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Sectoral Capital Flows: Covariates, Co-movements, and Controls

Author

Listed:
  • Etienne Lepers

    (Organisation for Economic Co-operation and Development (OECD))

  • Rogelio Mercado, Jr.

    (The SEACEN Centre)

Abstract

This paper assembles a comprehensive sectoral capital flows dataset for 64 advanced and emerging economies from 2000-18, including direct, portfolio, and other investment to and from central banks (CB), general government (GG), banks (BKs), non-financial corporates (NFCs) and other financial corporates (OFCs) and a corresponding dataset on capital controls imposed on these sectors. Using these datasets, this paper illustrates the usefulness of a sectoral approach in assessing capital flow covariates, co-movements, and the effectiveness of capital controls. The findings underscore the sensitivity and cyclicality of OFC flows; and offer new evidence on the impact of sectoral controls on BKs, NFCs, and OFCs in lowering gross inflows to these sectors.

Suggested Citation

  • Etienne Lepers & Rogelio Mercado, Jr., 2020. "Sectoral Capital Flows: Covariates, Co-movements, and Controls," Working Papers wp42, South East Asian Central Banks (SEACEN) Research and Training Centre, revised Dec 2020.
    • Handle: RePEc:sea:wpaper:wp42
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    Cited by:

    1. Eller, Markus & Hauzenberger, Niko & Huber, Florian & Schuberth, Helene & Vashold, Lukas, 2021. "The impact of macroprudential policies on capital flows in CESEE," Journal of International Money and Finance, Elsevier, vol. 119(C).
    2. Daniel Carvalho & Etienne Lepers & Rogelio Jr Mercado, 2021. "Taming the "Capital Flows-Credit Nexus": A Sectoral Approach," Trinity Economics Papers tep0921, Trinity College Dublin, Department of Economics.

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    More about this item

    Keywords

    sectoral capital flows; capital flows correlations; capital controls;
    All these keywords.

    JEL classification:

    • F21 - International Economics - - International Factor Movements and International Business - - - International Investment; Long-Term Capital Movements
    • F38 - International Economics - - International Finance - - - International Financial Policy: Financial Transactions Tax; Capital Controls
    • F41 - International Economics - - Macroeconomic Aspects of International Trade and Finance - - - Open Economy Macroeconomics
    • G20 - Financial Economics - - Financial Institutions and Services - - - General

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