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Volatility and Comovement in a Globalized World Economy: An Empirical Exploration
Author:
Mr. Ayhan Kose
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,
Mr. Marco Terrones
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, and
Mr. Eswar S Prasad
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Series:
IMF Working Papers
Volume/Issue:
Volume 2003: Issue 246
Language:
English
Publication Date:
01 Dec 2003
DOI:
https://doi.org/10.5089/9781451875874.001
ISBN:
9781451875874
ISSN:
1018-5941
Pages:
38
Keywords:
WP; globalization period; consumption correlation; MFI economy; business cycle fluctuation; consumption risk; Business cycles; macroeconomic fluctuations; volatility; correlations; globalization; business cycle comovement; Consumption; Financial integration; Current account; Global
Legal-disclaimer:
IMF Working Papers describe research in progress by the author(s) and are published to elicit comments and to encourage debate. The views expressed in IMF Working Papers are those of the author(s) and do not necessarily represent the views of the IMF, its Executive Board, or IMF management.
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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.
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Cover IMF Working Papers
IMF Working Papers
ISSN:
1018-5941
Publisher:
International Monetary Fund