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
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1)

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S0165176511005271
Full text for ScienceDirect subscribers only

Related works:
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) HTML/Text

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

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 Catherine Liu (repec@elsevier.com).