness,
instrumented
✔ 0.338 **
REER growth (over 3 years, lagged) -0.086 ***
Construction investment / GDP (lagged) ✔ -0.099 ***
Change of private debt in pp. of GDP (over 3 years,
lagged) ✔ -0.059 ***
Private debt stock/GDP (demeaned by country historical
average) ✔ -0.011
Output gap / potential GDP ✔ -0.385 ***
Constant -0.392 **
R² 0.641
Adjusted R² 0.635
RMSE 3.42
Number of observations 1589
Durbin-Watson stat 0.54
Sample condition number 9.50
![Page 33: Benchmarks for Net International Investment Positions · Short-term debt liabilities 12 0.3 0.08 0.62 19 0.62 Gross debt liabilities 25 0.1 0.04 0.86 109 0.52 Reserves 6 ... ITA JPN](https://reader031.vdocument.in/reader031/viewer/2022022801/5c729d1b09d3f2be7e8bc682/html5/thumbnails/33.jpg)
33
Table 2: NIIP pru threshold estimates for external crises
(1) (2) (3) (4) (5) (6) (7) (8) (9) (10)
Threshold
Signal
power
associated
to (1)
%
Missed
crises
(type 1
errors)
% False
alerts
(type 2
errors)
#
Crisis
starts
#
Obs.
with no
crisis
Threshold
standard
deviation
Alternative
threshold
equalising
% type 1
and type 2
error
Signal
power
associated
to (8)
AUROC
NIIP -25 0.33 0.22 0.45 45 1790 7 -34 0.31 0.72
NIIP - FDI 12 0.12 0.27 0.61 45 1790 3 7 0.02 0.49
NMED -16 0.39 0.20 0.41 45 1790 3 -22 0.31 0.73
Net short-term
debt 204 0.01 0.00 0.99 7 440 68 27 -0.68 0.11
Short-term
debt liabilities 12 0.30 0.08 0.62 12 667 19 23 0.03 0.62
Gross debt
liabilities 25 0.10 0.04 0.86 45 1789 109 49 -0.07 0.52
Reserves 6 0.24 0.38 0.38 45 1796 2 6 0.22 0.64
NIIP / relative
per capita
income -83 0.48 0.18 0.34 44 1749 8 -102 0.46 0.77
NMED/
relative per
capita income -78 0.55 0.30 0.16 44 1749 5 -53 0.50 0.79
NIIP / imports -140 0.41 0.36 0.24 45 1790 29 -114 0.38 0.77
NIIP / external
assets -192 0.42 0.33 0.25 43 1777 44 -134 0.35 0.73
![Page 34: Benchmarks for Net International Investment Positions · Short-term debt liabilities 12 0.3 0.08 0.62 19 0.62 Gross debt liabilities 25 0.1 0.04 0.86 109 0.52 Reserves 6 ... ITA JPN](https://reader031.vdocument.in/reader031/viewer/2022022801/5c729d1b09d3f2be7e8bc682/html5/thumbnails/34.jpg)
34
Table 4. NIIP gaps vs. NIIP levels and NIIP adjustment
(1) (2) (3) (4) (5) (6)
Explanatory variables Dependent variable: 5-year change in NIIP
NIIP gap wrt. to norm, t-5 -0.0153
[-0.541]
NIIP gap wrt. to prudential
-0.0227
threshold, t-5 [-0.971]
Positive NIIP gap wrt. to norm,
t-5
0.0219
[0.407]
Negative NIIP gap wrt. to norm,
t-5
-0.0359
[-1.046]
Positive NIIP gap wrt. to
0.0281
prudential threshold, t-5 [0.570]
Negative NIIP gap wrt. to
-0.0989***
prudential threshold, t-5 [-3.467]
NIIP, t-5
-0.0200
[-0.833]
NIIP if positive, t-5
-0.0164
[-0.383]
NIIP if negative, t-5
-0.0220
[-0.580]
Constant 4.390*** 5.311*** 3.442* 1.562 4.160** 4.015
[2.875] [4.863] [1.905] [0.811] [2.452] [1.335]
Observations 323 323 323 323 323 323
R-squared 0.073 0.077 0.078 0.106 0.075 0.075
Number of countries 65 65 65 65 65 65
