Changes in the second-moment properties of disaggregated capital flows

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.

► We use formal statistical tests to study changes in second moments of disaggregated capital flows for the G7 countries. ► Volatility increases for various types of capital flows during a period of changes in business cycle comovement. ► Changes of covariances and correlations with a set of macroeconomic variables are mixed. ► Results are consistent with existing evidence on the lack of significant changes in international comovement. ► The results are also consistent with little or no increase of risk sharing.