The Cyclical Properties of Disaggregated Capital Flows
Pierangelo De Pace () and
Johanna Francis ()
Fordham Economics Discussion Paper Series from Fordham University, Department of Economics
We describe the second-moment properties of the components of international capital flows and their relationship to business cycle variables for 22 industrial and emerging countries. Inward flows are procyclical. Outward and net flows are countercyclical for most industrial and emerging countries, except for the G7. Results for individual flows are ambiguous except for inward FDI flows that are procyclical in industrial countries, but countercyclical in emerging countries. Using formal statistical tests, we find mixed evidence of changes in the covariance and correlation of capital flows with a set of macroeconomic variables in the G7 countries. We detect significant increases in the variance of all flows.
Keywords: Capital Flows; International Business Cycles; Second Moments (search for similar items in EconPapers)
JEL-codes: E32 F21 F32 F36 (search for similar items in EconPapers)
New Economics Papers: this item is included in nep-bec, nep-mac and nep-opm
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Journal Article: The cyclical properties of disaggregated capital flows (2013)
Working Paper: The cyclical properties of disaggregated capital flows (2008)
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Persistent link: https://EconPapers.repec.org/RePEc:frd:wpaper:dp2009-05
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