To better understand the links between capital flows to various sectors and domestic credit, this paper has two objectives. First, it extends the literature on capital flows and domestic credit by considering the impact of capital flows to banks, non-bank financial corporates and non-financial corporates on domestic credit, both to non-financial corporates and households. Second, it examines the impact of macroprudential policy on different types of cross-border flows going to banking, non-bank financial, and non-financial sectors. The paper uses a novel dataset on sectoral capital flows for advanced and emerging economies from 2000 onwards.