Author(s):	Stefan Avdjiev, Bryan Hardy, Sebnem Kalemli-Ozcan, Luis Servén
Publication Date:	January 2017
Date Revised:	October 2018
Keyword(s):	Business Cycles, emerging markets, External Corporate and Bank Debt, Quarterly Capital Flows, Sovereign debt, systemic risk, VIX
JEL(s):	F21, F41, O1
Programme Areas:	International Macroeconomics and Finance, Macroeconomics and Growth
Link to this Page:	cepr.org/active/publications/discussion_papers/dp.php?dpno=11806

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.