The cyclical properties of disaggregated capital flows

Silvio Contessi, Pierangelo De Pace, Johanna L Francis

Research output: Contribution to journalArticleResearchpeer-review

19 Citations (Scopus)

Abstract

We analyze the second-moment properties of the components of international capital flows and their relationship to business cycle variables (output, investment, and the real interest rate) in 22 industrial and emerging countries. Total inward flows are procyclical with respect to all three macro variables. Net outward flows are countercyclical with respect to output and investment in most industrial and emerging countries. Disaggregated inward flows positively comove with output in industrial countries and with investment and the real interest rate in the G7 economies. Inward foreign direct investment is the only non-procyclical type of inward capital flows (with respect to output) in the developing economies. Formal statistical tests based on nonparametric bootstrap techniques detect significant variance increases in all G7 countries disaggregated capital flows over exogenous and endogenously estimated breaks.
Original languageEnglish
Pages (from-to)528 - 555
Number of pages28
JournalJournal of International Money and Finance
Volume32
Issue number1
DOIs
Publication statusPublished - 2013
Externally publishedYes

Cite this