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

Author/Editor:

Ayhan Kose ; Marco Terrones ; Eswar S Prasad

Publication Date:

December 1, 2003

Electronic Access:

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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.

Series:

Working Paper No. 03/246

Subject:

English

Publication Date:

December 1, 2003

ISBN/ISSN:

9781451875874/1018-5941

Stock No:

WPIEA2462003

Format:

Paper

Pages:

38

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