Changes in the Second-Moment Properties of Disaggregated Capital Flows

Silvio Contessi, Pierangelo De Pace and Johanna Francis

Fordham Economics Discussion Paper Series from Fordham University, Department of Economics

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. (search for similar items in EconPapers)
JEL-codes: E32 F21 F32 F36 (search for similar items in EconPapers)
Date: 2010
New Economics Papers: this item is included in nep-bec, nep-ifn, nep-mac and nep-opm
References: View references in EconPapers View complete reference list from CitEc
Citations:

Downloads: (external link)
https://archive.fordham.edu/ECONOMICS_RESEARCH/PAP ... i_depace_francis.pdf (application/pdf)

Related works:
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)
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:frd:wpaper:dp2010-10

Access Statistics for this paper

More papers in Fordham Economics Discussion Paper Series from Fordham University, Department of Economics Contact information at EDIRC.
Bibliographic data for series maintained by Fordham Economics ().