Changes in the second-moment properties of disaggregated capital flows |
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| Authors: | Silvio Contessi Pierangelo De Pace |
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| Affiliation: | a Federal Reserve Bank of St. Louis, Research Division, P.O. Box 442, St. Louis MO 63166-0442, United Statesb Pomona College, Department of Economics, Carnegie Building, Room 205, 425 N College Avenue-Claremont, CA 91711, United Statesc Fordham University, Department of Economics, E-507 Dealy Hall, 441 East Fordham Road, Bronx, NY, 10458, United States |
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| 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. |
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| Keywords: | E32 F21 F32 F36 |
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