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Robustness of Macroeconomic Indicators of Capital Mobility

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  • Enrique G. Mendoza

Abstract

The performance of macroeconomic indicators of capital mobility is examined in the context of an intertemporal equilibrium model of a small open economy. Recursive numerical solution methods are used to compute measures of consumption smoothing, savings-investment correlation, and the variability and output-correlation of investment that characterize the model in the presence of income disturbances. None of these statistics is a reliable indicator of capital mobility unless information regarding differences in preferences, technology, and the nature of stochastic shocks can be taken into account.

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Bibliographic Info

Paper provided by International Monetary Fund in its series IMF Working Papers with number 92/111.

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Length: 40
Date of creation: 01 Dec 1992
Date of revision:
Handle: RePEc:imf:imfwpa:92/111

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Cited by:
  1. Andrew K. Rose & Mark M. Spiegel, 2008. "International Financial Remoteness and Macroeconomic Volatility," NBER Working Papers 14336, National Bureau of Economic Research, Inc.
  2. Morris Goldstein & Michael Mussa, 1993. "The Integration of World Capital Markets," IMF Working Papers 93/95, International Monetary Fund.
  3. Claudia M. Buch & Joerg Doepke & Christian Pierdzioch, 2002. "Consumer Preferences and the Reliability of Euler Equation Tests of Capital Mobility � Some Simulation-Based Evidence," Kiel Working Papers 1131, Kiel Institute for the World Economy.
  4. Buch, Claudia M. & Doepke, Joerg & Pierdzioch, Christian, 2005. "Financial openness and business cycle volatility," Journal of International Money and Finance, Elsevier, vol. 24(5), pages 744-765, September.
  5. Kose, M. Ayhan & Prasad, Eswar S. & Terrones, Marco E., 2006. "How do trade and financial integration affect the relationship between growth and volatility?," Journal of International Economics, Elsevier, vol. 69(1), pages 176-202, June.
  6. Ester Faia, 2007. "Welfare Implications of Capital Account Liberalization," CEIS Research Paper 92, Tor Vergata University, CEIS.
  7. Diego Valderrama, 2003. "Statistical Nonlinearities in the Business Cycle," Computing in Economics and Finance 2003 219, Society for Computational Economics.
  8. George Furstenberg, 1998. "From Worldwide Capital Mobility to International Financial Integration: A Review Essay," Open Economies Review, Springer, vol. 9(1), pages 53-84, January.
  9. Susanto Basu & Alan M. Taylor, 1999. "Business Cycles in International Historical Perspective," Journal of Economic Perspectives, American Economic Association, vol. 13(2), pages 45-68, Spring.
  10. M. Ayhan Kose & Marco Terrones & Eswar Prasad, 2003. "Volatility and Comovement in a Globalized World Economy," IMF Working Papers 03/246, International Monetary Fund.
  11. Atish R. Ghosh & Jonathan David Ostry, 1993. "Do Capital Flows Reflect Economic Fundamentals in Developing Countries?," IMF Working Papers 93/34, International Monetary Fund.
  12. Eozenou, Patrick, 2008. "Financial Integration and Macroeconomic Volatility: Does Financial Development Matter?," MPRA Paper 12738, University Library of Munich, Germany.
  13. Moore, Winston, 2010. "Managing the Process of Removing Capital Controls: What Does the Literature Suggest?," MPRA Paper 21584, University Library of Munich, Germany.
  14. Marco Terrones & Eswar Prasad & M. Ayhan Kose, 2003. "Financial Integration and Macroeconomic Volatility," IMF Working Papers 03/50, International Monetary Fund.

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