Selected Research Papers and replication code

 2022

• Cloyne, James and Cloyne, James and Martinez, Joseba and Mumtaz, Haroon and Surico, Paolo, Short-Term Tax Cuts, Long-Term Stimulus (July 2022). NBER Working Paper No. w30246

• Cantore, Cristiano and Ferroni, Filippo and Mumtaz, Haroon and Theophilopoulou, Angeliki, A Tail of Labor Supply and a Tale of Monetary Policy (July 7, 2022). FRB of Chicago Working Paper No. 2022-30  

• Piergiorgio Alessandri & Haroon Mumtaz, 2021. "The macroeconomic cost of climate volatility," Papers 2108.01617, arXiv.org, revised Feb 2022.

•  Haroon Mumtaz & Michele Piffer, 2022. "Impulse response estimation via flexible local projections," Papers 2204.13150, arXiv.org. 

• Mumtaz, H. and Petrova, K. (2023), Changing Impact of Shocks: A Time-Varying Proxy SVAR Approach. Journal of Money, Credit and Banking. (Code)

• Stefano Fasani, Haroon Mumtaz, Lorenza Rossi, Monetary policy uncertainty and firm dynamics, Review of Economic Dynamics, Volume 47, 2023, Pages 278-296 (Code)

2021

• Iryna Kaminska, Haroon Mumtaz, Roman Šustek, Monetary policy surprises and their transmission through term premia and expected interest rates, Journal of Monetary Economics, 2021 (Code) (appendix)

• P Alessandri and H Mumtaz. The macroeconomic cost of climate volatility. Qmul Working paper July 2021

• R Beetsma, O Furtuna, M Giuliodori, H Mumtaz. Revenue- versus spending-based fiscal consolidation announcements: Multipliers and follow-up, Journal of International Economics,2021 (Code)

2020

• Haroon Mumtaz, Angeliki Theophilopoulou. Monetary Policy and Wealth Inequality over the Great Recession in the UK. An Empirical Analysis, European Economic Review, 2020. (Code)

• Mumtaz, H, Sunder‐Plassmann, L. Non‐linear effects of government spending shocks in the US. Evidence from state‐level data. Journal of Applied Econometrics. 2020 (Code)

• Haroon Mumtaz, Konstantinos Theodoridis,Fiscal policy shocks and stock prices in the United States.,European Economic Review, 2020 (Code)

2019

• M Miescu & H Mumtaz, 2019. "Proxy structural vector autoregressions, informational sufficiency and the role of monetary policy," Working Papers 894, Queen Mary University of London, School of Economics and Finance. 

• Haroon Mumtaz & Alberto Musso (2019) The Evolving Impact of Global, Region-Specific, and Country-Specific Uncertainty, Journal of Business & Economic Statistics (Code) 

• Haroon Mumtaz, Konstantinos Theodoridis (2019), Dynamic effects of monetary policy shocks on macroeconomic volatility, Journal of Monetary Economics, 2019 (Code)

• Mandalinci, Z. and Mumtaz, H. (2019), Global Economic Divergence and Portfolio Capital Flows to Emerging Markets. Journal of Money, Credit and Banking. (Code)

   2018

• Mumtaz, H & Petrova, K. "Changing impact of shocks: a time-varying proxy SVAR approach",. Queen Mary University

• Haroon Mumtaz, 2018. "Measuring the origins of macroeconomic uncertainty," Working Papers 864, Queen Mary University 

• Haroon Mumtaz & Ahmed Pirzada & Konstantinos Theodoridis, 2018. "Non-linear effects of oil shocks on stock prices," Working Papers 865, Queen Mary University 

• Eleni Chatzivgeri & Haroon Mumtaz & Daniela Tavasci & Luigi Ventimiglia, 2017. "Common and country specific factors in the distribution of real wages," Working Papers 863, Queen Mary University 

• Mumtaz, H. , Sunder‐Plassmann, L. and Theophilopoulou, A. (2018), The State‐Level Impact of Uncertainty Shocks. Journal of Money, Credit and Banking. (Code, Appendix)

• Piergiorgio Alessandri & Haroon Mumtaz, 2018. Financial Regimes and uncertainty shocks. Journal of Monetary Economics. (Code)

