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Haroon Mumtaz

University of London - School of Sciences

London, WC1E 7HX

United Kingdom

  • University of London - School of Sciences

SCHOLARLY PAPERS

28

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CITATIONS
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167

Scholarly Papers (28)

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1.

Assessing the Economy-Wide Effects of Quantitative Easing

Downloads 675 ( 33,811)
Citation 9

Assessing the Economy-Wide Effects of Quantitative Easing

Bank of England Working Paper No. 443
Number of pages: 45 Posted: 27 Jan 2012
George Kapetanios, Haroon Mumtaz, Ibrahim Stevens and Konstantinos Theodoridis
University of London - Queen Mary College - Department of Economics, University of London - School of Sciences, Bank of England and Cardiff University
Downloads 674 (33,359)
Citation 9

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Bayesian methods, large-scale asset purchases, quantitative easing, vector autoregressions

Assessing the Economy‐Wide Effects of Quantitative Easing

The Economic Journal, Vol. 122, Issue 564, pp. F316-F347, 2012
Number of pages: 32 Posted: 30 Oct 2012
George Kapetanios, Haroon Mumtaz, Ibrahim Stevens and Konstantinos Theodoridis
University of London - Queen Mary College - Department of Economics, University of London - School of Sciences, Bank of England and Cardiff University
Downloads 1 (619,486)
Citation 9
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2.

PPP Strikes Back: Aggregation and the Real Exchange Rate

Downloads 257 (108,039)
Citation 81

PPP Strikes Back: Aggregation and the Real Exchange Rate

Number of pages: 55 Posted: 13 Mar 2003
Jean M. Imbs, Haroon Mumtaz, Morten O. Ravn and Hélène Rey
Paris School of Economics (PSE), University of London - School of Sciences, European University Institute - Economics Department (ECO) and London Business School
Downloads 146 (182,939)
Citation 81

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Real Exchange Rate Persistence, Purchasing Power Parity, Aggregation, Parameter Heterogeneity

PPP Strikes Back: Aggregation and the Real Exchange Rate

IMF Working Paper No. 03/68
Number of pages: 42 Posted: 28 Jan 2006
Jean M. Imbs, Haroon Mumtaz, Morten O. Ravn and Hélène Rey
Paris School of Economics (PSE), University of London - School of Sciences, European University Institute - Economics Department (ECO) and London Business School
Downloads 58 (337,319)
Citation 81

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Real exchange rate persistence, purchasing power parity, aggregation, parameter heterogeneity

PPP Strikes Back: Aggregation and the Real Exchange Rate

NBER Working Paper No. w9372
Number of pages: 42 Posted: 19 Dec 2002 Last Revised: 30 Oct 2010
Jean M. Imbs, Haroon Mumtaz, Morten O. Ravn and Hélène Rey
Paris School of Economics (PSE), University of London - School of Sciences, European University Institute - Economics Department (ECO) and London Business School
Downloads 30 (440,442)
Citation 81

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PPP Strikes Back: Aggregation and the Real Exchange Rate

CEPR Discussion Paper No. 3715
Number of pages: 57 Posted: 12 Feb 2003
Jean M. Imbs, Haroon Mumtaz, Morten O. Ravn and Hélène Rey
Paris School of Economics (PSE), University of London - School of Sciences, European University Institute - Economics Department (ECO) and London Business School
Downloads 23 (478,457)
Citation 81
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Real exchange rate persistence, aggregation, parameter heterogeneity, purchasing power parity

PPP Strikes Back: Aggregation and the Real Exchange Rate

Quarterly Journal of Economics, Vol. 120, No. 1, pp. 1-43, February 2005
Posted: 29 Apr 2005
Jean M. Imbs, Haroon Mumtaz, Morten O. Ravn and Hélène Rey
Paris School of Economics (PSE), University of London - School of Sciences, European University Institute - Economics Department (ECO) and London Business School

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Real Exchange Rate Persistence, Purchasing Power Parity, Parameter Heterogeneity

3.

Dynamics of the Term Structure of UK Interest Rates

Downloads 247 (112,517)
Citation 11

Dynamics of the Term Structure of UK Interest Rates

Economics Research Initiatives at Duke (ERID) Working Paper No. 39
Number of pages: 37 Posted: 19 Apr 2010
Francesco Bianchi, Haroon Mumtaz and Paolo Surico
Duke University, University of London - School of Sciences and London Business School - Department of Economics
Downloads 165 (164,732)
Citation 11

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Term structure, time-varying VAR, Bayesian estimation

Dynamics of the Term Structure of UK Interest Rates

Bank of England Working Paper No. 363
Number of pages: 36 Posted: 23 Mar 2009
Francesco Bianchi, Haroon Mumtaz and Paolo Surico
Duke University, University of London - School of Sciences and London Business School - Department of Economics
Downloads 82 (277,941)
Citation 11

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Term structure, time-varying VAR, Bayesian estimation

4.

