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

Provided by: International Monetary Fund
Format: PDF
The paper analyzes the evolution of volatility and cross-country co-movement in output, consumption, and investment fluctuations using two distinct datasets. The results suggest there have been a significant decline in the volatility of business cycle fluctuations and a slight increase in the degree of cyclical co-movement 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 co-movement of output and consumption growth with their corresponding world aggregates.

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