Gross Capital Inflows to Banks, Corporates and Sovereigns
109 Pages Posted: 30 Jan 2017 Last revised: 11 Jun 2018
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Gross Capital Flows by Banks, Corporates, and Sovereigns
Gross Capital Flows by Banks, Corporates and Sovereigns
Gross Capital Flows by Banks, Corporates and Sovereigns
Date Written: January 2017
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.
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