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

SEACEN Working Paper 04/2020

47 Pages Posted: 29 Jun 2020 Last revised: 11 Dec 2020

See all articles by Etienne Lepers

Etienne Lepers

Organisation for Economic Co-operation and Development

Rogelio Mercado

Asian Development Bank

Date Written: December 11, 2020

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

Suggested Citation

Lepers, Etienne and Mercado, Rogelio, Sectoral Capital Flows: Covariates, Co-movements, and Controls (December 11, 2020). SEACEN Working Paper 04/2020, Available at SSRN: https://ssrn.com/abstract=3617947 or http://dx.doi.org/10.2139/ssrn.3617947

Etienne Lepers

Organisation for Economic Co-operation and Development ( email )

2 rue Andre` Pascal
Paris, 75116
France

Rogelio Mercado (Contact Author)

Asian Development Bank ( email )

6 ADB Avenue Mandaluyong City 1550
Metro Manila
Philippines

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