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Discussion Paper Details

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Title: Gross Capital Inflows to Banks, Corporates and Sovereigns

Author(s): Stefan Avdjiev, Bryan Hardy, Sebnem Kalemli-Ozcan and Luis Serv�n

Publication Date: June 2018

Keyword(s): Business Cycles, emerging markets, External Corporate and Bank Debt, Quarterly Capital Flows, Sovereign debt, systemic risk and VIX

Programme Area(s): International Macroeconomics and Finance and Macroeconomics and Growth

Abstract: 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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Bibliographic Reference

Avdjiev, S, Hardy, B, Kalemli-Ozcan, S and Serv�n, L. 2018. 'Gross Capital Inflows to Banks, Corporates and Sovereigns'. London, Centre for Economic Policy Research. https://cepr.org/active/publications/discussion_papers/dp.php?dpno=11806