Gross capital flows by banks, corporates and sovereigns

Stefan Avdjiev, Sebnem Kalemli-Ozcan and Luis Servén

No 760, BIS Working Papers from Bank for International Settlements

Abstract: We construct a new data set of quarterly international capital flows by sector, with an emphasis on debt flows. Using our new data set, we establish four facts. First, the co-movement of capital inflows and outflows is driven by inflows and outflows vis-à-vis the domestic banking sector. Second, the procyclicality of capital inflows is driven by banks and corporates, whereas sovereigns' external liabilities move acyclically in advanced and countercyclically in emerging countries. Third, the procyclicality of capital outflows is driven by advanced countries' banks and emerging countries' sovereigns (reserves). Fourth, capital inflows and outflows decline for banks and corporates when global risk aversion (VIX) increases, whereas sovereign flows show no response. These facts are inconsistent with a large class of theoretical models.

Keywords: quarterly capital flows; business cycles; external corporate and bank debt; sovereign debt; VIX; systemic risk; emerging markets (search for similar items in EconPapers)
JEL-codes: F21 F41 O1 (search for similar items in EconPapers)
Pages: 115 pages
Date: 2018-11
New Economics Papers: this item is included in nep-ban, nep-ifn, nep-mon and nep-opm
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (37)

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Related works:
Journal Article: Gross Capital Flows by Banks, Corporates, and Sovereigns (2022)
Working Paper: Gross Capital Flows by Banks, Corporates and Sovereigns (2020)
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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