Essays on macroeconomic comovement and the term structure

This dissertation includes two essays on international macroeconomic comovement and one essay on the use of the term structure of interest rates to predict future GDP growth.;Since the 1970s the characteristics of international business cycles have changed and deeper economic integration has modified the features of cross-country comovement. In Chapter 1 we formally test for correlation shifts in measures of real economic activity and economic/financial integration. In Europe we find evidence of significantly higher correlations following the creation of the EMU in 1999 for several subgroups of countries. We detect significantly more pronounced correlations between Mexico and the US and between Mexico and Canada in North America after the enforcement of the NAFTA in 1994. We do not, however, find rising synchronization between Hong Kong and the US pursuant to the introduction of a linked exchange rate system---still in effect today---at the end of 1983. Results are derived from an econometric framework based on nonpararnetric iterated stationary bootstrap methods, whose statistical reliability and performance we assess through Monte Carlo simulations.;In Chapter 2 we describe the second-moment properties of the components of international capital flows and their relationship (covariance and correlation) to business cycle variables of 22 emerging and OECD countries. We show that (i) inward flows are procyclical, outward and net outward flows are countercyclical for most industrial and emerging countries while, for the G7, both inward and outward flows are procyclical and net outflows are countercyclical; (ii) inward FDI flows are procyclical in industrial countries, countercyclical in emerging countries; and (iii) there is no clear pattern for other equity flows and debt. Using formal statistical tests, we document changes in variability, covariance, and correlation of capital flows with a set of macroeconomic variables for G7 countries. We find a clear increase in variance for all types of flows.;In Chapter 3 we use TVP models and real-time data to describe the evolution of the leading properties of the yield spread for output growth in five European economies and in the US. We evaluate the predictive performance of benchmark term-structure models and identify structural breaks in the marginal processes of term spreads and government bond yields to shed light on the characteristics of inflation risk and inflation expectations. Econometric analysis shows that: (iv) the marginal predictive content of the term spread is not always significant over time and across countries; (v) to some extent, the term spread contributes to the forecast performance of simple growth regressions in Europe, not in the US; (vi) inflation risk exhibits instability and generally declines over time. In some countries, among which the US, this decline is accompanied by vanishing leading properties.;Keywords. International Business Cycles, Capital Flows, Term Structure.;JEL Classification. C12, C14, C22, C32, C53; E32, E37, E43; F15, F21, F32, F36.