Haroon Mumtaz

University of London - School of Sciences

London, WC1E 7HX

United Kingdom

Bank of England

Threadneedle Street

London, EC2R 8AH

United Kingdom

  • University of London - School of Sciences

  • Bank of England

SCHOLARLY PAPERS

28

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Top 1,460

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169

CROSSREF CITATIONS

678

Scholarly Papers (28)

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1.

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, Haroon Mumtaz, Ibrahim Stevens and Konstantinos Theodoridis
King's College, London, Bank of EnglandUniversity of London - School of Sciences, Bank of England and Cardiff University
Downloads 747 (48,257)
Citation 49

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

2.

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, Haroon Mumtaz and Konstantinos Theodoridis
Bank of England, Bank of EnglandUniversity of London - School of Sciences and Cardiff University
Downloads 306 (139,763)
Citation 13

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

3.

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, Haroon Mumtaz, Ozlem Oomen and Jian Wang
Bank of EnglandUniversity of London - School of Sciences, Bank of England and The Chinese University of Hong Kong, Shenzhen
Downloads 294 (145,653)
Citation 27

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Exchange rate pass-through, aggregation bias, structural breaks

4.

PPP Strikes Back: Aggregation and the Real Exchange Rate

Downloads 291 (147,272)
Citation 126

PPP Strikes Back: Aggregation and the Real Exchange Rate

Number of pages: 55 Posted: 13 Mar 2003
Jean M. Imbs, Jean M. Imbs, Haroon Mumtaz, Haroon Mumtaz, Morten O. Ravn and Hélène Rey
Paris School of Economics (PSE)NYU Abu Dhabi, Bank of EnglandUniversity of London - School of Sciences, European University Institute - Economics Department (ECO) and London Business School
Downloads 159 (258,378)

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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, Jean M. Imbs, Haroon Mumtaz, Haroon Mumtaz, Morten O. Ravn and Hélène Rey
Paris School of Economics (PSE)NYU Abu Dhabi, Bank of EnglandUniversity of London - School of Sciences, European University Institute - Economics Department (ECO) and London Business School
Downloads 68 (460,131)

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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: 12 Aug 2022
Jean M. Imbs, Jean M. Imbs, Haroon Mumtaz, Haroon Mumtaz, Morten O. Ravn and Hélène Rey
Paris School of Economics (PSE)NYU Abu Dhabi, Bank of EnglandUniversity of London - School of Sciences, European University Institute - Economics Department (ECO) and London Business School
Downloads 41 (579,952)
Citation 5

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PPP Strikes Back: Aggregation and the Real Exchange Rate

Number of pages: 57 Posted: 12 Feb 2003
Jean M. Imbs, Jean M. Imbs, Haroon Mumtaz, Haroon Mumtaz, Morten O. Ravn and Hélène Rey
Paris School of Economics (PSE)NYU Abu Dhabi, Bank of EnglandUniversity of London - School of Sciences, European University Institute - Economics Department (ECO) and London Business School
Downloads 23 (700,019)
Citation 13
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Real exchange rate persistence, aggregation, parameter heterogeneity, purchasing power parity

PPP Strikes Back: Aggregation and the Real Exchange Rate

Posted: 29 Apr 2005
Jean M. Imbs, Jean M. Imbs, Haroon Mumtaz, Haroon Mumtaz, Morten O. Ravn and Hélène Rey
Paris School of Economics (PSE)NYU Abu Dhabi, Bank of EnglandUniversity 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

5.

Dynamics of the Term Structure of UK Interest Rates

Downloads 280 (153,129)
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, Haroon Mumtaz and Paolo Surico
Duke University, Bank of EnglandUniversity of London - School of Sciences and London Business School - Department of Economics
Downloads 185 (226,787)
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, Haroon Mumtaz and Paolo Surico
Duke University, Bank of EnglandUniversity of London - School of Sciences and London Business School - Department of Economics
Downloads 95 (377,771)
Citation 5

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Term structure, time-varying VAR, Bayesian estimation

6.

