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 quarterly data set of international capital flows broken down by sector: banks, corporates and sovereigns. Using our novel data set, we establish several key 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.

JEL-codes: F00 F2 F21 F3 F32 F41 F42 (search for similar items in EconPapers)
Date: 2017-01
New Economics Papers: this item is included in nep-opm
Note: IFM
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Citations: View citations in EconPapers (38)

Published as Stefan Avdjiev & Bryan Hardy & Şebnem Kalemli-Özcan & Luis Servén, 2022. "Gross Capital Flows by Banks, Corporates, and Sovereigns," Journal of the European Economic Association, vol 20(5), pages 2098-2135.

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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 (2018)
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