The Comovements of Capital Inflows in the Frequency Domain: Evidence from Emerging Countries

Hail Park

Emerging Markets Finance and Trade, 2014, vol. 50, issue S5, 148-158

Abstract: This paper analyzes the correlations between capital inflows and business cycles in emerging countries, and also investigates the comovements of capital inflows, by capital types, within and across regions (Asia, Latin America, and Europe) in the frequency domain. In general, bank loans show positive correlations with business cycles at all frequencies across emerging countries. In addition, I find that the dynamic correlations between capital types are high at low frequencies and become lower at the higher frequency domains. The cohesion (comovements within a region) and cross-cohesion (comovements across regions) differ in accordance with the capital types and frequency domains.

Date: 2014
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Persistent link: https://EconPapers.repec.org/RePEc:mes:emfitr:v:50:y:2014:i:s5:p:148-158

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DOI: 10.2753/REE1540-496X5005S510

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