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Gross Capital Flows by Banks, Corporates and Sovereigns

Stefan Avdjiev (), Bryan Hardy, Sebnem Kalemli-Ozcan () and Luis Servén

No 23116, NBER Working Papers from National Bureau of Economic Research, Inc

Abstract: We construct a new dataset of quarterly international capital flows by sector, with an emphasis on debt flows. Using our new dataset, we establish four facts. First, the comovement of capital inflows and outflows is driven by inflows and outflows vis-á-vis the domestic banking sector. 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.

JEL-codes: F00 F2 F21 F3 F32 F41 F42 (search for similar items in EconPapers)
New Economics Papers: this item is included in nep-opm
Date: 2017-01
Note: IFM
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Working Paper: Gross capital flows by banks, corporates and sovereigns (2018) Downloads
Working Paper: Gross capital flows by banks, corporates, and sovereigns (2018) Downloads
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