Gross Capital Flows by Banks, Corporates, and Sovereigns
This paper constructs a new dataset of quarterly capital flows by sector and establishes 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 increases, whereas sovereigns' flows show no response. These facts are inconsistent with a large class of theoretical models.
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| Format: | Working Paper biblioteca |
| Language: | English |
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World Bank, Washington, DC
2018-07
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| Subjects: | CAPITAL FLOWS, BUSINESS CYCLE, EXTERNAL DEBT, SOVEREIGN DEBT, VIX, SYSTEMIC RISK, EMERGING MARKET ECONOMIES, INTERNATIONAL CAPITAL MARKETS, |
| Online Access: | http://documents.worldbank.org/curated/en/277751531244010849/Gross-capital-flows-by-banks-corporates-and-sovereigns https://hdl.handle.net/10986/29987 |
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dig-okr-10986299872024-08-09T07:43:24Z Gross Capital Flows by Banks, Corporates, and Sovereigns Avdjiev, Stefan Hardy, Bryan Kalemli-Ozcan, Sebnem Serven, Luis CAPITAL FLOWS BUSINESS CYCLE EXTERNAL DEBT SOVEREIGN DEBT VIX SYSTEMIC RISK EMERGING MARKET ECONOMIES INTERNATIONAL CAPITAL MARKETS This paper constructs a new dataset of quarterly capital flows by sector and establishes 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 increases, whereas sovereigns' flows show no response. These facts are inconsistent with a large class of theoretical models. 2018-07-16T13:21:36Z 2018-07-16T13:21:36Z 2018-07 Working Paper Document de travail Documento de trabajo http://documents.worldbank.org/curated/en/277751531244010849/Gross-capital-flows-by-banks-corporates-and-sovereigns https://hdl.handle.net/10986/29987 English Policy Research Working Paper;No. 8514 CC BY 3.0 IGO http://creativecommons.org/licenses/by/3.0/igo World Bank application/pdf text/plain World Bank, Washington, DC |
| institution |
Banco Mundial |
| collection |
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| country |
Estados Unidos |
| countrycode |
US |
| component |
Bibliográfico |
| access |
En linea |
| databasecode |
dig-okr |
| tag |
biblioteca |
| region |
America del Norte |
| libraryname |
Biblioteca del Banco Mundial |
| language |
English |
| topic |
CAPITAL FLOWS BUSINESS CYCLE EXTERNAL DEBT SOVEREIGN DEBT VIX SYSTEMIC RISK EMERGING MARKET ECONOMIES INTERNATIONAL CAPITAL MARKETS CAPITAL FLOWS BUSINESS CYCLE EXTERNAL DEBT SOVEREIGN DEBT VIX SYSTEMIC RISK EMERGING MARKET ECONOMIES INTERNATIONAL CAPITAL MARKETS |
| spellingShingle |
CAPITAL FLOWS BUSINESS CYCLE EXTERNAL DEBT SOVEREIGN DEBT VIX SYSTEMIC RISK EMERGING MARKET ECONOMIES INTERNATIONAL CAPITAL MARKETS CAPITAL FLOWS BUSINESS CYCLE EXTERNAL DEBT SOVEREIGN DEBT VIX SYSTEMIC RISK EMERGING MARKET ECONOMIES INTERNATIONAL CAPITAL MARKETS Avdjiev, Stefan Hardy, Bryan Kalemli-Ozcan, Sebnem Serven, Luis Gross Capital Flows by Banks, Corporates, and Sovereigns |
| description |
This paper constructs a new dataset of
quarterly capital flows by sector and establishes 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
increases, whereas sovereigns' flows show no response.
These facts are inconsistent with a large class of
theoretical models. |
| format |
Working Paper |
| topic_facet |
CAPITAL FLOWS BUSINESS CYCLE EXTERNAL DEBT SOVEREIGN DEBT VIX SYSTEMIC RISK EMERGING MARKET ECONOMIES INTERNATIONAL CAPITAL MARKETS |
| author |
Avdjiev, Stefan Hardy, Bryan Kalemli-Ozcan, Sebnem Serven, Luis |
| author_facet |
Avdjiev, Stefan Hardy, Bryan Kalemli-Ozcan, Sebnem Serven, Luis |
| author_sort |
Avdjiev, Stefan |
| title |
Gross Capital Flows by Banks, Corporates, and Sovereigns |
| title_short |
Gross Capital Flows by Banks, Corporates, and Sovereigns |
| title_full |
Gross Capital Flows by Banks, Corporates, and Sovereigns |
| title_fullStr |
Gross Capital Flows by Banks, Corporates, and Sovereigns |
| title_full_unstemmed |
Gross Capital Flows by Banks, Corporates, and Sovereigns |
| title_sort |
gross capital flows by banks, corporates, and sovereigns |
| publisher |
World Bank, Washington, DC |
| publishDate |
2018-07 |
| url |
http://documents.worldbank.org/curated/en/277751531244010849/Gross-capital-flows-by-banks-corporates-and-sovereigns https://hdl.handle.net/10986/29987 |
| work_keys_str_mv |
AT avdjievstefan grosscapitalflowsbybankscorporatesandsovereigns AT hardybryan grosscapitalflowsbybankscorporatesandsovereigns AT kalemliozcansebnem grosscapitalflowsbybankscorporatesandsovereigns AT servenluis grosscapitalflowsbybankscorporatesandsovereigns |
| _version_ |
1807159088087302144 |