U.S. Evolving Macroeconomic Dynamics: A Structural Investigation

ECB Working Paper No.746
Number of pages: 49 Posted: 25 Apr 2007
Luca Benati, Haroon Mumtaz and Haroon Mumtaz
Bank of England - Monetary Analysis and Bank of EnglandUniversity of London - School of Sciences
Downloads 260 (165,051)
Citation 13

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

7.

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, Haroon Mumtaz, Pawel Zabczyk and Colin Ellis
Bank of EnglandUniversity of London - School of Sciences, International Monetary Fund MCMMP and Hult International Business School (London)
Downloads 258 (166,325)
Citation 5

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

8.

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, Haroon Mumtaz and Laura Sunder-Plassmann
Bank of EnglandUniversity of London - School of Sciences and affiliation not provided to SSRN
Downloads 244 (175,560)
Citation 13

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

9.

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, Haroon Mumtaz, Pawel Zabczyk and Colin Ellis
Bank of EnglandUniversity of London - School of Sciences, International Monetary Fund MCMMP and Hult International Business School (London)
Downloads 225 (189,592)
Citation 8

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Inflation persistence, disaggregation, principal components

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, Haroon Mumtaz and Angeliki Theophilopoulou
International Monetary Fund (IMF), Bank of EnglandUniversity of London - School of Sciences and Westminster Business School
Downloads 195 (216,556)
Citation 34

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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, Haroon Mumtaz and Haroon Mumtaz
University of Notre Dame, International Monetary Fund (IMF) and Bank of EnglandUniversity of London - School of Sciences
Downloads 171 (242,498)
Citation 11

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FAVAR, Time-Varying Parameters, Monetary Transmission

12.

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

Downloads 145 (277,666)
Citation 13

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, Haroon Mumtaz and Paolo Surico
Bank of EnglandUniversity of London - School of Sciences and London Business School - Department of Economics
Downloads 140 (286,503)
Citation 19

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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, Haroon Mumtaz and Paolo Surico
Bank of EnglandUniversity of London - School of Sciences and London Business School - Department of Economics
Downloads 5 (875,163)
Citation 1
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factor model, Low inflation, monetary policy, time variation

13.

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, Haroon Mumtaz and Haroon Mumtaz
International Monetary Fund (IMF) and Bank of EnglandUniversity of London - School of Sciences
Downloads 144 (279,188)
Citation 7

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Markov Switching, DSGE, Bayesian Estimation

14.

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, Haroon Mumtaz and Haroon Mumtaz
Bank of England - Domestic Finance Division and Bank of EnglandUniversity of London - School of Sciences
Downloads 141 (283,746)
Citation 9

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Collateral, liquidity constraint, precautionary saving

15.

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. Groen, Haroon Mumtaz and Haroon Mumtaz
Bank of England, Federal Reserve Bank of New York and Bank of EnglandUniversity of London - School of Sciences
Downloads 126 (309,118)
Citation 7

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Inflation Expectations, Markov-Switching Structural VAR

16.

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, Haroon Mumtaz and Konstantinos Theodoridis
Bank of EnglandUniversity of London - School of Sciences and Cardiff University
Downloads 123 (314,718)
Citation 28

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Stochastic volatility, Gibbs sampling, DSGE model

17.

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 and Haroon Mumtaz
Bank of EnglandUniversity of London - School of Sciences
Downloads 82 (409,737)
Citation 1

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

18.

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. Groen, Haroon Mumtaz and Haroon Mumtaz
Federal Reserve Bank of New York and Bank of EnglandUniversity of London - School of Sciences
Downloads 81 (412,615)
Citation 16

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

19.