What Lies Beneath? A Time-Varying FAVAR Model for the UK Transmission Mechanism

Downloads 222 (125,237)

What Lies Beneath? A Time-Varying FAVAR Model for the UK Transmission Mechanism

ECB Working Paper No. 1320
Number of pages: 50 Posted: 11 Apr 2011
Haroon Mumtaz, Pawel Zabczyk and Colin Ellis
University of London - School of Sciences, International Monetary Fund MCMMP and University of Birmingham
Downloads 221 (125,435)

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Transmission mechanism, monetary policy, Factor Augmented VAR, timevarying coefficients, sign restrictions

What Lies Beneath? A Time‐Varying Favar Model for the UK Transmission Mechanism

The Economic Journal, Vol. 124, Issue 576, pp. 668-699, 2014
Number of pages: 32 Posted: 23 May 2014
Colin Ellis, Haroon Mumtaz and Pawel Zabczyk
University of Birmingham, University of London - School of Sciences and International Monetary Fund MCMMP
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5.

What Lies Beneath: What Can Disaggregated Data Tell Us about the Behaviour of Prices?

Bank of England Working Paper No. 364
Number of pages: 32 Posted: 21 Mar 2009 Last Revised: 24 Dec 2009
Haroon Mumtaz, Pawel Zabczyk and Colin Ellis
University of London - School of Sciences, International Monetary Fund MCMMP and University of Birmingham
Downloads 220 (125,816)
Citation 7

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Inflation persistence, disaggregation, principal components

6.

Exchange Rate Pass-Through into UK Import Prices

Bank of England Working Paper No. 312
Number of pages: 25 Posted: 27 Feb 2007
Haroon Mumtaz, Ozlem Oomen and Jian Wang
University of London - School of Sciences, Bank of England and Federal Reserve Bank of Dallas
Downloads 177 (125,816)
Citation 7

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Exchange rate pass-through, aggregation bias, structural breaks

7.

Time-Varying Dynamics of the Real Exchange Rate: A Structural VAR Analysis

Bank of England Working Paper No. 382
Number of pages: 82 Posted: 13 Mar 2010
Haroon Mumtaz and Laura Sunder-Plassmann
University of London - School of Sciences and affiliation not provided to SSRN
Downloads 140 (150,172)
Citation 2

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Real exchange rate, time-varying VAR, sign restrictions, Bayesian estimation

8.

Forecasting UK GDP Growth, Inflation and Interest Rates under Structural Change: A Comparison of Models with Time-Varying Parameters

Bank of England Working Paper No. 450
Number of pages: 56 Posted: 21 May 2012
Alina Barnett, Haroon Mumtaz and Konstantinos Theodoridis
Bank of England, University of London - School of Sciences and Cardiff University
Downloads 126 (127,517)

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Time-varying parameters, stochastic volatility, VAR, FAVAR, forecasting, Bayesian estimation

9.

Evolving International Inflation Dynamics: Evidence from a Time-Varying Dynamic Factor Model

Downloads 114 (221,307)
Citation 7

Evolving International Inflation Dynamics: Evidence from a Time-Varying Dynamic Factor Model

Bank of England Working Paper No. 341
Number of pages: 27 Posted: 31 Mar 2008
Haroon Mumtaz and Paolo Surico
University of London - School of Sciences and London Business School - Department of Economics
Downloads 109 (229,816)
Citation 7

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low inflation, factor model, time variation, monetary policy

Evolving International Inflation Dynamics: Evidence from a Time-Varying Dynamic Factor Model

CEPR Discussion Paper No. DP6767
Number of pages: 29 Posted: 11 Jun 2008
Haroon Mumtaz and Paolo Surico
University of London - School of Sciences and London Business School - Department of Economics
Downloads 5 (585,800)
Citation 7
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factor model, Low inflation, monetary policy, time variation

10.

International Transmission of Shocks: A Time-Varying Factor-Augmented VAR Approach to the Open Economy

Bank of England Working Paper No. 425
Number of pages: 44 Posted: 30 May 2011
Philip Liu, Haroon Mumtaz and Angeliki Theophilopoulou
International Monetary Fund (IMF), University of London - School of Sciences and Westminster Business School
Downloads 104 (174,575)

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factor augmented VAR, time-variation, Gibbs sampling.

