Gross Capital Flows by Banks, Corporates, and Sovereigns
构建了按银行、企业和主权国家三个部门划分的国际资本流动季度数据集，发现银行部门驱动了资本流入与流出的高相关性，主权流动常与私人部门流动反向，不同冲击下各部门资本流动模式各异。
Abstract We construct a new quarterly data set of international capital flows broken down by sector—banks, corporates, and sovereigns—and demonstrate the importance of distinguishing capital flows by the sector of domestic borrowers and lenders. We document four new sets of facts. First, banks account for the largest part of the external debt (stocks and flows) in advanced economies, whereas in emerging markets, banks, corporates, and sovereigns have roughly equal shares. Second, the high correlation between total capital inflows and outflows documented in the literature is driven by banking sector flows; that is, domestic banks’ borrowing from foreigners is highly correlated with domestic banks’ lending to foreigners. Third, sovereign flows behave very differently from and often act as a countervailing force to private sector (banking and corporate) flows, especially in emerging markets. Fourth, different shocks (global financial cycles versus domestic business cycles; banking versus currency versus sovereign crises) generate very distinct patterns of capital inflows and outflows by sector. The stylized facts we document deepen our understanding of the dynamics and behavior of capital flows and have important implications for open economy models.