Volatility and Comovement in a Globalized World Economy: An Empirical Exploration

Ayhan Kose, Marco Terrones and Eswar Prasad

No 2003/246, IMF Working Papers from International Monetary Fund

Abstract: This paper analyzes the evolution of volatility and cross-country comovement in output, consumption, and investment fluctuations using two distinct datasets. The results suggest that there has been a significant decline in the volatility of business cycle fluctuations and a slight increase in the degree of cyclical comovement among industrialized countries over time. However, for emerging market economies, financial globalization appears to have been associated, on average, with an increase in macroeconomic volatility as well as declines in the degree of comovement of output and consumption growth with their corresponding world aggregates.

Keywords: WP; globalization period; consumption correlation; MFI economy; business cycle fluctuation; consumption risk; Business cycles; macroeconomic fluctuations; volatility; correlations; globalization; business cycle comovement; Consumption; Financial integration; Current account; Global (search for similar items in EconPapers)
Pages: 38
Date: 2003-12-01
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (28)

Downloads: (external link)
http://www.imf.org/external/pubs/cat/longres.aspx?sk=16979 (application/pdf)

Related works:
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:imf:imfwpa:2003/246

Ordering information: This working paper can be ordered from
http://www.imf.org/external/pubs/pubs/ord_info.htm

Access Statistics for this paper

More papers in IMF Working Papers from International Monetary Fund International Monetary Fund, Washington, DC USA. Contact information at EDIRC.
Bibliographic data for series maintained by Akshay Modi ().