Gross Capital Flows by Banks, Corporates and Sovereigns

Stefan Avdjiev, Bryan Hardy, Sebnem Kalemli-Özcan () and Luis Servén
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Sebnem Kalemli-Özcan: University of Maryland, https://www.umd.edu/

Working Papers from CEMFI

Abstract: We construct a new quarterly data set of international capital flows broken down by sector: banks, corporates and sovereigns. Using our novel data set, we establish severalkey facts that demonstrate the importance of distinguishing in- and outflows by the domestic sectoral identity. We find that public sector flows may serve as a countervailing force to private sector flows, especially in emerging markets (EMs), as these flows respond differently not only to country-specific fundamentals but also to global shocks. The high inflow-outflow correlation observed in total capital flow data is driven by within-sector flows, especially those of AE banks. In general, inflows and outflows of AEs and inflows to EMs are primarily AE banks’ transactions, and, as a consequence, respond similarly to capital flow drivers. By contrast, EM outflows respond differently to global shocks and changes in fundamentals, leading to lower inflow-outflows correlations for EMs.

Keywords: Quarterly capital flows; external corporate and bank debt; systemic risk. (search for similar items in EconPapers)
JEL-codes: F21 F41 O1 (search for similar items in EconPapers)
Date: 2020-09
New Economics Papers: this item is included in nep-ifn, nep-mon and nep-opm
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (5)

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https://www.cemfi.es/ftp/wp/2020.pdf (application/pdf)

Related works:
Journal Article: Gross Capital Flows by Banks, Corporates, and Sovereigns (2022)
Working Paper: Gross capital flows by banks, corporates and sovereigns (2018)
Working Paper: Gross capital flows by banks, corporates, and sovereigns (2018)
Working Paper: Gross Capital Flows by Banks, Corporates and Sovereigns (2017)
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Persistent link: https://EconPapers.repec.org/RePEc:cmf:wpaper:wp2020_2020

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