Gross Capital Inflows to Banks, Corporates and Sovereigns

109 Pages Posted: 30 Jan 2017 Last revised: 11 Jun 2018

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

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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.

Suggested Citation

Avdjiev, Stefan and Hardy, Bryan and Kalemli-Ozcan, Sebnem and Servén, Luis, Gross Capital Inflows to Banks, Corporates and Sovereigns (January 2017). CEPR Discussion Paper No. DP11806, Available at SSRN: https://ssrn.com/abstract=2908219

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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