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The Cyclical Properties of Disaggregated Capital Flows

Listed author(s):
  • Silvio Contessi

    (Federal Reserve Bank of St. Louis)

  • Pierangelo De Pace

    (Johns Hopkins University)

  • Johanna Francis

    (Fordham University, Department of Economics)

We describe the second-moment properties of the components of international capital flows and their relationship to business cycle variables for 22 industrial and emerging countries. Inward flows are procyclical. Outward and net flows are countercyclical for most industrial and emerging countries, except for the G7. Results for individual flows are ambiguous except for inward FDI flows that are procyclical in industrial countries, but countercyclical in emerging countries. Using formal statistical tests, we find mixed evidence of changes in the covariance and correlation of capital flows with a set of macroeconomic variables in the G7 countries. We detect significant increases in the variance of all flows.

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Paper provided by Fordham University, Department of Economics in its series Fordham Economics Discussion Paper Series with number dp2009-05.

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Date of creation: 2009
Handle: RePEc:frd:wpaper:dp2009-05
Contact details of provider: Web page: http://www.fordham.edu/economics/
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