Oreste Napolitano

Testing for the stability of money demand in italy: has the euro influenced the monetary transmission mechanism?

Stability of money demand is a crucial issue for the efficacy of monetary policy. This is particularly true in the presence of significant exogenous shocks to the monetary system. By implementing the most recent econometric testing procedures, this article intends to investigate the consistency of the stability of money demand in Italy, one of the larger European Monetary Union (EMU) countries, before and after the EMU. Among others, the objective is, indeed, to ascertain the effect of a change in the currency regime on the monetary aggregates and to provide a valid empirical model which is a viable tool for policy performance.

Is the impact of the ECB Monetary Policy on EMU stock market returns asymmetric

This paper explore, using Markov switching models, the dynamic relationship between stock market returns and the monetary policy innovation in 11 EUM countries and, for five of them, at each single industry portfolios. It also investigates the possibility of asymmetric effects of the ECB decision when stock markets are not fully integrated. The findings indicate that there is statistically significant relationship between policy innovations and stock markets returns. The findings from country size and industry portfolios indicate that monetary policy has larger asymmetric effect on the industry portfolios of big countries (Italy, France and Germany) compared to the same sectors of small countries (Netherlands and Belgium).

On keynesian effects of (apparent) non-keynesian fiscal policies

The aim of the paper is to evaluate the robustness of the theory that claims for restrictive effects of expansionary fiscal policy. It shows that such socalled “non-Keynesian effects” may arise as a consequence of a synchronous and opposite monetary policy intervention. The paper demonstrate this conclusion through a stylized model – supported by an empirical investigation on ECB and FED reaction functions - in which Central Banks take into account deficit spending as an element that generate inflation expectations. The econometric analysis shows also that the ECB reacts asymmetrically to deficit spending variations while the FED has a linear reaction to this indicator.

Determinants of Interregional Migration Flows: The Role of Environmental Factors in the Italian Case

This paper investigates the economic and non‐economic determinants of interregional migration for unskilled and skilled migrants in Italy for the period 1985-2006. In addition to the traditional variables of the Harris and Todaro model, we consider the impact of house prices, carbon dioxide emission and crime. Using a dynamic two‐step panel generalized method of moments, the traditional model omits some important variables and may not be representative of migration flow. Our analysis confirms that for different periods we have to take into account different determinants. Moreover, the externalities are significant, indicating the importance of including broader quality of life as explanatory variables.

Modelling long-run money demand: a panel data analysis on nine developed economies

In this article, we investigate the presence of a long-run money demand in a selected group of nine developed OECD countries (G7 plus Australia and Switzerland). Our estimations are based on panel DOLS and between-dimension group-mean panel DOLS introduced by Mark and Sul (2003) and Pedroni (2001), respectively. We employ income and wealth as alternative scale variables to model two money demand functions using quarterly data for the period 1982 to 2008. Our results highlight the role of total wealth in the determination of money demand with a positive elasticity. Moreover, a parameter stability analysis suggests that estimated money demand with the inclusion of wealth is more stable.

Speculation and monetary policy behaviour in the 1992 currency crisis: the Italian case

The paper proposes an explanation for the 1992 currency crisis as the result of monetary policy behaviour and private agents’ speculation. Our analysis reveals how speculators’ expectations and the behaviour of the monetary policy authority were formed on the widespread beliefs about the future value of income. We show that the real effects of monetary policy measures represent the link between the action of the central bank and speculation.

The recessive attitude of EMU policies: reflections on the italian experience, 1998–2008

The EMU assigns a very marginal role to economic policy and relies on the leading idea that, if prices are kept constant, there will be an automatic convergence towards long-run equilibrium income. These beliefs represent the theoretical underpinnings of fiscal and monetary policy strategies in Europe. In order to highlight the weakness of these foundations, the paper evaluates empirically the effects of public expenditure and interest rate setting on equilibrium income in Italy from 1998 to 2008. The analysis supports the conclusions that government spending has a positive impact on national income while inflation targeting has a negative impact. Moreover the empirical evidence shows that a high level of debt does not produce negative effects on GDP. Finally, at a time of financial crisis, these results appear to be reinforced for fiscal policy, but weakened for monetary policy. The paper draws the conclusion that the EMU’s rigid rules for both fiscal and monetary policy have recessive attitudes, and limit the use of instruments to deal with high levels of unemployment, definitely undermining the future existence of the single-currency area.

Dynamics of inflation in Turkey during the 1990s

This article assesses the credibility of disinflation programmes in Turkey during the nineties, where several programmes of reform took place. The empirical results show that there was a sharp loss of credibility at the end of the 1991 and at the beginning of the 1994 and during the Asian crisis. The programme that the Central Bank implemented after the crisis was able to increase the level of credibility of the CBRT policies. Loss of credibility is registered during the end of the 1995, while various political events took place and during the 1997 following the world economic conditions and the outflow of capitals.

Modeling European Health Regional Systems through a Directional Distance Function Metafrontier framework. Are there any differences

The current and future performance of regional health systems is responsible for increasing health costs and it depends on a wide range of contextual factors. Studies on regional health productive performance and on different health systems are scarce. This paper focuses on the efficiency of European healthcare systems at regional level across Europe, taking into account undesirable outcomes. Our analysis is based on data for a 14-year period (2000-2013) from a unique balanced panel comprising 185 European regions in 17 EU countries. Adopting a metafrontier directional distance function we investigate whether there is an actual difference in terms of efficiency performance among European regions considering the health system under which they operate. It is found that there are no great differences in terms of convergence among the groups, irrespective of the health system types. When the whole sample is considered, there is a convergence toward two levels of efficiency. Focusing on the distribution of technological gap over time, we found that the three systems did not allow its reduction homogeneously among the regions. The 2008 crisis may have played a crucial role in determining a different process of polarization among groups.

Updating the Evidence on Risk-Sharing through the Cross-Ownership of Assets in the Euro-Area

Abstract Risk-sharing is a crucial issue in order to evaluate the performance of a monetary union. By implementing conventional econometric techniques, this paper intends to estimate the degree of risk-sharing through the cross-ownership of assets within 11 European countries in the period 1971–2014. We show that risk-sharing has been increasing after the launch of the euro due to increased cross-ownership of assets. Nevertheless, we also show that despite the extreme needs for adjustment mechanisms as a reaction to asymmetric shocks in the EMU during the crises, the estimated market risk-sharing mechanism seems to have remained marginal in this period. We also show that the degree of asymmetry (potential benefits from risk-sharing) has declined with the start of the EMU, but it has sharply increased during the crises period. This implies that EMU countries have needed good functioning risk-sharing mechanisms during the crisis, while in this period their estimated performance does not seem to have improved. We interpret these results as the evidence of a missing element of the EMU that forced governments to intervene by means of fiscal policy to tackle the imbalances deriving from the financial crisis. Therefore, we conclude that the weakness in the risk-sharing has been one of the channels that allowed the global financial crisis to mutate in a sovereign debt crisis in the EMU.