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Working Paper 2008-041B

"The Cyclical Properties of Disaggregated Capital Flows"
by Silvio Contessi, Pierangelo DePace, and Johanna Francis

We describe the second-moment properties of the components of international capital flows and their relationship to business cycle variables for 22 industrial and emerging countries. Inward flows are procyclical. Outward and net flows are countercyclical for most industrial and emerging countries, except for the G7. Results for individual flows are ambiguous except for inward FDI flows that are procyclical in industrial countries, but countercyclical in emerging countries. Using formal statistical tests, we find mixed evidence of changes in the covariance and correlation of capital flows with a set of macroeconomic variables in the G7 countries. We detect significant increases in the variance of all flows.
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Category > Applied Econometrics
Category > International
Author > Silvio Contessi
Research Papers and Publications: JEL Code > E32
Research Papers and Publications: JEL Code > F21
Research Papers and Publications: JEL Code > F32
Research Papers and Publications: JEL Code > F36