Sectoral Capital Flows: Covariates, Co-movements, and Controls

Abstract

This paper assembles a comprehensive sectoral capital flows dataset for 64 advanced and emerging economies from 2000-18, including direct, portfolio, and other investment to and from central banks (CB), general government (GG), banks (BKs), non-financial corporates (NFCs) and other financial corporates (OFCs) and a corresponding dataset on capital controls imposed on these sectors. Using these datasets, this paper illustrates the usefulness of a sectoral approach in assessing capital flow covariates, co-movements, and the effectiveness of capital controls. The findings underscore the sensitivity and cyclicality of OFC flows; and offer new evidence on the impact of sectoral controls on BKs, NFCs, and OFCs in lowering gross inflows to these sectors.

Keywords: Sectoral Capital Flows, Capital Flows Correlations, Capital Controls

JEL Classification: F21, F38, F41, G20