Changes in the second-moment properties of disaggregated capital flows

Silvio Contessi, Pierangelo De Pace, Johanna L. Francis
2012 Economics Letters  
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.
doi:10.1016/j.econlet.2011.12.015 fatcat:ftfvvqczanhzjju5yesgoe6kli