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Volatility and Comovement in a Globalized World Economy: An Empirical Exploration Author info | Abstract | Publisher info | Download info | Related research | Statistics M. Ayhan Kose
Eswar Prasad
Marco Terrones
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This paper analyzes the evolution of volatility and cross-country comovement in output, consumption, and investment fluctuations using two distinct datasets. The results suggest that there has been a significant decline in the volatility of business cycle fluctuations and a slight increase in the degree of cyclical comovement among industrialized countries over time. However, for emerging market economies, financial globalization appears to have been associated, on average, with an increase in macroeconomic volatility as well as declines in the degree of comovement of output and consumption growth with their corresponding world aggregates.
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Paper provided by International Monetary Fund in its series IMF Working Papers with number
03/246.
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Length: 37 pages
Date of creation: 30 Dec 2003Date of revision:
Handle: RePEc:imf:imfwpa:03/246Contact details of provider: Postal: International Monetary Fund, Washington, DC USA Phone: (202) 623-7000 Fax: (202) 623-4661 Email: Web page: http://www.imf.org/external/pubind.htm More information through EDIRC
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Keywords: Business cycles Globalization Other versions of this item:
References listed on IDEAS 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.: Clark, Todd E. & van Wincoop, Eric, 2001.
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Margaret M. McConnell & Patricia C. Mosser & Gabriel Perez Quiros, 1999.
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references 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.)
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Other versions:
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CEPR Discussion Papers
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[Downloadable!] (restricted) Fernando Broner & Jaume Ventura, 2005.
"Globalization and Risk Sharing ,"
Economics Working Papers
837, Department of Economics and Business, Universitat Pompeu Fabra, revised Jul 2007.
[Downloadable!]
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