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The cyclical properties of disaggregated capital flows

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

Abstract

We analyze the second-moment properties of the components of international capital flows and their relationship to business cycle variables (output, investment, and the real interest rate) in 22 industrial and emerging countries. Total inward flows are procyclical with respect to all three macro variables. Net outward flows are countercyclical with respect to output and investment in most industrial and emerging countries. Disaggregated inward flows positively comove with output in industrial countries and with investment and the real interest rate in the G7 economies. Inward foreign direct investment is the only non-procyclical type of inward capital flows (with respect to output) in the developing economies. Formal statistical tests based on nonparametric bootstrap techniques detect significant variance increases in all G7 countries' disaggregated capital flows over exogenous and endogenously estimated breaks.

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Bibliographic Info

Article provided by Elsevier in its journal Journal of International Money and Finance.

Volume (Year): 32 (2013)
Issue (Month): C ()
Pages: 528-555

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Handle: RePEc:eee:jimfin:v:32:y:2013:i:c:p:528-555

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Web page: http://www.elsevier.com/locate/inca/30443

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Keywords: Capital flows; International business cycles; Second moments;

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References

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Citations

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Cited by:
  1. Silvio Contessi & Pierangelo DePace, 2008. "Do European capital flows comove?," Working Papers 2008-042, Federal Reserve Bank of St. Louis.
  2. Byrne, Joseph P. & Fiess, Norbert, 2011. "International Capital Flows to Emerging and Developing Countries: National and Global Determinants," SIRE Discussion Papers 2011-03, Scottish Institute for Research in Economics (SIRE).
  3. Silvio Contessi & Pierangelo De Pace & Johanna Francis, 2010. "Changes in the Second-Moment Properties of Disaggregated Capital Flows," Fordham Economics Discussion Paper Series dp2010-10, Fordham University, Department of Economics.
  4. Silvio Contessi & Pierangelo De Pace, 2011. "The (non-)resiliency of foreign direct investment in the United States during the 2007-2009 financial crisis," Working Papers 2011-037, Federal Reserve Bank of St. Louis.
  5. Silvio Contessi & Ariel Weinberger, 2009. "Foreign direct investment, productivity, and country growth: an overview," Review, Federal Reserve Bank of St. Louis, issue Mar, pages 61-78.
  6. Contessi, Silvio & De Pace, Pierangelo & Francis, Johanna L., 2013. "The cyclical properties of disaggregated capital flows," Journal of International Money and Finance, Elsevier, vol. 32(C), pages 528-555.
  7. Silvio Contessi & Johanna L. Francis, 2013. "U.S. Commercial Bank Lending Through 2008:Q4: New Evidence From Gross Credit Flows," Economic Inquiry, Western Economic Association International, vol. 51(1), pages 428-444, 01.
  8. Eylem Ersal Kiziler, 2011. "Growth Shocks and Portfolio Flows," Working Papers 11-02, UW-Whitewater, Department of Economics.
  9. Francis, Johanna L. & Aykut, Dilek & Tereanu, Eugen, 2014. "The cost of private debt over the credit cycle," Journal of International Money and Finance, Elsevier, vol. 41(C), pages 146-181.

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