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

By Ayhan Kose, Marco Terrones, Eswar S Prasad

December 1, 2003

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Ayhan Kose, Marco Terrones, and Eswar S Prasad. Volatility and Comovement in a Globalized World Economy: An Empirical Exploration, (USA: International Monetary Fund, 2003) accessed November 23, 2024

Disclaimer: This Working Paper should not be reported as representing the views of the IMF.The views expressed in this Working Paper are those of the author(s) and do not necessarily represent those of the IMF or IMF policy. Working Papers describe research in progress by the author(s) and are published to elicit comments and to further debate

Summary

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.

Subject: Balance of payments, Business cycles, Consumption, Current account, Economic growth, Financial integration, Financial markets, Globalization, National accounts

Keywords: Business cycle comovement, Business cycle fluctuation, Business cycles, Consumption, Consumption correlation, Consumption risk, Correlations, Current account, Financial integration, Global, Globalization, Globalization period, Macroeconomic fluctuations, MFI economy, Volatility, WP

Publication Details

Pages:

38
Volume:

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DOI:

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Issue:

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Series:

Working Paper No. 2003/246
Stock No:

WPIEA2462003
ISBN:

9781451875874
ISSN:

1018-5941

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