| Article ID | Journal | Published Year | Pages | File Type |
|---|---|---|---|---|
| 5060699 | Economics Letters | 2012 | 6 Pages |
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.
⺠We use formal statistical tests to study changes in second moments of disaggregated capital flows for the G7 countries. ⺠Volatility increases for various types of capital flows during a period of changes in business cycle comovement. ⺠Changes of covariances and correlations with a set of macroeconomic variables are mixed. ⺠Results are consistent with existing evidence on the lack of significant changes in international comovement. ⺠The results are also consistent with little or no increase of risk sharing.
