Excellence Awards in Global Economic Affairs 2011: Paolo Surico

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Mit dem Excellence Awards in Global Economic Affairs des Institutes für Weltwirtschaft wird 2011, neben drei weiteren Preisträgern, Paolo Surico (London) ausgezeichnet.

Paolo Surico ist außerordentlicher Professor an der Wirtschaftswissenschaftlichen Fakultät der London Business School und Forschungsmitglied am CEPR. Bis Juli 2009 war er wissenschaftlicher Berater des Monetary Policy Committee’s der Bank of England. Paolo Surico besitzt einen Ph.D. von der Universität Bocconi (Italien). Seine Interessengebiete sind Makroökonomie, Konjunkturtheorie, Geld- und Währungspolitik sowie angewandte Ökonometrie (dt. Übersetzung, Homepage, Paolo Surico, 21.04.11).

Diese Literaturübersicht stellt eine Auswahl von Paolo Suricos Arbeiten in den genannten Forschungsfeldern dar.

Wesentliches Schlagwort: Geldpolitik

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Wesentliches Schlagwort: Inflation

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Wesentliches Schlagwort: VAR-Modell

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Regionale Aspekte: USA – Geldpolitik

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Wesentliche Person: Haroon Mumtaz

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Wesentliche Person: Paolo Surico

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Wesentliche Reihe: Working paper series European Central Bank

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Literaturliste

Monetary policy, inflation expectations and the price puzzle / Efrem Castelnuovo and Paolo Surico.

  • Monetary policy, inflation expectations and the price puzzle / Efrem Castelnuovo and Paolo Surico.
    (2010) In: The economic journal. – Bd. 120.2010, 549, (Dez.2010) S. 1262-1283. 

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  • Monetary policy, inflation expectations and the price puzzle / Efrem Castelnuovo; Paolo Surico.
    (2009) Bank of Finland research discussion papers ; 2009,30; Online-Ressource (35 S., 910,10 KB). 

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The great moderation of the term structure of UK interest rates / Francesco Bianchi; Haroon Mumtaz; Paolo Surico.

  • The great moderation of the term structure of UK interest rates / Francesco Bianchi; Haroon Mumtaz; Paolo Surico.
    (2009) In: Journal of monetary economics. – Amsterdam. – Bd. 56.2009, 6, (Sep.2009) S. 856-871. 

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Time-varying yield curve dynamics and monetary policy / Haroon Mumtaz and Paolo Surico.
This paper models the evolution of monetary policy, the term structure of interest rates and the UK economy across policy regimes. We model the interaction between the macroeconomy and the term structure using a time-varying VAR model augmented with the factors from the yield curve. Our results suggest that the level, slope and curvature factors display substantial time variation, with the level factor moving closely with measures of inflation expectations. Our estimates indicate a large decline in the volatility of both yield curve and macroeconomic variables around 1992, when the United Kingdom first adopted an inflation-targeting regime. During the inflation-targeting regime, monetary policy shocks have been more muted and inflation expectations have been lower than in the pre-1992 era. The link between the macroeconomy and the yield curve has also changed over time, with fluctuations in the level factor becoming less important for inflation after the Bank of England independence in 1997. Policy rates appear to have responded more systematically to inflation and unemployment in the current regime. We use our time-varying macro-finance model to revisit the evidence on the expectations hypothesis.

  • Time-varying yield curve dynamics and monetary policy / Haroon Mumtaz and Paolo Surico.
    (2009) In: Journal of applied econometrics. – Bd. 24.2009, 6, (9/10.2009) S. 895-913. 

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  • Dynamics of the term structure of UK interest rates / Francesco Bianchi, Haroon Mumtaz and Paolo Surico.
    (2009) Working paper / Bank of England ; 363; Online-Ressource (35 S. = 869 K). 

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  • Time-varying yield curve dynamics and monetary policy / by Haroon Mumtaz and Paolo Surico.
    (Mar. 2008) External MPC unit discussion paper ; 23; Online-Ressource, 32 S. = 485 k, Text. 

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International comovements, business cycle and inflation: a historical perspective / Haroon Mumtaz and Saverio Simonelli.

