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I guess this is the type of question I should start with "a friend of mine wants to know..." but I was wondering if in general governments keep a record that gets updated each time you go through inmigration in another country in some sort of centralized database, or they have to check your passport stamps to check were you have been in between your departure and arrival.
I guess each country must have their own rules, but I am asking in a general sense.
Unless you're from a country that requires you to obtain an exit visa, there is no sharing of information as a general rule.
Even in cases where there are information sharing agreements, such as between the US and Canada, the US and Mexico, or in the Schengen area, the information that is shared is about people from outside the info-sharing nations, but not about their own citizens.
It may be possible for one country to ask for legal assistance to obtain information about a specific person, and who knows what information is shared by the secret services, of course, but on the visible side, countries do not know what their citizens do while away.
EDIT As pointed out by @MeNoTalk, the Advanced Passenger Information System (APIS), where airplane passenger data is transmitted to the destination country. Thus, your government may not know where you're headed, but they will know from where you return, if you come back by plane.
Going into James bond mode: If you are worth spying on, definitely!
Going off James bond mode: No, it would be really hard to implement. In only a minority of countries your passport is actually scanned with a computer. Usually you only get "the look" by the passport checking official.
Even if you emigrate your country does not know by default about your whereabouts, unless you explicitly register at the consulate of your country. I am not sure if you can do this when just traveling through a country. It can be worthwhile if there is a risk that you might be evacuated.
While in theory a government could attempt to figure out where you are, by using appropriate channels to ask airlines if they sold you tickets, and other governments if they let you in, it's clear that they don't do so regularly. If, for example, Canada could quickly figure out which of its citizens were in Country X at any time, they wouldn't need the traveler registration system.
If you use a system like this, and I believe many countries have them, then when an earthquake / huge storm / terrorist attack happens, your government will know you were planning to be in the country and can start checking into whether you're ok. I use it, and so for me the answer is yes, my government does know where I am while I'm traveling - but only because I told them.
In general, governments don't work all that well together. In a world where some countries don't have diplomatic relations, wage war on each other or forbid contact with some other nations, it's difficult to imagine how an effective central database or information exchange system would be coordinated.
You're much more likely to be monitored in one way or another by the countries you're going to, not the country you're coming from or by some third parties with lots of resources. Of course, if you are coming from the US, your country falls in the latter category and your government does seem to have many means to know where you are if it so wishes, and that not only for its own citizens.
The US and UK governments record all phone calls and emails that go through those countries, so the number you call from or the IP address that you connect to the internet from would be recorded by them if you made such calls/emails.
Edit: I was asked to provide some references for this info.
I imagine some other countries do the same thing. I don't think they actively track citizens (although if they were suspicious of you they could). However if they ever stopped you, in say 10 years time, then they could search back through all the saved data to see what you had said and where you were. And in addition they use pattern matching software to search the saved data as it comes in to look for suspicious behavior.
This is somewhat similar to what your bank does to look for suspicious credit card transactions when you travel - which is of course another way that government can see where you have been if their are curious enough.
