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The Cyclical Properties of Disaggregated Capital Flows

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Author Info
Silvio Contessi (Federal Reserve Bank of St. Louis)
Pierangelo De Pace (Johns Hopkins University)
Johanna Francis (Fordham University, Department of Economics)

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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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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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Related research
Keywords: Capital Flows; International Business Cycles; Second Moments;

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Find related papers by JEL classification:
E32 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Business Fluctuations; Cycles
F21 - International Economics - - International Factor Movements and International Business - - - International Investment; Long-Term Capital Movements
F32 - International Economics - - International Finance - - - Current Account Adjustment; Short-term Capital Movements
F36 - International Economics - - International Finance - - - Financial Aspects of Economic Integration

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References listed on IDEAS
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  20. 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. [Downloadable!]
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Cited by:
(explanations, Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.)

  1. Silvio Contessi & Pierangelo DePace, 2008. "Do European capital flows comove?," Working Papers 2008-042, Federal Reserve Bank of St. Louis. [Downloadable!]
  2. 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. [Downloadable!]
    Other versions:
  3. Silvio Contessi & Johanna Francis, 2009. "U.S. commercial bank lending through 2008:Q4: new evidence from gross credit flows," Working Papers 2009-011, Federal Reserve Bank of St. Louis. [Downloadable!]
    Other versions:
  4. 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. [Downloadable!]
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This page was last updated on 2009-11-12.

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