  • International comovements, business cycle and inflation: a historical perspective / Haroon Mumtaz and Saverio Simonelli.
    (2009) External MPC unit discussion paper ; 28; Online-Ressource (PDF-Datei: 53 S., 592 K). 

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Does global liquidity help to forecast US inflation? / Antonello D’Agostino; Paolo Surico.

  • Does global liquidity help to forecast US inflation? / Antonello D’Agostino; Paolo Surico.
    (2009) In: Journal of money, credit and banking. – Bd. 41.2009, 2/3, (3/4.2009) S. 479-489. 

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  • Does global liquidity help to forecast US inflation / Antonello D’Agostino; Paolo Surico.
    (Dec. 2007) Research technical paper / Central Bank and Financial Services Authority of Ireland ; 10/RT/07; Online-Ressource, 15 S. = 225,75 KB, Text. 

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The transmission of international shocks : a factor-augmented VAR approach / Haroon Mumtaz; Paolo Surico.

  • The transmission of international shocks : a factor-augmented VAR approach / Haroon Mumtaz; Paolo Surico.
    (2009) In: Journal of money, credit and banking. – Malden, Mass. [u.a.]. – Bd. 41.2009, S. 71-100. 

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Monetary policies and low-frequency manifestations of the quantity theory / Thomas J. Sargent and Paolo Surico.

  • Monetary policies and low-frequency manifestations of the quantity theory / Thomas J. Sargent and Paolo Surico.
    (2008) External MPC unit discussion paper ; 26; Online-Ressource (PDF-Datei: 70 S., 1,3 MB). 

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The cost channel of monetary policy and indeterminacy / Paolo Surico.

  • The cost channel of monetary policy and indeterminacy / Paolo Surico.
    (2008) In: Macroeconomic dynamics. – Cambridge. – Bd. 12.2008, 5, (Nov.2008) S. 724-735. 

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Insiders versus outsiders in monetary policymaking / by Timothy Besley, Neil Meads, and Paolo Surico.

  • Insiders versus outsiders in monetary policymaking / by Timothy Besley, Neil Meads, and Paolo Surico.
    (2008) In: The American economic review. – Bd. 98.2008, 2, (Mai.2008) S. 218-223. 

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  • Insiders versus outsiders in monetary policy-making / by Timothy Besley, Neil Meads and Paolo Surico.
    (Dec. 2007) External MPC unit discussion paper ; 20; Online-Ressource, 11 S. = 162 k, Text. 

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Evolving U. S. monetary policy and the decline of inflation predictability / Luca Benati; Paolo Surico.

  • Evolving U. S. monetary policy and the decline of inflation predictability / Luca Benati; Paolo Surico.
    (2008) In: Journal of the European Economic Association. – Malden. – Bd. 6.2008, 2/3, (4/5.2008) S. 634-646. 

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Evolving international inflation dynamics : evidence from a time-varying dynamic factor model / Haroon Mumtaz and Paolo Surico.

  • Evolving international inflation dynamics : evidence from a time-varying dynamic factor model / Haroon Mumtaz and Paolo Surico.
    (2008) CEPR – EABCN ; 2008,38; 26 S. 

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  • Evolving international inflation dynamics : evidence from a time-varying dynamic factor model / Haroon Mumtaz and Paolo Surico.
    (Febr. 2008) Working paper / Bank of England ; 341; Online-Ressource, 26 S. = 675 K, Text. 

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Measuring the time inconsistency of US monetary policy / by Paolo Surico.

  • Measuring the time inconsistency of US monetary policy / by Paolo Surico.
    (2008) In: Economica. – Bd. 75.2008, (Feb.2008) S. 22-38. 

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  • Measuring the time-inconsistency of US monetary policy / by Paolo Surico.
    (2003) Working paper series / European Central Bank ; 291; Online Ressource, 741 KB, text. 

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  • Measuring the time-inconsistency of US monetary policy / by Paolo Surico.
    (2003) Working paper series / European Central Bank ; 291; 35 S. 

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Monetary policy shifts and inflation dynamics / Paolo Surico.

  • Monetary policy shifts and inflation dynamics / Paolo Surico.
    (Jan. 2008) Working paper / Bank of England ; 338; Online-Ressource, 30 S. = 470 K, Text. 

