Working Paper
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.
Keywords: Capital investments; International finance;
https://doi.org/10.20955/wp.2010.020
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Bibliographic Information
Provider: Federal Reserve Bank of St. Louis
Part of Series: Working Papers
Publication Date: 2010
Number: 2010-020