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
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
Do you have a job opening that you would like to promote on SSRN?
Recommended Papers
-
The Composition Matters: Capital Inflows and Liquidity Crunch During a Global Economic Crisis
By Hui Tong and Shang-jin Wei
-
The Composition Matters: Capital Inflows and Liquidity Crunch During a Global Economic Crisis
By Hui Tong and Shang-jin Wei
-
The Composition Matters: Capital Inflows and Liquidity Crunch During a Global Economic Crisis
-
An Information-Based Trade Off between Foreign Direct Investment and Foreign Portfolio Investment
By Itay Goldstein and Assaf Razin
-
Do Some Forms of Financial Flows Help Protect from Sudden Stops?
By Andrei A. Levchenko and Paolo Mauro
-
The Cyclical Nature of North-South FDI Flows
By Eduardo Levy Levy-yeyati, Ugo Panizza, ...
-
The Cyclical Properties of Disaggregated Capital Flows
By Silvio Contessi, Pierangelo De Pace, ...
-
Liquidity, Institutional Quality and the Composition of International Equity Flows
By Itay Goldstein, Assaf Razin, ...
-
Liquidity, Institutional Quality and the Composition of International Equity Outflows
By Itay Goldstein, Assaf Razin, ...