Changes in the second-moment properties of disaggregated capital flows
Pierangelo De Pace () and
Johanna Francis ()
No 2010-020, Working Papers from Federal Reserve Bank of St. Louis
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 investments; International finance (search for similar items in EconPapers)
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Journal Article: Changes in the second-moment properties of disaggregated capital flows (2012)
Working Paper: Changes in the Second-Moment Properties of Disaggregated Capital Flows (2010)
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