Volatility and Comovement in a Globalized World Economy An Empirical Exploration

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.

• Publication year

  2003

• Venue

  Social Science Research Network

• Publication date

  2003-12-01

• Fields of study

  Economics

• Identifiers
  DOI 10.5089/9781451875874.001
• External record

  Open on Semantic Scholar

• Source metadata

  Semantic Scholar

• No claims are published for this paper.

• No concepts are published for this paper.

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