Changes in the Second-Moment Properties of Disaggregated Capital Flows

FRB of St. Louis Working Paper No. 2010-020B

12 Pages Posted: 17 Jul 2010 Last revised: 30 Mar 2011

See all articles by Silvio Contessi

Silvio Contessi

Monash Business School - Department of Banking and Finance; Financial Research Network (FIRN)

Pierangelo De Pace

Pomona College - Department of Economics

Johanna Francis

Fordham University

Date Written: March 28, 2011

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

JEL Classification: E32, F21, F32, F36

Suggested Citation

Contessi, Silvio and De Pace, Pierangelo and Francis, Johanna, Changes in the Second-Moment Properties of Disaggregated Capital Flows (March 28, 2011). FRB of St. Louis Working Paper No. 2010-020B, Available at SSRN: https://ssrn.com/abstract=1640794 or http://dx.doi.org/10.2139/ssrn.1640794

Silvio Contessi (Contact Author)

Monash Business School - Department of Banking and Finance ( email )

P.O. Box 197
Caulfield East, 3145
Australia

Financial Research Network (FIRN) ( email )

C/- University of Queensland Business School
St Lucia, 4071 Brisbane
Queensland
Australia

Pierangelo De Pace

Pomona College - Department of Economics ( email )

425 N College Avenue
Carnegie Building, Room 205
Claremont, CA 91711
United States
+19096218744 (Phone)

HOME PAGE: http://sites.google.com/site/pierangelodepace/

Johanna Francis

Fordham University ( email )

113 West 60th Street
New York, NY 10023
United States

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