![Page 35: Benchmarks for Net International Investment Positions · Short-term debt liabilities 12 0.3 0.08 0.62 19 0.62 Gross debt liabilities 25 0.1 0.04 0.86 109 0.52 Reserves 6 ... ITA JPN](https://reader031.vdocument.in/reader031/viewer/2022022801/5c729d1b09d3f2be7e8bc682/html5/thumbnails/35.jpg)
35
Table 5: NIIP adjustement and exchange rate regime
Dependent variable: 5-year change in NIIP Fixed exchange rates Flexible exchange rates
NIIP gap wrt. to norm, t-5 -0.04 0.00
NIIP gap wrt. to prudential
threshold, t-5 -0.04 -0.01
Positive NIIP gap wrt. to
norm, t-5 0.05 -0.03
Negative NIIP gap wrt. to
norm, t-5 -0.10** 0.02
Positive NIIP gap wrt. to
prudential threshold, t-5 0.029 0.05
Negative NIIP gap wrt. to
prudential threshold, t-5 -0.16** -0.07***
Observations 117 117 117 117 206 206 206 206
R-squared 0.21 0.21 0.28 0.28 0.05 0.05 0.05 0.08
Number of countries 33 33 33 33 51 51 51 51
Adjustment follows upon negative gaps, not positive ones
![Page 36: Benchmarks for Net International Investment Positions · Short-term debt liabilities 12 0.3 0.08 0.62 19 0.62 Gross debt liabilities 25 0.1 0.04 0.86 109 0.52 Reserves 6 ... ITA JPN](https://reader031.vdocument.in/reader031/viewer/2022022801/5c729d1b09d3f2be7e8bc682/html5/thumbnails/36.jpg)
36
Table 6. NIIP levels and adjustment, by country groups
(1) (2) (3) (4) (5) (6) (7) (8) (9) (10) (11) (12)
EU Advanced non-EU Emerging
Explanatory variables Dependent variable: 5-year change in NIIP
NIIP gap wrt. to norm, t-5 -0.0565
0.000287
0.00615
[-1.266] [0.0105] [0.293]
NIIP gap wrt. to prudential threshold,
t-5
-0.0628**
-0.0172
-0.0392
[-2.359] [-0.721] [-1.659]
Positive NIIP gap wrt. to norm, t-5
0.0778
-0.00601
0.0328
[0.548] [-0.101] [1.088]
Negative NIIP gap wrt. to norm, t-5
-0.0794
0.00584
-0.0149
[-1.463] [0.324] [-0.427]
Positive NIIP gap wrt. to prudential
-0.0137
0.0316
-0.00460
threshold, t-5 [-0.384] [0.455] [-0.108]
Negative NIIP gap wrt. to prudential
-0.119
-0.0988***
-0.0598*
threshold, t-5 [-1.501] [-5.882] [-1.904]
Constant 1.770 5.021*** 0.390 1.771 14.77** 17.17** 15.06** 10.37 0.857 0.509 0.306 -0.265
[1.204] [5.758] [0.172] [0.575] [2.289] [2.233] [2.548] [1.455] [1.246] [0.708] [0.358] [-0.253]
Observations 138 138 138 138 65 65 65 65 134 134 134 134
R-squared 0.224 0.250 0.251 0.272 0.126 0.129 0.127 0.151 0.134 0.160 0.140 0.168
Number of countries 28 28 28 28 13 13 13 13 27 27 27 27
![Page 37: Benchmarks for Net International Investment Positions · Short-term debt liabilities 12 0.3 0.08 0.62 19 0.62 Gross debt liabilities 25 0.1 0.04 0.86 109 0.52 Reserves 6 ... ITA JPN](https://reader031.vdocument.in/reader031/viewer/2022022801/5c729d1b09d3f2be7e8bc682/html5/thumbnails/37.jpg)
37
Table A1.2: NIIP cross-country averages
![Page 38: Benchmarks for Net International Investment Positions · Short-term debt liabilities 12 0.3 0.08 0.62 19 0.62 Gross debt liabilities 25 0.1 0.04 0.86 109 0.52 Reserves 6 ... ITA JPN](https://reader031.vdocument.in/reader031/viewer/2022022801/5c729d1b09d3f2be7e8bc682/html5/thumbnails/38.jpg)
