Gross Capital Flows by Banks, Corporates and Sovereigns

98 Pages Posted: 30 Jan 2017 Last revised: 1 Mar 2023

See all articles by Stefan Avdjiev

Stefan Avdjiev

Bank for International Settlements (BIS)

Bryan Hardy

University of Maryland

Sebnem Kalemli-Ozcan

University of Maryland - Department of Economics; National Bureau of Economic Research (NBER); Koc University, Graduate School of Business

Luis Servén

CEMFI

Multiple version iconThere are 4 versions of this paper

Date Written: January 2017

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.

Suggested Citation

Avdjiev, Stefan and Hardy, Bryan and Kalemli-Ozcan, Sebnem and Servén, Luis, Gross Capital Flows by Banks, Corporates and Sovereigns (January 2017). NBER Working Paper No. w23116, Available at SSRN: https://ssrn.com/abstract=2907919

Stefan Avdjiev (Contact Author)

Bank for International Settlements (BIS) ( email )

Centralbahnplatz 2
Basel, Basel-Stadt 4002
Switzerland

Bryan Hardy

University of Maryland ( email )

College Park
College Park, MD 20742
United States

Sebnem Kalemli-Ozcan

University of Maryland - Department of Economics ( email )

College Park, MD 20742
United States

National Bureau of Economic Research (NBER)

1050 Massachusetts Avenue
Cambridge, MA 02138
United States

Koc University, Graduate School of Business ( email )

Rumelifeneri Yolu
34450 Sar?yer
Istanbul, 34450
Turkey

Luis Servén

CEMFI ( email )

Casado del Alisal 5
28014 Madrid
Spain

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