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  • Monetary policy shifts and inflation dynamics / Paolo Surico.
    (2007) In: The travails of the Eurozone. – 2007, S. 42-66. 

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(Un)predictability and macroeconomic stability / Antonello D’Agostino, Domenico Giannone and Paolo Surico.
This paper documents a new stylized fact of the greater macroeconomic stability of the U.S. economy over the last two decades. Using 131 monthly time series, three popular statistical methods and the forecasts of the Federal Reserve’s Greenbook and the Survey of Professional Forecasters, we show that the ability to predict several measures of inflation and real activity declined remarkably, relative to naive forecasts, since the mid-1980s. This break down in forecast ability appears to be an inherent feature of the most recent period and thus represents a new challenge for competing explanations of the “Great Moderation”

  • (Un)predictability and macroeconomic stability / Antonello D’Agostino, Domenico Giannone and Paolo Surico.
    (2007) Discussion paper series / Centre for Economic Policy Research ; 6594 : International macroeconomics; 30 S. 

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  • (Un)predictability andf macroeconomic stability / Antonello D’Agostino; Domenico Giannone; Paolo Surico.
    (June 2006) Research technical paper / Central Bank and Financial Services Authority of Ireland ; 5/RT/06; Online-Ressource, 35 S. = 396,32 KB, Text. 

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  • (Un)predictability and macroeconomic stability / by Antonello D’Agostino, Domenico Giannone and Paolo Surico.
    (2006) Working paper series / European Central Bank ; 605; 41 S. 

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  • (Un)Predictability and macroeconomic stability / by Antonello D’Agostino, Domenico Giannone and Paolo Surico.
    (2006) Working paper series / European Central Bank ; 605; Online-Ressource, 43 S. = 641 KB, Text. 

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VAR analysis and the Great Moderation / by Luca Benati and Paolo Surico.
Most analyses of the U.S. Great Moderation have been based on structural VAR methods, and have consistently pointed towards good luck as the main explanation for the greater macroeconomic stability of recent years. Based on an estimated New-Keynesian model in which the only source of change is the move from passive to active monetary policy, we show that VARs may misinterpret good policy for good luck. First, the policy shift is sufficient to generate decreases in the theoretical innovation variances for all series, and decreases in the variances of inflation and the output gap, ithout any need of sunspot shocks. With sunspots, the estimated model exhibits decreases in both variances and innovation variances for all series. Second, policy counterfactuals based on the theoretical structural VAR representations of the model under the two regimes fail to capture the truth, whereas impulse-response functions to a monetary policy shock exhibit little change across regimes. Since these results are in line with those found in the structural VARbased literature on the Great Moderation, our analysis suggests that existing VAR evidence is compatible with the “good policy” explanation of the Great Moderation

  • VAR analysis and the Great Moderation / by Luca Benati and Paolo Surico.
    (2008) Working paper series / European Central Bank ; 866; Online-Ressource, (40 S.). 

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  • Evolving U.S. monetary policy and the decline of inflation predictability / by Luca Benati and Paolo Surico.
    (2007) Working paper series / European Central Bank ; 824; 24 S. 

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  • Evolving U.S. monetary policy and the decline of inflation predictability / by Luca Benati and Paolo Surico.
    (2007) Working paper series / European Central Bank ; 824; Online-Ressource, 26 S. = 1065 KB, Text. 

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  • The monetary policy of the European Central Bank / Paolo Surico.
    (2007) In: The Scandinavian journal of economics. – Bd. 109.2007, 1, S. 115-135. 

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The Fed’s monetary policy rule and US inflation : the case of asymmetric preferences / Paolo Surico.

  • The Fed’s monetary policy rule and US inflation : the case of asymmetric preferences / Paolo Surico.
    (2007) In: Journal of economic dynamics & control. – Amsterdam [u.a.]. – Bd. 31.2007, 1, (Jan.2007) S. 305-324. 

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Inflation targeting and nonlinear policy rules : the case of asymmetric preferences ; presented at CESifo Venice Summer Institute, workshop on the Revival of Aggregate Demand Management Policies: back to Keynes?, July 2004/ Paolo Surico
This paper investigates the empirical relevance of a new framework for monetary policy analysis in which the decision-makers are allowed to weight differently positive and negative deviations of inflation and output from the target values. Reduced-form and structural estimates of the central bank first order condition indicate that the preferences of the Fed have been highly asymmetric only before 1979, with the response to output contractions being larger than the response to output expansions of the same magnitude. This asymmetry is shown to induce an average inflation bias of 1.11% that appears to have substantially contributed to the great inflation of the 1960s and 1970s.

