International Macroeconomics with Frictional Capital Markets

Welcome to this free event: International macroeconomics models often take a simplified view of capital markets, assuming that textbook relationships such as the uncovered interest parity and the expectations hypothesis of the term structure hold. A large literature in empirical finance shows, however, that these relationships fail to hold because of strongly time-varying risk premia. This lecture will present a model that integrates frictional capital markets in international macroeconomics and will describe the model’s rich implications for monetary policy, exchange-rate policy and international capital flows.


Biography
Dimitri Vayanos is Professor of Finance at the London School of Economics, where he also directs the Paul Woolley Centre for the Study of Capital Market Dysfunctionality. He received his undergraduate degree from Ecole Polytechnique in Paris and his PhD from MIT. His research focuses on what drives financial market liquidity, why asset prices can deviate from assets’ fundamental values, and what the implications of imperfect financial markets are for asset management, financial regulation, monetary policy and the macroeconomy. He is a Fellow of the British Academy, a Fellow of the Finance Theory Group, a Research Fellow at CEPR and a former Director of its Financial Economics program, a Research Associate at NBER, a former Director and Managing Editor of the Review of Economic Studies, and a former Director of the American Finance Association.

Register here: https://www.gu.se/en/event/international-macroeconomics-with-frictional-capital-markets

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