38
Graph A1.3. NIIP norms based on differing starting values
![Page 39: Benchmarks for Net International Investment Positions · Short-term debt liabilities 12 0.3 0.08 0.62 19 0.62 Gross debt liabilities 25 0.1 0.04 0.86 109 0.52 Reserves 6 ... ITA JPN](https://reader031.vdocument.in/reader031/viewer/2022022801/5c729d1b09d3f2be7e8bc682/html5/thumbnails/39.jpg)
39
Graph A2.1: Signal power
a) Signal power as a function of different values
for an NIIP threshold
b) Signal power as a function of different values
for an NIIP/rel. p.c. income threshold
c) Signal power as a function of different values
for an NMED threshold
d) Signal power as a function of different values
for an NNMED/rel. p.c. income threshold
![Page 40: Benchmarks for Net International Investment Positions · Short-term debt liabilities 12 0.3 0.08 0.62 19 0.62 Gross debt liabilities 25 0.1 0.04 0.86 109 0.52 Reserves 6 ... ITA JPN](https://reader031.vdocument.in/reader031/viewer/2022022801/5c729d1b09d3f2be7e8bc682/html5/thumbnails/40.jpg)
40
Graph A2.2: AUROC, selected indicators
![Page 41: Benchmarks for Net International Investment Positions · Short-term debt liabilities 12 0.3 0.08 0.62 19 0.62 Gross debt liabilities 25 0.1 0.04 0.86 109 0.52 Reserves 6 ... ITA JPN](https://reader031.vdocument.in/reader031/viewer/2022022801/5c729d1b09d3f2be7e8bc682/html5/thumbnails/41.jpg)
41
![Page 42: Benchmarks for Net International Investment Positions · Short-term debt liabilities 12 0.3 0.08 0.62 19 0.62 Gross debt liabilities 25 0.1 0.04 0.86 109 0.52 Reserves 6 ... ITA JPN](https://reader031.vdocument.in/reader031/viewer/2022022801/5c729d1b09d3f2be7e8bc682/html5/thumbnails/42.jpg)
42
Median of NIIP, NIIP norm, NIIP pru thresh., EU
-60
-40
-20
0
1995 2000 2005 2010 2015year
Median NIIP/GDP, EU Median NIIP norm, EU
Median NIIP prudential threshold, EU
![Page 43: Benchmarks for Net International Investment Positions · Short-term debt liabilities 12 0.3 0.08 0.62 19 0.62 Gross debt liabilities 25 0.1 0.04 0.86 109 0.52 Reserves 6 ... ITA JPN](https://reader031.vdocument.in/reader031/viewer/2022022801/5c729d1b09d3f2be7e8bc682/html5/thumbnails/43.jpg)
43
CA norms vs 'norm' based on NIIP changes
![Page 44: Benchmarks for Net International Investment Positions · Short-term debt liabilities 12 0.3 0.08 0.62 19 0.62 Gross debt liabilities 25 0.1 0.04 0.86 109 0.52 Reserves 6 ... ITA JPN](https://reader031.vdocument.in/reader031/viewer/2022022801/5c729d1b09d3f2be7e8bc682/html5/thumbnails/44.jpg)
44
![Page 45: Benchmarks for Net International Investment Positions · Short-term debt liabilities 12 0.3 0.08 0.62 19 0.62 Gross debt liabilities 25 0.1 0.04 0.86 109 0.52 Reserves 6 ... ITA JPN](https://reader031.vdocument.in/reader031/viewer/2022022801/5c729d1b09d3f2be7e8bc682/html5/thumbnails/45.jpg)
45