Gross Capital Flows by Banks, Corporates, and Sovereigns

108 Pages Posted: 28 Aug 2018

See all articles by Stefan Avdjiev

Stefan Avdjiev

Bank for International Settlements (BIS)

Sebnem Kalemli-Ozcan

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

Bryan James Hardy

University of Maryland

Luis Servén

CEMFI

Multiple version iconThere are 4 versions of this paper

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

Suggested Citation

Avdjiev, Stefan and Kalemli-Ozcan, Sebnem and Hardy, Bryan James and Servén, Luis, Gross Capital Flows by Banks, Corporates, and Sovereigns (July 10, 2018). World Bank Policy Research Working Paper No. 8514, Available at SSRN: https://ssrn.com/abstract=3238354

Stefan Avdjiev (Contact Author)

Bank for International Settlements (BIS) ( email )

Centralbahnplatz 2
Basel, Basel-Stadt 4002
Switzerland

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

Bryan James Hardy

University of Maryland

College Park
College Park, MD 20742
United States

Luis Servén

CEMFI ( email )

Casado del Alisal 5
28014 Madrid
Spain

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