IES Lunch Seminar: Istituzioni, Economia, Sviluppo
International Spillovers and the Exchange Rate Channel of Monetary Policy
Thursday 10 January 2019, 01.00 p.m.
National Research Council
Institute of Studies on Mediterranean Societies
Via Cardinale Guglielmo Sanfelice n.8, Naples
Conference hall Humanistic Pole (6th floor)
We propose a novel approach to separately identify domestic and external shocks in small open economies, and find that they impart different comovement patterns between interest rates and exchange rates. We obtain three related empirical findings. First, recent puzzling estimates of the exchange rate effects of monetary policy stem from an identification of domestic shocks that fails to properly account for international spillovers. Second, external shocks comove with global risk aversion, and a country's net foreign asset position explains the strength of their spillover effects. Third, external shocks account for the bulk of deviations from uncovered interest parity. We show that imperfect international asset markets are necessary for a standard small open economy model to reproduce our findings. In this framework, global risk aversion and a country's net foreign asset position are key elements of exchange rate determination and the international transmission of shocks.
THE INITIATIVE. The IES Lunch Seminars are the result of a joint project between three Neapolitan universities and a CNR Institute, in a form that proposes cycles of seminars on economics that are particularly attentive to issues related to institutions and development. The aim is, on the one hand, to allow the researchers who take part to present the results of their research and, on the other hand, to create a place of meeting and confrontation between economists and social scientists with different academic backgrounds and study interests.
14.15 Questions & Answers
15.00 End of work
THE PROMOTING ORGANISATIONS. University of Naples Federico II (Department of Political Science); University of Naples L'Orientale (Department of Human and Social Sciences); University of Naples Parthenope (Department of Business and Economic Studies); CNR-ISSM (National Research Council, Institute of Studies).
SCIENTIFIC COMMITTEE. Salvatore Capasso (CNR-ISSM), Marcella D’Uva (Università degli Studi di Napoli Parthenope), Giuseppe Gaeta (Università degli Studi L’Orientale di Napoli), Gaetano Vecchione (Università degli Studi di Napoli Federico II)
LOCATION and INFO:
Via Cardinale Guglielmo Sanfelice, 8
Humanistic Pole, 6th floor
081-6134086, int. 214
IN ANNEX: flyer and program year 2019