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Capital-Flow Volatility and Economic Openness: A Wavelet Approach

Capital-Flow Volatility and Economic Openness: A Wavelet Approach
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Year:    2020

Author:    Mutascu, Mihai, Hegerty, Scott W.

Applied Economics Quarterly, Vol. 66 (2020), Iss. 4 : pp. 291–318

Abstract

The paper analyzes the interaction between capital-flow volatility and trade openness in five developed economies and four emerging markets by applying wavelet analysis over the period from 1990Q1 to 2017Q1. The main findings reveal that, in the medium term, capital-flow volatility drives trade openness in emerging markets and developing economies. Special attention should be paid to developed countries during the 2008 economic crisis, when trade exposure is shown to have had significant effects on capital-flow volatility. In the long term, the direction of comovement is rather idiosyncratic in our set of emerging markets and developing countries. Moreover, in both groups of countries, the intensity and persistence of relationships are very sensitive to the volatility of real GDP and secondary to geopolitical risk and oil-price volatility.

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Journal Article Details

Publisher Name:    Global Science Press

Language:    German

DOI:    https://doi.org/10.3790/aeq.66.4.291

Applied Economics Quarterly, Vol. 66 (2020), Iss. 4 : pp. 291–318

Published online:    2020-10

AMS Subject Headings:    Duncker & Humblot

Copyright:    COPYRIGHT: © Global Science Press

Pages:    28

Keywords:    economic openness capital flows volatility wavelet analysis F60 C14 D53

Author Details

Mutascu, Mihai

Hegerty, Scott W.

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Section Title Page Action Price
Mihai Mutascu / Scott W. Hegerty: Capital-Flow Volatility and Economic Openness: A Wavelet Approach 1
Abstract 1
1. Introduction 1
2. Data and Methodology 3
2.1 Data 3
2.2 Methodology 4
2.2.1 Wavelet Coherency 5
2.2.2. Partial Wavelet Coherency 7
3. Results 8
3.1 Country-Specific Results 8
3.2 Mixed Results 1
4. Conclusions 1
References 1
Appendix 1
Panel A1 – Developed Economies 1
Panel A2 – Emerging Markets and Developing Economies 2