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Changes in the Second-Moment Properties of Disaggregated Capital Flows

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  • Silvio Contessi

    (Federal Reserve Bank of St. Louis, Reseach Division)

  • Pierangelo De Pace

    (Pomona College, Department of Economics)

  • Johanna Francis

    (Fordham University, Department of Economics)

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

Paper provided by Fordham University, Department of Economics in its series Fordham Economics Discussion Paper Series with number dp2010-10.

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Date of creation: 2010
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Handle: RePEc:frd:wpaper:dp2010-10

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

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  1. Jonathan Heathcote & Fabrizio Perri, 2002. "Financial Globalization and Real Regionalization," NBER Working Papers 9292, National Bureau of Economic Research, Inc.
  2. Smith, Katherine A. & Valderrama, Diego, 2009. "The composition of capital inflows when emerging market firms face financing constraints," Journal of Development Economics, Elsevier, vol. 89(2), pages 223-234, July.
  3. 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.
  4. Forbes, Kristin J., 2010. "Why do foreigners invest in the United States?," Journal of International Economics, Elsevier, vol. 80(1), pages 3-21, January.
  5. Eduardo Levy-Yeyati & Ugo Panizza & Ernesto Stein, 2002. "The Cyclical Nature of North-South FDI Flows," Business School Working Papers quince, Universidad Torcuato Di Tella.
  6. Pablo A. Neumeyer & Fabrizio Perri, 2001. "Business Cycles in Emerging Economies:The Role of Interest Rates," Working Papers 01-12, New York University, Leonard N. Stern School of Business, Department of Economics.
  7. Finn E. Kydland, 1991. "On the econometrics of world business cycles," Working Paper 9115, Federal Reserve Bank of Cleveland.
  8. 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.
  9. David K. Backus & Patrick J. Kehoe & Finn E. Kydland, 1991. "International real business cycles," Staff Report 146, Federal Reserve Bank of Minneapolis.
  10. Margaret M. McConnell & Gabriel Perez Quiros, 1998. "Output fluctuations in the United States: what has changed since the early 1980s?," Staff Reports 41, Federal Reserve Bank of New York.
  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. Reinhart, Carmen & Kaminsky, Graciela & Vegh, Carlos, 2004. "When it rains, it pours: Procyclical capital flows and macroeconomic policies," MPRA Paper 13883, University Library of Munich, Germany.
  13. 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.).
  14. James H. Stock & Mark W. Watson, 2003. "Understanding Changes in International Business Cycle Dynamics," NBER Working Papers 9859, National Bureau of Economic Research, Inc.
  15. 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.
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