Download This PaperChanges 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
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: Suggested Citation
Financial Research Network (FIRN) ( email )
C/- University of Queensland Business School
St Lucia, 4071 Brisbane
Queensland
Australia
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