"Aggregation Bias" Does Explain the PPP Puzzle

Downloads 64 (468,450)
Citation 2

"Aggregation Bias" Does Explain the PPP Puzzle

NBER Working Paper No. w11607
Number of pages: 33 Posted: 01 Nov 2005 Last Revised: 21 Mar 2021
Jean M. Imbs, Jean M. Imbs, Haroon Mumtaz, Haroon Mumtaz, Morten O. Ravn and Hélène Rey
Paris School of Economics (PSE)NYU Abu Dhabi, Bank of EnglandUniversity of London - School of Sciences, European University Institute - Economics Department (ECO) and London Business School
Downloads 50 (534,217)
Citation 1

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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, Jean M. Imbs, Haroon Mumtaz, Haroon Mumtaz, Morten O. Ravn and Hélène Rey
Paris School of Economics (PSE)NYU Abu Dhabi, Bank of EnglandUniversity of London - School of Sciences, European University Institute - Economics Department (ECO) and London Business School
Downloads 14 (779,915)
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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 and Haroon Mumtaz
Bank of EnglandUniversity of London - School of Sciences
Downloads 46 (543,083)
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, Haroon Mumtaz and Misa Tanaka
Reserve Bank of New Zealand, Bank of EnglandUniversity of London - School of Sciences and Bank of England
Downloads 33 (611,804)
Citation 1

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Disaggregated international price, dynamic factor model, Gibbs sampling

22.

One TV, One Price?

Downloads 25 (664,274)
Citation 3

One TV, One Price?

NBER Working Paper No. w15418
Number of pages: 38 Posted: 26 Oct 2009 Last Revised: 17 Feb 2022
Jean M. Imbs, Jean M. Imbs, Haroon Mumtaz, Haroon Mumtaz, Morten O. Ravn and Hélène Rey
Paris School of Economics (PSE)NYU Abu Dhabi, Bank of EnglandUniversity of London - School of Sciences, European University Institute - Economics Department (ECO) and London Business School
Downloads 18 (742,557)

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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, Jean M. Imbs, Haroon Mumtaz, Haroon Mumtaz, Morten O. Ravn and Hélène Rey
Paris School of Economics (PSE)NYU Abu Dhabi, Bank of EnglandUniversity of London - School of Sciences, European University Institute - Economics Department (ECO) and London Business School
Downloads 5 (875,163)

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One TV, One Price?

CEPR Discussion Paper No. DP7504
Number of pages: 40 Posted: 17 Nov 2009
Jean M. Imbs, Jean M. Imbs, Haroon Mumtaz, Haroon Mumtaz, Morten O. Ravn and Hélène Rey
Paris School of Economics (PSE)NYU Abu Dhabi, Bank of EnglandUniversity of London - School of Sciences, European University Institute - Economics Department (ECO) and London Business School
Downloads 1 (931,900)
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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, Jean M. Imbs, Haroon Mumtaz, Haroon Mumtaz, Morten O. Ravn and Hlne Rey
Paris School of Economics (PSE)NYU Abu Dhabi, Bank of EnglandUniversity of London - School of Sciences, European University Institute - Economics Department (ECO) and affiliation not provided to SSRN
Downloads 1 (931,900)
Citation 1

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International and regional price differences, border effect, brand perception

23.

Factor Adjustment Costs: A Structural Investigation

Bank of England Working Paper No. 467
Number of pages: 37 Posted: 28 Oct 2012
Haroon Mumtaz, Haroon Mumtaz and Francesco Zanetti
Bank of EnglandUniversity of London - School of Sciences and Bank of England
Downloads 19 (710,375)
Citation 6

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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, Haroon Mumtaz and Francesco Zanetti
Bank of EnglandUniversity of London - School of Sciences and Bank of England
Downloads 17 (726,851)

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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, Haroon Mumtaz and Paolo Surico
Bank of EnglandUniversity of London - School of Sciences and London Business School - Department of Economics
Downloads 7 (820,714)
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, Haroon Mumtaz and Francesco Zanetti
Bank of EnglandUniversity of London - School of Sciences and Bank of England
Downloads 3 (864,589)
Citation 5

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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, Haroon Mumtaz and Paolo Surico
Bank of EnglandUniversity of London - School of Sciences and London Business School - Department of Economics
Downloads 2 (877,636)
Citation 4
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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, Haroon Mumtaz and Paolo Surico
Bank of EnglandUniversity of London - School of Sciences and London Business School - Department of Economics
Downloads 0 (908,821)
Citation 8
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debt sustainability, economic policy uncertainty, long-run effects.