Changes in the second-moment properties of disaggregated capital flows
Pierangelo De Pace () and
Johanna Francis ()
Economics Letters, 2012, vol. 115, issue 1, 122-127
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)
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1) Track citations by RSS feed
Downloads: (external link)
Full text for ScienceDirect subscribers only
Working Paper: Changes in the second-moment properties of disaggregated capital flows (2010)
Working Paper: Changes in the Second-Moment Properties of Disaggregated Capital Flows (2010)
This item may be available elsewhere in EconPapers: Search for items with the same title.
Export reference: BibTeX
RIS (EndNote, ProCite, RefMan)
Persistent link: https://EconPapers.repec.org/RePEc:eee:ecolet:v:115:y:2012:i:1:p:122-127
Access Statistics for this article
Economics Letters is currently edited by Economics Letters Editorial Office
More articles in Economics Letters from Elsevier
Bibliographic data for series maintained by Dana Niculescu ().