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Capital-Flow Volatility and Economic Openness: A Wavelet Approach

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  2. Economics, Finance, Business & Management
  3. Applied Economics Quarterly
  4. Vol. 66, Issue 4
  5. pp. 291–318

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Mutascu, M., Hegerty, S. Capital-Flow Volatility and Economic Openness: A Wavelet Approach. Applied Economics Quarterly, 66(4), 291-318. https://doi.org/10.3790/aeq.66.4.291
Mutascu, Mihai and Hegerty, Scott W. "Capital-Flow Volatility and Economic Openness: A Wavelet Approach" Applied Economics Quarterly 66.4, , 291-318. https://doi.org/10.3790/aeq.66.4.291
Mutascu, Mihai/Hegerty, Scott W.: Capital-Flow Volatility and Economic Openness: A Wavelet Approach, in: Applied Economics Quarterly, vol. 66, iss. 4, 291-318, [online] https://doi.org/10.3790/aeq.66.4.291
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Capital-Flow Volatility and Economic Openness: A Wavelet Approach

Mutascu, Mihai | Hegerty, Scott W.

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

1 Citations (CrossRef)

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Article Details

Publisher Name
Duncker & Humblot
DOI
https://doi.org/10.3790/aeq.66.4.291
Language
German
Pages
28
Keywords

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€ 26.00 (incl. local VAT if applicable)

Author Details

Alexandridis Mutascu, Zeppelin University in Friedrichshafen, Am Seemooser Horn 20 – 88045 Friedrichshafen, Germany, LEO (Laboratoire d’Economie d’Orléans) Orléans, France, and Faculty of Economics and Business Administration, West University of Timisoara

Scott W. Hegerty, corresponding author. Department of Economics, Northeastern Illinois University, 5500 N. St. Louis Ave., Chicago, IL USA 60625

Cited By

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    Applied Economics Quarterly, Vol. 67 (2021), Iss. 2 P.113

    https://doi.org/10.3790/aeq.67.2.113 [Citations: 4]

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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.

Table of Contents

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

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