Changes in the second-moment properties of disaggregated capital flows

Using formal statistical tests, we detect (i) significant volatility increases for various types of capital flows for a period of changes in business cycle comovement among the G7 countries, and (ii) mixed evidence of changes in covariances and correlations with a set of macroeconomic variables.

MoreLess

Year of publication:	2010
Authors:	Contessi, Silvio ; Pace, Pierangelo De ; Francis, Johanna L.
Institutions:	Federal Reserve Bank of St. Louis
Subject:	Capital investments \| International finance

More details

Extent:	application/pdf
Series:	Working Papers.
Type of publication:	Book / Working Paper
Language:	English
Notes:	Number 2010-020
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10008486540