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The Cyclical Properties of Disaggregated Capital Flows

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  • Silvio Contessi

    (Federal Reserve Bank of St. Louis)

  • Pierangelo De Pace

    (Johns Hopkins University)

  • Johanna Francis

    (Fordham University, Department of Economics)

Abstract

We describe the second-moment properties of the components of international capital flows and their relationship to business cycle variables for 22 industrial and emerging countries. Inward flows are procyclical. Outward and net flows are countercyclical for most industrial and emerging countries, except for the G7. Results for individual flows are ambiguous except for inward FDI flows that are procyclical in industrial countries, but countercyclical in emerging countries. Using formal statistical tests, we find mixed evidence of changes in the covariance and correlation of capital flows with a set of macroeconomic variables in the G7 countries. We detect significant increases in the variance of all flows.

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Bibliographic Info

Paper provided by Fordham University, Department of Economics in its series Fordham Economics Discussion Paper Series with number dp2009-05.

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Date of creation: 2009
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Handle: RePEc:frd:wpaper:dp2009-05

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Web page: http://www.fordham.edu/economics/
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Keywords: Capital Flows; International Business Cycles; Second Moments;

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References

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  1. Silvio Contessi & Pierangelo De Pace & Johanna Francis, 2009. "The Cyclical Properties of Disaggregated Capital Flows," Fordham Economics Discussion Paper Series dp2009-05, Fordham University, Department of Economics.
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Citations

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Cited by:
  1. Silvio Contessi & Johanna Francis, 2009. "U.S. Commercial Bank Lending through 2008:Q4: New Evidence from Gross Credit Flows," Fordham Economics Discussion Paper Series dp2009-04, Fordham University, Department of Economics.
  2. 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.
  3. Joseph P. Byrne & Norbert Fiess, 2011. "International capital flows to emerging and developing countries: national and global determinants," Working Papers 2011_01, Business School - Economics, University of Glasgow.
  4. Eugen Tereanu & Johanna L. Francis & Dilek Aykut, 2010. "The Cost of Private Debt Over the Credit Cycle," IMF Working Papers 10/283, International Monetary Fund.
  5. Silvio Contessi & Pierangelo De Pace & Johanna L. Francis, 2010. "Changes in the second-moment properties of disaggregated capital flows," Working Papers 2010-020, Federal Reserve Bank of St. Louis.
  6. Burns, Andrew & Kida, Mizuho & Lim, Jamus Jerome & Mohapatra, Sanket & Stocker, Marc, 2014. "Unconventional monetary policy normalization in high-income countries : implications for emerging market capital flows and crisis risks," Policy Research Working Paper Series 6830, The World Bank.
  7. 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.
  8. 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.
  9. Eylem Ersal Kiziler, 2011. "Growth Shocks and Portfolio Flows," Working Papers 11-02, UW-Whitewater, Department of Economics.
  10. Silvio Contessi & Pierangelo DePace, 2008. "Do European capital flows comove?," Working Papers 2008-042, Federal Reserve Bank of St. Louis.
  11. Yung Chul Park, 2011. "The Role of Macroprudential Policy for Financial Stability in East Asia’s Emerging Economies," Macroeconomics Working Papers 23252, East Asian Bureau of Economic Research.

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