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Gross Capital Flows by Banks, Corporates and Sovereigns

Author

Listed:
  • Stefan Avdjiev
  • Bryan Hardy
  • Sebnem Kalemli-Ozcan
  • Luis Servén

Abstract

We construct a new dataset of quarterly capital flows by sector and establish 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 (VIX) increases, whereas sovereigns’ flows show no response. These facts are inconsistent with a large class of theoretical models.

Suggested Citation

  • Stefan Avdjiev & Bryan Hardy & Sebnem Kalemli-Ozcan & 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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    1. repec:ebl:ecbull:eb-17-00547 is not listed on IDEAS
    2. Stefan Avdjiev & Galina Hale, 2018. "US monetary policy and fluctuations of international bank lending," BIS Working Papers 730, Bank for International Settlements.
    3. Stefan Avdjiev & Stephan Binder & Ricardo Sousa, 2017. "External debt composition and domestic credit cycles," BIS Working Papers 627, Bank for International Settlements.

    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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