  • Inflation targeting and nonlinear policy rules : the case of asymmetric preferences ; presented at CESifo Venice Summer Institute, workshop on the Revival of Aggregate Demand Management Policies: back to Keynes?, July 2004/ Paolo Surico
    (2004) CESifo working paper series ; 1280 : Monetary policy and international finance; 30 S. 

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Asymmetric reaction functions for the euro area / Paolo Surico.

What does monetary policy reveal about a central bank’s preferences? / Efrem Castelnuovo; Paolo Surico.

  • What does monetary policy reveal about a central bank’s preferences? / Efrem Castelnuovo; Paolo Surico.
    (2003) In: Economic notes. – Bd. 32.2003, 3, S. 335-359. 

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  • What does monetary policy reveal about central bank’s preferences? / Efrem Castelnuovo and Paolo Surico.
    (2002) Milano; 17 S. 

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How does the ECB target inflation? / Paolo Surico.

  • How does the ECB target inflation? / Paolo Surico.
    (2003) Milano; 33 S. 

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  • How does the ECB target inflation? / by Paolo Surico.
    (2003) Working paper series / European Central Bank ; 229; 44 S. 

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Estimating the aggregate consumption Euler equation with state-dependent parameters / Haroon Mumtaz and Paolo Surico.

  • Estimating the aggregate consumption Euler equation with state-dependent parameters / Haroon Mumtaz and Paolo Surico.
    (2011) Discussion paper series / Centre for Economic Policy Research ; 8233 : International macroeconomics; 32 S. 

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Unemployment and productivity in the long run : the role of macroeconomic volatility / Pierpaolo Benigno, Luca Antonio Ricci and Paolo Surico.

  • Unemployment and productivity in the long run : the role of macroeconomic volatility / Pierpaolo Benigno, Luca Antonio Ricci and Paolo Surico.
    (2010) Discussion paper series / Centre for Economic Policy Research ; 8014 : International macroeconomics; 46 S. 

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  • Unemployment and productivity in the long run : the role of macroeconomic volatility / Pierpaolo Benigno; Luca Antonio Ricci; Paolo Surico.
    (2010) Cambridge, Mass.; 46 S. 

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The Lucas critique and the stability of empirical models / Thomas A. Lubik and Paolo Surico.
“This paper re-considers the empirical relevance of the Lucas critique using a DSGE sticky price model in which a weak central bank response to inflation generates equilibrium indeterminacy. The model is calibrated on the magnitude of the historical shift in the Federal Reserve’s policy rule and is capable of generating the decline in the volatility of inflation and real activity observed in U.S. data. Using Monte Carlo simulations and a backward-looking model of aggregate supply and demand, we show that shifts in the policy rule induce breaks in both the reduced-form coefficients and the reduced-form error variances. The statistics of popular parameter stability tests are shown to have low power if such heteroskedasticity is neglected. In contrast, when the instability of the reduced-form error variances is accounted for, the Lucas critique is found to be empirically relevant for both artificial and actual data.”–Federal Reserve Bank of Richmond web site

  • The Lucas critique and the stability of empirical models / Thomas A. Lubik and Paolo Surico.
    (2010) In: Journal of applied econometrics. – Bd. 25.2010, 1, (1/2.2010) S. 177-194. 

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  • The Lucas critique and the stability of empirical models / Thomas A. Lubik, Paolo Surico.
    (July 2006) Federal Reserve Bank of Richmond working paper ; 06.05; Online-Ressource, 32 S., Text. 

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VAR analysis and the great moderation / by Luca Benati and Paolo Surico.

  • VAR analysis and the great moderation / by Luca Benati and Paolo Surico.
    (2009) In: The American economic review. – Bd. 99.2009, 4, (Sep.2009) S. 1636-1652. 

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  • Var analysis and the great moderation / Luca Benati and Paolo Surico.
    (2008) Working paper series / European Central Bank ; 866; 38 S. 

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