Gross Capital Flows by Banks, Corporates and Sovereigns
NBER Working Paper No. 23116
We construct a new dataset of quarterly international capital flows by sector, with an emphasis on debt flows. Using our new dataset, we establish four facts. First, the comovement of capital inflows and outflows is driven by inflows and outflows vis-á-vis the domestic banking sector. 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.
Document Object Identifier (DOI): 10.3386/w23116
Users who downloaded this paper also downloaded* these: