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:	2012
Authors:	Contessi, Silvio ; De Pace, Pierangelo ; Francis, Johanna L.
Published in:	Economics Letters. - Elsevier, ISSN 0165-1765. - Vol. 115.2012, 1, p. 122-127
Publisher:	Elsevier
Subject:	Capital flows \| International business cycles \| Nonparametric bootstrap methods

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Type of publication:	Article
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

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