IMF paper offers new ways of measuring capital flow volatility
Authors say their more granular data allows them to gain new insights
Research published by the International Monetary Fund on March 7 sets out new methods for measuring capital flow volatility that could give researchers new insights into the flows’ effects.
In the working paper, Maria Sole Pagliari and Swarnali Ahmed Hannan outline three methods for calculating volatility: rolling window standard deviation; Garch conditional variance; and Arima. They also draw on a quarterly dataset of numerous instruments across 65 countries, which they say gives them more
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