Appendix B: Data | RDP 2009-09: Volatility in International Capital Movements

RDP 2009-09: Volatility in International Capital Movements Appendix B: Data

Chris Becker and Clare Noone

December 2009

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Table B1: Data Definitions and Sources
Variable	Definition, notes and sources
Capital account (US dollars)	Set equal to the current account, consistent with the balance of payments identity. Source: International Monetary Fund's (IMF) International Financial Statistics
Capital flows (US dollars)	Gross and net flows. Source: IMF's International Financial Statistics
Capital account and capital flows (local currency)	Quarterly US-dollar-denominated capital account and capital flows data are converted into local currency terms using quarter-average exchange rates
Exchange rates	Quarter-average local currency to US dollar exchange rates. Sources: Euro/USD – Bloomberg; authors' calculations; All other exchange rates – IMF's International Financial Statistics (the December quarter 1985 Brazilian Real/USD exchange rate is estimated by the authors based on IMF data).
Exchange rate regime (FXregime_it)	The classification of each country's exchange rate is taken from the IMF's Annual Report on Exchange Arrangements and Exchange Restrictions, 2006. De facto exchange rate regime classifications are used.
Importance of a particular flows within the capital account (FDIshare and BMMshare)	Annual from quarterly data; sum of the absolute value of the particular flows in a given year, divided by the sum of the absolute value of all flows in that same year.
MarketDevelopment_it	Share market turnover; total value of shares traded to average real market capitalisation. Source: Beck, DemirgüÇ-Kunt and Levine (2000)
Nominal GDP (local currency)	Quarterly; seasonally adjusted; data for Korea, the Philippines, and Thailand are seasonally adjusted by the authors. Sources: Australia (1980–2005) – Australian Bureau of Statistics; South Korea (1980–2005), Philippines (1980–2005) and Thailand (1993–2005) – CEIC; Argentina (1993–2005), Brazil (1991–2005), Japan (1980–2005), Mexico (1980–2005), Sweden (1980–2005), United Kingdom (1980–2005) and United States (1980–2005) – Thomson Reuters; Germany (1980–2005) – Thomson Reuters and authors’ calculations (data pre-1991 are spliced using West German nominal GDP growth rates); Argentina (1980–1992), Brazil (1980–1990) and Thailand (1980–1992) – IMF's International Financial Statistics, World Economic Outlook (WEO) database, and authors’ estimates (annual US dollar current prices GDP from the WEO database is linearly interpolated to create a quarterly profile that is then converted into local currency terms using quarter-average exchange rates).