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.

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Year of publication:	2010
Authors:	Contessi, Silvio ; Pace, Pierangelo De ; Francis, Johanna
Institutions:	Economics Department, Fordham University
Subject:	Capital Flows \| International Business Cycles

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Extent:	application/pdf
Series:	Fordham Economics Discussion Paper Series.
Type of publication:	Book / Working Paper
Language:	English
Classification:	E32 - Business Fluctuations; Cycles ; F21 - International Investment; Long-Term Capital Movements ; F32 - Current Account Adjustment; Short-Term Capital Movements ; F36 - Financial Aspects of Economic Integration
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10008684954