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Do European capital flows comove?

  • Contessi, Silvio
  • De Pace, Pierangelo

We study the cross-section correlations of net, total, and disaggregated capital flows for the major source and recipient European Union countries. We seek evidence of changes in these correlations since the introduction of the euro to understand whether the European Union can be considered a unique entity with regard to its international capital flows. We make use of Ng's (2006) "uniform spacing" methodology to rank cross-section correlations and to shed light on potential common factors driving international capital flows. We find that a common factor structure is suitable for equity flows disaggregated by sign but not for net and total flows. We only find mixed evidence that correlations between types of flows have changed since the introduction of the euro.

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Article provided by Elsevier in its journal The North American Journal of Economics and Finance.

Volume (Year): 20 (2009)
Issue (Month): 2 (August)
Pages: 145-161

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Handle: RePEc:eee:ecofin:v:20:y:2009:i:2:p:145-161
Contact details of provider: Web page: http://www.elsevier.com/locate/inca/620163

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  12. Contessi, Silvio & De Pace, Pierangelo & Francis, Johanna L., 2013. "The cyclical properties of disaggregated capital flows," Journal of International Money and Finance, Elsevier, vol. 32(C), pages 528-555.
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