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 corpora...
| Main Authors: | , , , |
|---|---|
| Format: | Working Paper |
| Language: | English |
| Published: |
World Bank, Washington, DC
2018
|
| Subjects: | |
| Online Access: | http://documents.worldbank.org/curated/en/277751531244010849/Gross-capital-flows-by-banks-corporates-and-sovereigns http://hdl.handle.net/10986/29987 |
| Summary: | 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. |
|---|