Gross Capital Flows by Banks, Corporates and Sovereigns

• Stefan Avdjiev ^[3] ; Bryan Hardy ^[3] ; Sebnem Kalemli-Özcan ^[1] ; Luis Servén ^[2]
  1. [1] University of Maryland, College Park

     University of Maryland, College Park

     Estados Unidos

     
  2. [2] Centro de Estudios Monetarios y Financieros

     Centro de Estudios Monetarios y Financieros

     Madrid, España

     
  3. [3] Bank for International Settlements

  Mostrar afiliaciones +
• Localización: Documentos de Trabajo ( CEMFI ), Nº. 20 (CEMFI Working Paper No. 2020, 2020), 2020
• Idioma: inglés
• Enlaces
  • Texto completo (pdf)
• Resumen

  • We construct a new quarterly data set of international capital flows broken down by sector: banks, corporates and sovereigns. Using our novel data set, we establish severalkey facts that demonstrate the importance of distinguishing in- and outflows by the domestic sectoral identity. We find that public sector flows may serve as a countervailing force to private sector flows, especially in emerging markets (EMs), as these flows respond differently not only to country-specific fundamentals but also to global shocks. The high inflow-outflow correlation observed in total capital flow data is driven by within-sector flows, especially those of AE banks. In general, inflows and outflows of AEs and inflows to EMs are primarily AE banks’ transactions, and, as a consequence, respond similarly to capital flow drivers. By contrast, EM outflows respond differently to global shocks and changes in fundamentals, leading to lower inflow-outflows correlations for EMs.