Gross Inflows Gone Wild : Gross Capital Inflows, Credit Booms and Crises

Calderon, Cesar ; Kubota, Megumi

关键词: ACCOUNTING;    ADVANCED ECONOMIES;    AMOUNT OF CREDIT;    ANNUAL GROWTH;    ASSET PRICE;   

DOI  :  10.1596/1813-9450-6270
RP-ID  :  WPS6270

学科分类：社会科学、人文和艺术（综合）

来源: World Bank Open Knowledge Repository

【 摘 要 】

The main goal of the paper is to examinewhether surges in private capital inflows lead to creditbooms. The authors built a quarterly database on grosscapital inflows, credit to the private sector, and othermacro-financial indicators for a sample of 71 countries from1975q1 to 2010q4. Identifying credit booms is not trivial:they use different criteria implemented in the literature.The estimates suggest that: (i) Surges in gross privatecapital inflows are overall good predictors of credit booms.(ii) The likelihood of credit booms is higher if the surgesin foreign flows are driven by private other investmentinflows and, to a lesser extent, portfolio investmentinflows. (iii) Surges in gross inflows are also goodpredictors of credit booms that end up in a financial crisis-- "bad" credit booms. This finding holds evenafter controlling for the appreciation of the local currencyand the build-up of leverage. (iv) Bad credit booms are morelikely to occur when surges are driven by other investmentinflows. At best, foreign direct investment inflow-drivensurges help mitigate the incidence of this type of creditboom. (v) The predictive ability of gross other investmentinflows is primarily driven by bank inflows. (vi) Consistentwith the literature, the analysis finds that the build-up ofleverage and the real overvaluation of the currency helppredict credit booms that are followed by a systemic crisis.Controlling for these factors, capital flows are still asignificant predictor of credit booms.