Volatility and Comovement in a Globalized World Economy: An Empirical Exploration

WPIEA2462003 Image
Price:  $15.00

Author/Editor: M. Ayhan Kose, Eswar Prasad, Marco Terrones
Release Date: © December, 2003
ISBN : 978-1-45187-587-4
Stock #: WPIEA2462003
English
Stock Status: Available

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Description

This paper analyzes the evolution of volatility and cross-country comovement in output, consumption, and investment fluctuations using two distinct datasets. The results suggest that there has been a significant decline in the volatility of business cycle fluctuations and a slight increase in the degree of cyclical comovement among industrialized countries over time. However, for emerging market economies, financial globalization appears to have been associated, on average, with an increase in macroeconomic volatility as well as declines in the degree of comovement of output and consumption growth with their corresponding world aggregates.

Taxonomy

Business cycles , Economic cooperation , Economic development , Globalization




More publications in this series: Working Papers


More publications by: M. Ayhan Kose ; Eswar Prasad ; Marco Terrones