Gross Capital Flows by Banks, Corporates and Sovereigns

113 Pages Posted: 7 Jan 2019

See all articles by Stefan Avdjiev

Stefan Avdjiev

Bank for International Settlements (BIS)

Bryan Hardy

Bank for International Settlements (BIS) - Monetary and Economic Department

Sebnem Kalemli-Ozcan

University of Maryland - Department of Economics; National Bureau of Economic Research (NBER); Koc University, Graduate School of Business

Luis Servén

World Bank - Development Research Group (DECRG)

Multiple version iconThere are 4 versions of this paper

Date Written: December 4, 2018

Abstract

We construct a new data set of quarterly international capital flows by sector, with an emphasis on debt flows. Using our new data set, we establish four facts. First, the co-movement of capital inflows and outflows is driven by inflows and outflows vis-à-vis the domestic banking sector. Second, the procyclicality of capital inflows is driven by banks and corporates, whereas sovereigns' external liabilities move acyclically in advanced and countercyclically in emerging countries. Third, the 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 sovereign flows show no response. These facts are inconsistent with a large class of theoretical models.

Keywords: quarterly capital flows, business cycles, external corporate and bank debt, sovereign debt, VIX, systemic risk, emerging markets

JEL Classification: F21, F41, O1

Suggested Citation

Avdjiev, Stefan and Hardy, Bryan and Kalemli-Ozcan, Sebnem and Servén, Luis, Gross Capital Flows by Banks, Corporates and Sovereigns (December 4, 2018). BIS Working Paper No. 760, Available at SSRN: https://ssrn.com/abstract=3302318

Stefan Avdjiev (Contact Author)

Bank for International Settlements (BIS) ( email )

Centralbahnplatz 2
Basel, Basel-Stadt 4002
Switzerland

Bryan Hardy

Bank for International Settlements (BIS) - Monetary and Economic Department ( email )

Centralbahnplatz 2
CH-4002 Basel
Switzerland

Sebnem Kalemli-Ozcan

University of Maryland - Department of Economics ( email )

College Park, MD 20742
United States

National Bureau of Economic Research (NBER)

1050 Massachusetts Avenue
Cambridge, MA 02138
United States

Koc University, Graduate School of Business ( email )

Rumelifeneri Yolu
34450 Sar?yer
Istanbul, 34450
Turkey

Luis Servén

World Bank - Development Research Group (DECRG)

1818 H. Street, N.W.
MSN3-311
Washington, DC 20433
United States

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