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Changes in the second-moment properties of disaggregated capital flows

Silvio Contessi, Pierangelo De Pace () and Johanna Francis ()

Economics Letters, 2012, vol. 115, issue 1, 122-127

Abstract: 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.

Keywords: Capital flows; International business cycles; Nonparametric bootstrap methods (search for similar items in EconPapers)
JEL-codes: E32 F21 F32 F36 (search for similar items in EconPapers)
Date: 2012
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Related works:
Working Paper: Changes in the second-moment properties of disaggregated capital flows (2010) Downloads
Working Paper: Changes in the Second-Moment Properties of Disaggregated Capital Flows (2010) Downloads
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Persistent link: https://EconPapers.repec.org/RePEc:eee:ecolet:v:115:y:2012:i:1:p:122-127

DOI: 10.1016/j.econlet.2011.12.015

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