The cyclical properties of disaggregated capital flows |
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| Institution: | 1. School of Computer, National University of Defense Technology, China;2. Department of Computer Science, Central South University, China;3. Department of Computer Science and Engineering, The Chinese University of Hong Kong, Hong Kong;1. Faculty of Business and Economics, University of Melbourne, Parkville, VIC 3010, Australia;2. School of Economics, Merewether Building, The University of Sydney, NSW 2006, Australia |
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| 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. |
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