• Haroon Mumtaz (2018), Does uncertainty affect real activity? Evidence from state-level data, Economics Letters,Volume 167,2018,Pages 127-130, (Code, Appendix)

• Haroon Mumtaz, 2018. A generalised stochastic volatility in mean VAR. Economics Letters. (Old Code, Preferred updated version of the code with additional application-2023 ) 

• Haroon Mumtaz & Gabor Pinter & Konstantinos Theodoridis, 2018. "What do VARs Tell Us about the Impact of a Credit Supply Shock?," International Economic Review. (Code) 

• Haroon Mumtaz and Paolo Surico (2018). Policy Uncertainty and aggregate fluctuations. Journal of Applied Econometrics. (code)

     2017

• Haroon Mumtaz, Konstantinos Theodoridis 2017. US financial shocks and the distribution of income and consumption in the UK. WP, Queen Mary University (Appendix)  

• Andrew Blake and Haroon Mumtaz (2017). Applied Bayesian Econometrics for Central Bankers. (Code)

• Akram, Q. F. and Mumtaz, H. (2017), Time-Varying Dynamics of the Norwegian Economy. Scandinavian. J. of Economics. (Code)

• Haroon Mumtaz 2017, Common and country-specific components in macroeconomic and financial time-series. Some results using historical data. Mimeo, Queen Mary University. (Code)

• Haroon Mumtaz, Angeliki Theophilopoulou 2017, The impact of monetary policy on inequality in the UK. An empirical analysis, European Economic Review. (Code)

• Philip Liu, Haroon Mumtaz, Konstantinos Theodoridis & Francesco Zanetti 2017, Changing Macroeconomic Dynamics at the Zero Lower Bound. Journal of Business & Economic Statistics.

• Ching-Wai (Jeremy) Chiu, Haroon Mumtaz, Gábor Pintér 2017, Forecasting with VAR models: Fat tails and stochastic volatility, International Journal of Forecasting (Code)

• Haroon Mumtaz, Konstantinos Theodoridis 2017, The Federal Reserve's implicit inflation target and Macroeconomic dynamics. A SVAR analysis. Mimeo (Appendix)

• Haroon Mumtaz, Konstantinos Theodoridis 2017, Common and country specific economic uncertainty, Journal of International Economics (Code) (Appendix)

• Piergiorgio Alessandri, Haroon Mumtaz 2017, Financial conditions and density forecasts for US output and inflation, Review of Economic Dynamics (Code)

     2016

• Haroon Mumtaz & Konstantinos Theodoridis, 2016. "Volatility Co-movement and the Great Moderation. An Empirical Analysis,"Working Papers 804, Queen Mary University.

• Ching-Wai Chiu & Haroon Mumtaz & Gabor Pinter, 2016. " Bayesian Vector Autoregressions with Non-Gaussian Shocks," CReMFi Discussion Papers 5, CReMFi.

•  Haroon Mumtaz , Konstantinos Theodoridis 2016 . The changing transmission of uncertainty shocks in the US: An empirical analysis. Journal of Business & Economic Statistics. (Code) (Technical Appendix)

•   Haroon Mumtaz & Konstantinos Theodoridis, 2016. "Dynamic Effects of Monetary Policy Shocks on Macroeconomic Volatility,"Working Papers 760, Queen Mary University of London, School of Economics and Finance.

•   Renato Faccini, Haroon Mumtaz, Paolo Surico,2016. International fiscal spillovers, Journal of International Economics, Volume 99, March 2016, Pages 31-45 (Code)

     2015

• Mumtaz, H. and Surico, P. (2015), The Transmission Mechanism in Good and Bad Times. International Economic Review, 56: 1237–1260

• Andrea Carriero, Haroon Mumtaz, Angeliki Theophilopoulou, Konstantinos Theodoridis (2015) . The Impact of Uncertainty Shocks under Measurement Error: A Proxy SVAR Approach. Journal of Money, Credit and Banking Volume 47, Issue 6, pages 1223–1238, September 2015. (Code)

• Haroon Mumtaz. and Theodoridis, K. (2015), The International Transmission Of Volatility Shocks: An Empirical Analysis. Journal of the European Economic Association, 13: 512–533. (Code) (Appendix)

• Andrea Carriero, Haroon Mumtaz, Angeliki Theophilopoulou, Macroeconomic information, structural change, and the prediction of fiscal aggregates, International Journal of Forecasting, Volume 31, Issue 2, April–June 2015, Pages 325-348

       2014

• Ellis, Colin and Mumtaz, Haroon and Zabczyk, Pawel 2014, What Lies Beneath? A Time‐Varying Favar Model for the UK Transmission Mechanism. The Economic Journal, Vol. 124, Issue 576, pp. 668-699, 2014 (Code)

• Liu, Philip & Mumtaz, Haroon & Theophilopoulou, Angeliki, 2014."The transmission of international shocks to the UK. Estimates based on a time-varying factor augmented VAR,"Journal of International Money and Finance.

