Gross Capital Inflows to Banks, Corporates and Sovereigns

Kalemli-Özcan, Sebnem, Servén, Luis, Stefan Avdjiev and Bryan Hardy
Authors registered in the RePEc Author Service: Sebnem Kalemli-Ozcan and Luis Servén

No 11806, CEPR Discussion Papers from C.E.P.R. Discussion Papers

Abstract: We construct a new dataset of quarterly capital flows by sector and establish four facts. First, the co-movement of capital inflows and outflows is driven by banks. Second, procyclicality of capital inflows is driven by banks and corporates, whereas sovereigns’ external liabilities move acyclically in advanced and countercyclically in emerging countries. Third, 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 sovereigns’ 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)
Date: 2017-01
New Economics Papers: this item is included in nep-ifn and nep-opm
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (39)

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