This paper examines how foreign portfolio investment (FPI) in the US and its components affect the US macroeconomic conditions. We estimate a Dynamic Factor Model to extract comovements from 31 indicators to obtain three composite measures of the US market conditions, which correspond to real...

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...