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Gross capital flows by banks, corporates, and sovereigns

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  • Avdjiev,Stefan
  • Hardy,Bryan James
  • Kalemli-Ozcan,Sebnem
  • Serven,Luis

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.

Suggested Citation

  • Avdjiev,Stefan & Hardy,Bryan James & Kalemli-Ozcan,Sebnem & Serven,Luis, 2018. "Gross capital flows by banks, corporates, and sovereigns," Policy Research Working Paper Series 8514, The World Bank.
  • Handle: RePEc:wbk:wbrwps:8514
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    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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