Volatility and Comovement in a Globalized World Economy
An Empirical Exploration
38 Pages Posted: 15 Feb 2006
Date Written: December 2003
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: Business cycles macroeconomic fluctuations volatility correlations globalization
JEL Classification: F2 F41 F42 E32
Suggested Citation: Suggested Citation