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Changes in the second-moment properties of disaggregated capital flows

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  • Contessi, Silvio
  • De Pace, Pierangelo
  • Francis, Johanna L.

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.

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Bibliographic Info

Article provided by Elsevier in its journal Economics Letters.

Volume (Year): 115 (2012)
Issue (Month): 1 ()
Pages: 122-127

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Handle: RePEc:eee:ecolet:v:115:y:2012:i:1:p:122-127

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Web page: http://www.elsevier.com/locate/ecolet

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Keywords: Capital flows; International business cycles; Nonparametric bootstrap methods;

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  1. Jonathan Heathcote & Fabrizio Perri, 2001. "Financial Globalization and Real Regionalization," Working Papers 01-11, New York University, Leonard N. Stern School of Business, Department of Economics.
  2. Margaret M. McConnell & Gabriel Perez Quiros, 1997. "Output fluctuations in the United States: what has changed since the early 1980s?," Research Paper 9735, Federal Reserve Bank of New York.
  3. Neumeyer, Pablo A. & Perri, Fabrizio, 2005. "Business cycles in emerging economies: the role of interest rates," Journal of Monetary Economics, Elsevier, vol. 52(2), pages 345-380, March.
  4. Paolo Mauro & Andrei A. Levchenko, 2006. "Do Some Forms of Financial Flows Help Protect From Sudden Stops?," IMF Working Papers 06/202, International Monetary Fund.
  5. Graciela L. Kaminsky & Carmen M. Reinhart & Carlos A. Vegh, 2004. "When it Rains, it Pours: Procyclical Capital Flows and Macroeconomic Policies," NBER Working Papers 10780, National Bureau of Economic Research, Inc.
  6. Eduardo Levy Yeyati & Ugo Panizza & Ernesto H. Stein, 2003. "The Cyclical Nature of North-South FDI Flows," IDB Publications 6502, Inter-American Development Bank.
  7. Forbes, Kristin J., 2010. "Why do foreigners invest in the United States?," Journal of International Economics, Elsevier, vol. 80(1), pages 3-21, January.
  8. James H. Stock & Mark W. Watson, 2003. "Understanding Changes in International Business Cycle Dynamics," NBER Working Papers 9859, National Bureau of Economic Research, Inc.
  9. Silvio Contessi & Pierangelo DePace & Johanna Francis, 2008. "The cyclical properties of disaggregated capital flows," Working Papers 2008-041, Federal Reserve Bank of St. Louis.
  10. David K. Backus & Patrick J. Kehoe & Finn E. Kydland, 1987. "International real business cycles," Working Papers 426, Federal Reserve Bank of Minneapolis.
  11. De Pace, Pierangelo, 2013. "Currency Union, Free-Trade Areas, And Business Cycle Synchronization," Macroeconomic Dynamics, Cambridge University Press, vol. 17(03), pages 646-680, April.
  12. Brian M. Doyle & Jon Faust, 2003. "Breaks in the variability and co-movement of G-7 economic growth," International Finance Discussion Papers 786, Board of Governors of the Federal Reserve System (U.S.).
  13. Katherine Smith & Diego Valderrama, 2007. "The composition of capital flows when emerging market firms face financing constraints," 2007 Meeting Papers 533, Society for Economic Dynamics.
  14. Finn E. Kydland, 1991. "On the econometrics of world business cycles," Working Paper 9115, Federal Reserve Bank of Cleveland.
  15. Paolo Mauro, 2007. "Do Some Forms of Financial Flows Help Protect Against "Sudden Stops"?," World Bank Economic Review, World Bank Group, vol. 21(3), pages 389-411, September.
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