Haroon Mumtaz

University of London - School of Sciences

London, WC1E 7HX

United Kingdom

SCHOLARLY PAPERS

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Scholarly Papers (28)

Assessing the Economy-Wide Effects of Quantitative Easing

Bank of England Working Paper No. 443
Number of pages: 45 Posted: 27 Jan 2012
King's College, London, University of London - School of Sciences, Bank of England and Cardiff University
Downloads 698 (35,333)
Citation 27

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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
King's College, London, University of London - School of Sciences, Bank of England and Cardiff University
Downloads 1 (685,321)
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PPP Strikes Back: Aggregation and the Real Exchange Rate

Number of pages: 55 Posted: 13 Mar 2003
Paris School of Economics (PSE), University of London - School of Sciences, European University Institute - Economics Department (ECO) and London Business School
Downloads 153 (192,796)

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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
Paris School of Economics (PSE), University of London - School of Sciences, European University Institute - Economics Department (ECO) and London Business School
Downloads 65 (347,177)

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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
Paris School of Economics (PSE), University of London - School of Sciences, European University Institute - Economics Department (ECO) and London Business School
Downloads 34 (460,364)
Citation 2

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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
Paris School of Economics (PSE), University of London - School of Sciences, European University Institute - Economics Department (ECO) and London Business School
Downloads 23 (521,195)
Citation 6
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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
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.
Downloads 257 (119,875)
Citation 4

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 170 (176,975)
Citation 6

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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 87 (294,801)
Citation 5

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Term structure, time-varying VAR, Bayesian estimation

4.

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 The Chinese University of Hong Kong, Shenzhen
Downloads 254 (120,361)
Citation 21

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Exchange rate pass-through, aggregation bias, structural breaks

5.

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
Bank of England, University of London - School of Sciences and Cardiff University
Downloads 241 (126,992)
Citation 8

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

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 - Department of Economics
Downloads 230 (132,523)

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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 - Department of Economics, University of London - School of Sciences and International Monetary Fund MCMMP
Downloads 1 (685,321)
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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 - Department of Economics
Downloads 224 (136,454)
Citation 8

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Inflation persistence, disaggregation, principal components

8.

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 210 (145,079)

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

9.

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 201 (151,129)
Citation 10

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

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
International Monetary Fund (IMF), University of London - School of Sciences and Westminster Business School
Downloads 161 (184,299)
Citation 27

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factor augmented VAR, time-variation, Gibbs sampling.

11.

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 141 (205,694)
Citation 10

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FAVAR, Time-Varying Parameters, Monetary Transmission

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 125 (226,188)
Citation 7

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Collateral, liquidity constraint, precautionary saving

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 117 (238,768)
Citation 16

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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 (643,403)
Citation 1
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factor model, Low inflation, monetary policy, time variation

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 108 (251,626)
Citation 4

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Markov Switching, DSGE, Bayesian Estimation

15.

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 96 (272,437)
Citation 14

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Stochastic volatility, Gibbs sampling, DSGE model

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 94 (276,261)
Citation 6

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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 63 (348,403)
Citation 16

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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 62 (351,172)
Citation 1

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

19.
Downloads 61 (354,080)
Citation 2

"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
Paris School of Economics (PSE), University of London - School of Sciences, European University Institute - Economics Department (ECO) and London Business School
Downloads 47 (406,133)

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'Aggregation Bias' Does Explain the PPP Puzzle

CEPR Discussion Paper No. 5237
Number of pages: 35 Posted: 24 Oct 2005
Paris School of Economics (PSE), University of London - School of Sciences, European University Institute - Economics Department (ECO) and London Business School
Downloads 14 (580,048)
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Goods market integration, heterogenous dynamics, relative prices

20.

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 41 (420,962)
Citation 4

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Vector autoregression, stochastic volatility, particle filter

21.

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 28 (477,803)

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Disaggregated international price, dynamic factor model, Gibbs sampling

22.
Downloads 22 (510,928)
Citation 2

One TV, One Price?

NBER Working Paper No. w15418
Number of pages: 38 Posted: 26 Oct 2009 Last Revised: 19 Aug 2010
Paris School of Economics (PSE), University of London - School of Sciences, European University Institute - Economics Department (ECO) and London Business School
Downloads 16 (566,705)

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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
Paris School of Economics (PSE), University of London - School of Sciences, European University Institute - Economics Department (ECO) and London Business School
Downloads 4 (651,151)
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One TV, One Price?

CEPR Discussion Paper No. DP7504
Number of pages: 40 Posted: 17 Nov 2009
Paris School of Economics (PSE), University of London - School of Sciences, European University Institute - Economics Department (ECO) and London Business School
Downloads 1 (685,321)
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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 (685,321)
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International and regional price differences, border effect, brand perception

23.

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 16 (546,093)

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24.

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 14 (558,077)
Citation 2

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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 (602,434)
Citation 1
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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 (630,670)
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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 (640,469)
Citation 3
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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
Downloads 0 (670,601)
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debt sustainability, economic policy uncertainty, long-run effects.