Appendix: countries and data sources
Countries: The set of countries used to identify the 59 large valuation shocks is formed by 17 emerging markets and developing countries and 21 advanced countries. The former is composed of Argentina, Brazil, Chile, China, Colombia, India, Indonesia, Israel, Korea, Malaysia, Mexico, Pakistan, the Philippines, South Africa, Thailand, Turkey and Venezuela. The latter group is formed by Australia, Austria, Canada, Denmark, Finland, France, Germany, Greece, Iceland, Ireland, Italy, Japan, the Netherlands, New Zealand, Norway, Portugal, Spain, Sweden, Switzerland, the United Kingdom and the United States.
Data: Stocks and flows of foreign assets and liabilities (Lane and Milesi-Ferretti 2007a). Trade balance (Direction of Trade Statistics, IMF). Constant GDP in local currency (World Development Indicators). Current account balance and real exchange rate (International Financial Statistics, IMF). Equity price index (Morgan Stanley Capital International Inc.). Total return bond index (Global Financial Data). Foreign assets are the sum of portfolio equity assets, foreign direct investment and debt assets (debt assets includes foreign exchange reserves minus gold). Foreign liabilities are the sum of portfolio equity liabilities, foreign direct investment and debt liabilities.