Home About Latest Browse RSS Advanced Search

Federal Reserve Bank of St. Louis
Working Papers
Do European capital flows comove?
Silvio Contessi
Pierangelo DePace

We study the cross-sectional correlations of net, total, and disaggregated capital flows for the major source and recipient European Union countries. We seek evidence of changes in these correlations since the introduction of the euro to understand whether the European Union can be considered a unique entity with regard to its international capital flows. We first use Ng's (2006) "uniform spacing" methodology to rank cross-sectional correlations (i.e., which flows comove more) and to shed light on potential common factors driving international equity flows. We find that a common factor structure is suitable for equity flows disaggregated by sign but not for net and total flows. We only find mixed evidence that correlations between types of flows have changed since the introduction of the euro.

Download Full text
Cite this item
Silvio Contessi & Pierangelo DePace, Do European capital flows comove?, Federal Reserve Bank of St. Louis, Working Papers 2008-042, 2008.
More from this series
JEL Classification:
Subject headings:
Keywords: Capital investments ; European Union countries
For corrections, contact Anna Oates ()
Fed-in-Print is the central catalog of publications within the Federal Reserve System. It is managed and hosted by the Economic Research Division, Federal Reserve Bank of St. Louis.

Privacy Legal