Changes in the Second-Moment Properties of Disaggregated Capital Flows
Pierangelo De Pace () and
Johanna Francis ()
Fordham Economics Discussion Paper Series from Fordham University, Department of Economics
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)
New Economics Papers: this item is included in nep-bec, nep-ifn, nep-mac and nep-opm
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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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Persistent link: https://EconPapers.repec.org/RePEc:frd:wpaper:dp2010-10
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