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Volatility in International Capital Movements

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  • Chris Becker

    (Reserve Bank of Australia)

  • Clare Noone

    (Reserve Bank of Australia)

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    Abstract

    Conventional wisdom is that some capital flows are inherently more volatile than others. However, our investigation of the statistical properties of these flows shows that no regular relationships exist to suggest that the particular composition of capital flows can help to explain the overall stability of the external accounts. Instead, capital seems to come and go in different forms with few reliable patterns. We show that while industrialised economies have experienced a trend rise in the volatility of individual components in the capital account, this variability is largely offsetting. Such offsetting relationships appear less prevalent in emerging economies.

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    File URL: http://www.rba.gov.au/publications/rdp/2009/pdf/rdp2009-09.pdf
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    Bibliographic Info

    Paper provided by Reserve Bank of Australia in its series RBA Research Discussion Papers with number rdp2009-09.

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    Date of creation: Dec 2009
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    Handle: RePEc:rba:rbardp:rdp2009-09

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    Related research

    Keywords: capital flows; volatility; financial globalisation;

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