Gross Capital Flows by Banks, Corporates, and Sovereigns
108 Pages Posted: 28 Aug 2018
There are 4 versions of this paper
Gross Capital Flows by Banks, Corporates, and Sovereigns
Gross Capital Flows by Banks, Corporates and Sovereigns
Gross Capital Flows by Banks, Corporates and Sovereigns
Gross Capital Inflows to Banks, Corporates and Sovereigns
Date Written: July 10, 2018
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.
Keywords: Financial Structures, Macroeconomic Management, Investment and Investment Climate, International Trade and Trade Rules, Capital Markets and Capital Flows, Capital Flows
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