This paper analyzes the evolution of volatility and cross-country comovement in output,
consumption, and investment fluctuations using two distinct datasets. The results
suggest that there has been a significant decline in the volatility of business cycle
fluctuations and a slight increase in the degree of cyclical comovement 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 comovement of output and consumption growth
with their corresponding world aggregates.