Changes in the second-moment properties of disaggregated capital flows

Silvio Contessi; Pierangelo De Pace; Johanna L Francis

doi:10.1016/j.econlet.2011.12.015

Changes in the second-moment properties of disaggregated capital flows

Silvio Contessi
, Pierangelo De Pace
, Johanna L Francis

Research output: Contribution to journal › Article › Research › peer-review

1 Citation (Scopus)

Abstract

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 language	English
Pages (from-to)	122 - 127
Number of pages	6
Journal	Economics Letters
Volume	115
Issue number	1
DOIs	https://doi.org/10.1016/j.econlet.2011.12.015
Publication status	Published - 2012
Externally published	Yes

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10.1016/j.econlet.2011.12.015

Cite this

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title = "Changes in the second-moment properties of disaggregated capital flows",

abstract = "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.",

author = "Silvio Contessi and \{De Pace\}, Pierangelo and Francis, \{Johanna L\}",

year = "2012",

doi = "10.1016/j.econlet.2011.12.015",

language = "English",

volume = "115",

pages = "122 -- 127",

journal = "Economics Letters",

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AU - Contessi, Silvio

AU - De Pace, Pierangelo

AU - Francis, Johanna L

PY - 2012

Y1 - 2012

N2 - 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.

AB - 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.

U2 - 10.1016/j.econlet.2011.12.015

DO - 10.1016/j.econlet.2011.12.015

M3 - Article

SN - 0165-1765

VL - 115

SP - 122

EP - 127

JO - Economics Letters

JF - Economics Letters

IS - 1

ER -