NATIONAL BUREAU OF ECONOMIC RESEARCH
NATIONAL BUREAU OF ECONOMIC RESEARCH
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Bryan Hardy

Bank for International Settlements
Centralbahnplatz 2
4051 Basel
Switzerland

E-Mail: EmailAddress: hidden: you can email any NBER-related person as first underscore last at nber dot org
Institutional Affiliation: Bank for International Settlements

NBER Working Papers and Publications

January 2017Gross Capital Flows by Banks, Corporates and Sovereigns
with Stefan Avdjiev, Sebnem Kalemli-Ozcan, Luis Servén: w23116
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 l...
 
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