11.

U.S. Evolving Macroeconomic Dynamics: A Structural Investigation

ECB Working Paper No.746
Number of pages: 49 Posted: 25 Apr 2007
Luca Benati and Haroon Mumtaz
Bank of England - Monetary Analysis and University of London - School of Sciences
Downloads 103 (153,163)
Citation 14

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Bayesian VARs, stochastic volatility, identified VARs, time-varying parameters, frequency domain, Great Inflation, Lucas critique

12.

Consumption Excess Sensitivity, Liquidity Constraints and the Collateral Role of Housing

Bank of England Working Paper No. 306
Number of pages: 36 Posted: 28 Sep 2006
Andrew Benito and Haroon Mumtaz
Bank of England - Domestic Finance Division and University of London - School of Sciences
Downloads 83 (218,498)
Citation 9

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Collateral, liquidity constraint, precautionary saving

13.

Changes in the Transmission of Monetary Policy: Evidence from a Time-Varying Factor-Augmented VAR

Bank of England Working Paper No. 401
Number of pages: 51 Posted: 01 Nov 2010
Christiane Baumeister, Philip Liu and Haroon Mumtaz
University of Notre Dame, International Monetary Fund (IMF) and University of London - School of Sciences
Downloads 80 (207,927)
Citation 3

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FAVAR, Time-Varying Parameters, Monetary Transmission

14.

Evolving Macroeconomic Dynamics in a Small Open Economy: An Estimated Markov-Switching DSGE Model for the United Kingdom

Bank of England Working Paper No. 397
Number of pages: 43 Posted: 27 Jul 2010
Philip Liu and Haroon Mumtaz
International Monetary Fund (IMF) and University of London - School of Sciences
Downloads 76 (241,092)
Citation 3

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Markov Switching, DSGE, Bayesian Estimation

15.

"Aggregation Bias" Does Explain the PPP Puzzle

Downloads 56 (338,269)
Citation 5

"Aggregation Bias" Does Explain the PPP Puzzle

NBER Working Paper No. w11607
Number of pages: 33 Posted: 01 Nov 2005 Last Revised: 20 Sep 2010
Jean M. Imbs, Haroon Mumtaz, Morten O. Ravn and Hélène Rey
Paris School of Economics (PSE), University of London - School of Sciences, European University Institute - Economics Department (ECO) and London Business School
Downloads 42 (390,064)
Citation 5

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'Aggregation Bias' Does Explain the PPP Puzzle

CEPR Discussion Paper No. 5237
Number of pages: 35 Posted: 24 Oct 2005
Jean M. Imbs, Haroon Mumtaz, Morten O. Ravn and Hélène Rey
Paris School of Economics (PSE), University of London - School of Sciences, European University Institute - Economics Department (ECO) and London Business School
Downloads 14 (532,487)
Citation 5
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Goods market integration, heterogenous dynamics, relative prices

16.

Time-Varying Inflation Expectations and Economic Fluctuations in the United Kingdom: A Structural VAR Analysis

Bank of England Working Paper No. 392
Number of pages: 49 Posted: 03 Jun 2010
Alina Barnett, Jan J. J. Groen and Haroon Mumtaz
Bank of England, Federal Reserve Bank of New York and University of London - School of Sciences
Downloads 54 (265,685)
Citation 1

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Inflation Expectations, Markov-Switching Structural VAR

17.

Investigating the Structural Stability of the Phillips Curve Relationship

Bank of England Working Paper No. 350
Number of pages: 48 Posted: 12 Oct 2008
Jan J. J. Groen and Haroon Mumtaz
Federal Reserve Bank of New York and University of London - School of Sciences
Downloads 50 (332,592)
Citation 4

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New Keynesian Phillips Curve, trend inflation, Markov-switching VAR, minimum distance estimation

18.

Evolving UK Macroeconomic Dynamics: A Time-Varying Factor Augmented VAR

Bank of England Working Paper No. 386
Number of pages: 34 Posted: 05 Apr 2010
Haroon Mumtaz
University of London - School of Sciences
Downloads 42 (338,269)

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FAVAR, great stability, time-varying parameters, stochastic volatility

19.

Estimating the Impact of the Volatility of Shocks: A Structural VAR Approach

Bank of England Working Paper No. 437
Number of pages: 24 Posted: 01 Nov 2011
Haroon Mumtaz
University of London - School of Sciences
Downloads 30 (393,326)

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Vector autoregression, stochastic volatility, particle filter

20.

