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Gross Capital Flows by Banks, Corporates and Sovereigns

Author

Listed:
  • Stefan Avdjiev
  • Bryan Hardy
  • Ṣebnem Kalemli-Özcan
  • Luis Servén
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.

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  • Stefan Avdjiev & Bryan Hardy & Ṣebnem Kalemli-Özcan & Luis Servén, 2017. "Gross Capital Flows by Banks, Corporates and Sovereigns," NBER Working Papers 23116, National Bureau of Economic Research, Inc.
    • Handle: RePEc:nbr:nberwo:23116
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    More about this item

    JEL classification:

    • F00 - International Economics - - General - - - General
    • F2 - International Economics - - International Factor Movements and International Business
    • F21 - International Economics - - International Factor Movements and International Business - - - International Investment; Long-Term Capital Movements
    • F3 - International Economics - - International Finance
    • F32 - International Economics - - International Finance - - - Current Account Adjustment; Short-term Capital Movements
    • F41 - International Economics - - Macroeconomic Aspects of International Trade and Finance - - - Open Economy Macroeconomics
    • F42 - International Economics - - Macroeconomic Aspects of International Trade and Finance - - - International Policy Coordination and Transmission

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