NATIONAL BUREAU OF ECONOMIC RESEARCH
NATIONAL BUREAU OF ECONOMIC RESEARCH
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Gross Capital Flows by Banks, Corporates and Sovereigns

Stefan Avdjiev, Bryan Hardy, Sebnem Kalemli-Ozcan, Luis Servén

NBER Working Paper No. 23116
Issued in January 2017, Revised in June 2018
NBER Program(s):International Finance and Macroeconomics

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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Document Object Identifier (DOI): 10.3386/w23116

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