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

_IMF Working Papers, December 1, 2003_

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## Bibliographic details
- Authors: Ayhan Kose, Marco Terrones, Eswar S Prasad
- Published: December 1, 2003
- Series: IMF Working Papers
- DOI: https://doi.org/10.5089/9781451875874.001

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### 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 divergent patterns between industrialized countries and emerging market economies in response to globalization and financial integration.

### Major empirical findings
- Industrialized countries:
  - There has been a significant decline in the volatility of business cycle fluctuations.
  - There has been a slight increase in the degree of cyclical comovement among industrialized countries over time.
- Emerging market economies:
  - Financial globalization appears to have been associated, on average, with an increase in macroeconomic volatility.
  - Financial globalization appears to have been associated, on average, with declines in the degree of comovement of output growth with their corresponding world aggregates.
  - Financial globalization appears to have been associated, on average, with declines in the degree of comovement of consumption growth with their corresponding world aggregates.

### Data and scope
- Two distinct datasets are used to analyze output, consumption, and investment fluctuations (dataset names and specifics are contained in the paper).
- Subject areas covered: 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.

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## Content in this bundle

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_Source: https://www.imf.org/en/publications/wp/issues/2016/12/30/volatility-and-comovement-in-a-globalized-world-economy-an-empirical-exploration-16979_