Changes in the second-moment properties of disaggregated capital flows

Silvio Contessi, Pierangelo De Pace, Johanna L Francis

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1 Citation (Scopus)


Using formal statistical tests, we detect (i) significant volatility increases for various types of capital flows for a period of changes in business cycle comovement among the G7 countries, and (ii) mixed evidence of changes in covariances and correlations with a set of macroeconomic variables.
Original languageEnglish
Pages (from-to)122 - 127
Number of pages6
JournalEconomics Letters
Issue number1
Publication statusPublished - 2012
Externally publishedYes

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