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Gross capital flows by banks, corporates and sovereigns

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  • Stefan Avdjiev
  • Sebnem Kalemli-Ozcan
  • Luis Servén

Abstract

We construct a new data set of quarterly international capital flows by sector, with an emphasis on debt flows. Using our new data set, we establish four facts. First, the co-movement of capital inflows and outflows is driven by inflows and outflows vis-à-vis the domestic banking sector. Second, the procyclicality of capital inflows is driven by banks and corporates, whereas sovereigns' external liabilities move acyclically in advanced and countercyclically in emerging countries. Third, the 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 sovereign flows show no response. These facts are inconsistent with a large class of theoretical models.

Suggested Citation

  • Stefan Avdjiev & Sebnem Kalemli-Ozcan & Luis Servén, 2018. "Gross capital flows by banks, corporates and sovereigns," BIS Working Papers 760, Bank for International Settlements.
  • Handle: RePEc:bis:biswps:760
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    Cited by:

    1. Cian Allen, 2018. "Revisiting External Imbalances: Insights from Sectoral Accounts," 2018 Papers pal913, Job Market Papers.
    2. Stefan Avdjiev & Galina Hale, 2018. "US monetary policy and fluctuations of international bank lending," BIS Working Papers 730, Bank for International Settlements.
    3. repec:ebl:ecbull:eb-17-00547 is not listed on IDEAS
    4. Stefan Avdjiev & Stephan Binder & Ricardo Sousa, 2017. "External debt composition and domestic credit cycles," BIS Working Papers 627, Bank for International Settlements.
    5. Erdal Özmen & Fatma Taşdemir, 2018. "Gross Capital Inflows And Outflows: Twins Or Distant Cousins?," ERC Working Papers 1807, ERC - Economic Research Center, Middle East Technical University, revised Apr 2018.
    6. Sebnem Kalemli-Ozcan & Xiaoxi Liu & Ilhyock Shim, 2018. "Exchange rate appreciations and corporate risk taking," BIS Working Papers 710, Bank for International Settlements.

    More about this item

    Keywords

    quarterly capital flows; business cycles; external corporate and bank debt; sovereign debt; VIX; systemic risk; emerging markets;

    JEL classification:

    • F21 - International Economics - - International Factor Movements and International Business - - - International Investment; Long-Term Capital Movements
    • F41 - International Economics - - Macroeconomic Aspects of International Trade and Finance - - - Open Economy Macroeconomics
    • O1 - Economic Development, Innovation, Technological Change, and Growth - - Economic Development

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