The International Transmission of Volatility Shocks: An Empirical Analysis

Bank of England Working Paper No. 463
Number of pages: 67 Posted: 08 Oct 2012
Haroon Mumtaz and Konstantinos Theodoridis
University of London - School of Sciences and Cardiff University
Downloads 27 (304,268)

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Stochastic volatility, Gibbs sampling, DSGE model

21.

One TV, One Price?

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One TV, One Price?

NBER Working Paper No. w15418
Number of pages: 38 Posted: 26 Oct 2009 Last Revised: 19 Aug 2010
Jean M. Imbs, Haroon Mumtaz, Morten O. Ravn and Hélène Rey
Paris School of Economics (PSE), University of London - School of Sciences, European University Institute - Economics Department (ECO) and London Business School
Downloads 14 (532,487)

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One TV, One Price?

Scandinavian Journal of Economics, Vol. 112, No. 4, pp. 753-781, December 2010
Number of pages: 29 Posted: 16 Nov 2010
Jean M. Imbs, Haroon Mumtaz, Morten O. Ravn and Hélène Rey
Paris School of Economics (PSE), University of London - School of Sciences, European University Institute - Economics Department (ECO) and London Business School
Downloads 4 (591,692)
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One TV, One Price?

CEPR Discussion Paper No. DP7504
Number of pages: 40 Posted: 17 Nov 2009
Jean M. Imbs, Haroon Mumtaz, Morten O. Ravn and Hélène Rey
Paris School of Economics (PSE), University of London - School of Sciences, European University Institute - Economics Department (ECO) and London Business School
Downloads 1 (619,486)
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border effects, brand perception, international and regional price differences

One TV, One Price?

Scandinavian Journal of Economics, Vol. 112, No. 4, pp. 753-781, 2010
Number of pages: 29 Posted: 19 Dec 2010
Jean M. Imbs, Haroon Mumtaz, Morten O. Ravn and Hlne Rey
Paris School of Economics (PSE), University of London - School of Sciences, European University Institute - Economics Department (ECO) and affiliation not provided to SSRN
Downloads 1 (619,486)
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International and regional price differences, border effect, brand perception

22.

All Together Now: Do International Factors Explain Relative Price Comovements?

Bank of England Working Paper No. 381
Number of pages: 35 Posted: 13 Mar 2010
Özer Karagedikli, Haroon Mumtaz and Misa Tanaka
Reserve Bank of New Zealand, University of London - School of Sciences and Bank of England
Downloads 15 (469,158)

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Disaggregated international price, dynamic factor model, Gibbs sampling

23.

Factor Adjustment Costs: A Structural Investigation

Bank of England Working Paper No. 467
Number of pages: 37 Posted: 28 Oct 2012
Haroon Mumtaz and Francesco Zanetti
University of London - School of Sciences and Bank of England
Downloads 11 (512,364)

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24.

Neutral Technology Shocks and Employment Dynamics: Results Based on an RBC Identification Scheme

Bank of England Working Paper No. 453
Number of pages: 43 Posted: 21 May 2012
Haroon Mumtaz and Francesco Zanetti
University of London - School of Sciences and Bank of England
Downloads 10 (512,364)

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25.

Estimating the Aggregate Consumption Euler Equation with State-Dependent Parameters

CEPR Discussion Paper No. DP8233
Number of pages: 34 Posted: 09 Feb 2011
Haroon Mumtaz and Paolo Surico
University of London - School of Sciences and London Business School - Department of Economics
Downloads 7 (549,764)
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aggregate consumption, Euler equation, heterogeneity, state-dependence

26.

Neutral Technology Shocks and the Dynamics of Labor Input: Results from an Agnostic Identification

International Economic Review, Vol. 53, Issue 1, pp. 235-254, 2012
Number of pages: 20 Posted: 24 Feb 2012
Haroon Mumtaz and Francesco Zanetti
University of London - School of Sciences and Bank of England
Downloads 3 (571,299)
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27.

The Transmission Mechanism in Good and Bad Times

CEPR Discussion Paper No. DP10083
Number of pages: 43 Posted: 25 Sep 2014
Haroon Mumtaz and Paolo Surico
University of London - School of Sciences and London Business School - Department of Economics
Downloads 2 (579,044)
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asymmetric transmission mechanism, consumption, state-dependence

28.

Policy Uncertainty and Aggregate Fluctuations

CEPR Discussion Paper No. DP9694
Number of pages: 37 Posted: 22 Oct 2013
Haroon Mumtaz and Paolo Surico
University of London - School of Sciences and London Business School - Department of Economics
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debt sustainability, economic policy uncertainty, long-run effects.