Gross Capital Flows by Banks, Corporates, and Sovereigns

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 corpora...

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Main Authors:	Avdjiev, Stefan, Hardy, Bryan, Kalemli-Ozcan, Sebnem, Serven, Luis
Format:	Working Paper
Language:	English
Published:	World Bank, Washington, DC 2018
Subjects:	CAPITAL FLOWS BUSINESS CYCLE EXTERNAL DEBT SOVEREIGN DEBT VIX SYSTEMIC RISK EMERGING MARKET ECONOMIES INTERNATIONAL CAPITAL MARKETS
Online Access:	http://documents.worldbank.org/curated/en/277751531244010849/Gross-capital-flows-by-banks-corporates-and-sovereigns http://hdl.handle.net/10986/29987

id	okr-10986-29987
recordtype	oai_dc
spelling	okr-10986-299872021-06-08T14:42:46Z Gross Capital Flows by Banks, Corporates, and Sovereigns Avdjiev, Stefan Hardy, Bryan Kalemli-Ozcan, Sebnem Serven, Luis CAPITAL FLOWS BUSINESS CYCLE EXTERNAL DEBT SOVEREIGN DEBT VIX SYSTEMIC RISK EMERGING MARKET ECONOMIES INTERNATIONAL CAPITAL MARKETS 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. 2018-07-16T13:21:36Z 2018-07-16T13:21:36Z 2018-07 Working Paper http://documents.worldbank.org/curated/en/277751531244010849/Gross-capital-flows-by-banks-corporates-and-sovereigns http://hdl.handle.net/10986/29987 English Policy Research Working Paper;No. 8514 CC BY 3.0 IGO http://creativecommons.org/licenses/by/3.0/igo World Bank World Bank, Washington, DC Publications & Research Publications & Research :: Policy Research Working Paper
repository_type	Digital Repository
institution_category	Foreign Institution
institution	Digital Repositories
building	World Bank Open Knowledge Repository
collection	World Bank
language	English
topic	CAPITAL FLOWS BUSINESS CYCLE EXTERNAL DEBT SOVEREIGN DEBT VIX SYSTEMIC RISK EMERGING MARKET ECONOMIES INTERNATIONAL CAPITAL MARKETS
spellingShingle	CAPITAL FLOWS BUSINESS CYCLE EXTERNAL DEBT SOVEREIGN DEBT VIX SYSTEMIC RISK EMERGING MARKET ECONOMIES INTERNATIONAL CAPITAL MARKETS Avdjiev, Stefan Hardy, Bryan Kalemli-Ozcan, Sebnem Serven, Luis Gross Capital Flows by Banks, Corporates, and Sovereigns
relation	Policy Research Working Paper;No. 8514
description	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.
format	Working Paper
author	Avdjiev, Stefan Hardy, Bryan Kalemli-Ozcan, Sebnem Serven, Luis
author_facet	Avdjiev, Stefan Hardy, Bryan Kalemli-Ozcan, Sebnem Serven, Luis
author_sort	Avdjiev, Stefan
title	Gross Capital Flows by Banks, Corporates, and Sovereigns
title_short	Gross Capital Flows by Banks, Corporates, and Sovereigns
title_full	Gross Capital Flows by Banks, Corporates, and Sovereigns
title_fullStr	Gross Capital Flows by Banks, Corporates, and Sovereigns
title_full_unstemmed	Gross Capital Flows by Banks, Corporates, and Sovereigns
title_sort	gross capital flows by banks, corporates, and sovereigns
publisher	World Bank, Washington, DC
publishDate	2018
url	http://documents.worldbank.org/curated/en/277751531244010849/Gross-capital-flows-by-banks-corporates-and-sovereigns http://hdl.handle.net/10986/29987
_version_	1764470991845588992

Gross Capital Flows by Banks, Corporates, and Sovereigns

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