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Do European capital flows comove?

Silvio Contessi and Pierangelo DePace
Authors registered in the RePEc Author Service: Pierangelo De Pace ()

No 2008-042, Working Papers from Federal Reserve Bank of St. Louis

Abstract: We study the cross-sectional correlations of net, total, and disaggregated capital flows for the major source and recipient European Union countries. We seek evidence of changes in these correlations since the introduction of the euro to understand whether the European Union can be considered a unique entity with regard to its international capital flows. We first use Ng's (2006) "uniform spacing" methodology to rank cross-sectional correlations (i.e., which flows comove more) and to shed light on potential common factors driving international equity flows. We find that a common factor structure is suitable for equity flows disaggregated by sign but not for net and total flows. We only find mixed evidence that correlations between types of flows have changed since the introduction of the euro.

Keywords: Capital investments; European Union countries (search for similar items in EconPapers)
Date: 2008
New Economics Papers: this item is included in nep-eec
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