Gross capital flows by banks, corporates, and sovereigns

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

No 8514, Policy Research Working Paper Series from The World Bank

Abstract: This paper constructs a new dataset of quarterly capital flows by sector and establishes 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 increases, whereas sovereigns'flows show no response. These facts are inconsistent with a large class of theoretical models.

Date: 2018-07-10
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Citations: View citations in EconPapers (29)

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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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