• Alina Barnett, Haroon Mumtaz, Konstantinos Theodoridis, "Forecasting UK GDP growth and inflation under structural change. A comparison of models with time-varying parameters", International Journal of Forecasting, Volume 30, Issue 1, January–March 2014

          2013

• Charlotte Dendy, Haroon Mumtaz and Lydia Silver, 2013. "An uncertainty index for the UK. 1986-2012". Mimeo Queen Mary College.

• Baumeister, Christiane & Liu, Philip & Mumtaz, Haroon, 2013. "Changes in the effects of monetary policy on disaggregate price dynamics," Journal of Economic Dynamics and Control, Elsevier, vol. 37(3), pages 543-560.(Code)

• Haroon Mumtaz & Francesco Zanetti, 2013. "The Impact of the Volatility of Monetary Policy Shocks," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 45, pages 535-558, 06. (Code)

• Haroon Mumtaz & Laura Sunder‐Plassmann, 2013. "Time‐Varying Dynamics Of The Real Exchange Rate: An Empirical Analysis," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 28(3), pages 498-525, 04 (Code)

          2012

• George Kapetanios & Haroon Mumtaz & Ibrahim Stevens & Konstantinos Theodoridis, 2012. "Assessing the Economy‐wide Effects of Quantitative Easing," Economic Journal, Royal Economic Society, vol. 122(564), pages F316-F347, November.

• Haroon Mumtaz & Paolo Surico, 2012. "Evolving International Inflation Dynamics: World And Country-Specific Factors," Journal of the European Economic Association, European Economic Association, vol. 10(4), pages 716-734, 08.

• Haroon Mumtaz & Francesco Zanetti, 2012. "Neutral Technology Shocks And The Dynamics Of Labor Input: Results From An Agnostic Identification," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 53(1), pages 235-254, 02.

• Mumtaz, Haroon & Zanetti, Francesco, 2012. "Factor adjustment costs: a structural investigation," Bank of England working papers 467, Bank of England.

          2011

• Philip Liu & Haroon Mumtaz, 2011. "Evolving Macroeconomic Dynamics in a Small Open Economy: An Estimated Markov Switching DSGE Model for the UK," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 43(7), pages 1443-1474, October.(Code)

• Haroon Mumtaz & Saverio Simonelli & Paolo Surico, 2011. "International Comovements, Business Cycle and Inflation: a Historical Perspective," Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics, vol. 14(1), pages 176-198, January.

• Mumtaz, Haroon, 2011. "Estimating the impact of the volatility of shocks: a structural VAR approach," Bank of England working papers 437, Bank of England.

• Haroon Mumtaz & Özlem Oomen & Jian Wang, 2011. "Exchange rate pass-through into U.K. import prices: evidence from disaggregated data," Staff Papers, Federal Reserve Bank of Dallas, issue June.

           2010

• Jean M. Imbs & Haroon Mumtaz & Morten O. Ravn & Hélène Rey, 2010. "One TV, One Price?," Scandinavian Journal of Economics, Wiley Blackwell, vol. 112(4), pages 753-781, December.

• Karagedikli, Özer & Mumtaz, Haroon & Tanaka, Misa, 2010. "All together now: do international factors explain relative price comovements?," Bank of England working papers 381, Bank of England.

• Mumtaz, Haroon, 2010. "Evolving UK macroeconomic dynamics: a time-varying factor augmented VAR," Bank of England working papers 386, Bank of England.

• Barnett, Alina & Groen, Jan J J & Mumtaz, Haroon, 2010. "Time-varying inflation expectations and economic fluctuations in the United Kingdom: a structural VAR analysis," Bank of England working papers 392, Bank of England.

           2009

• Benito, Andrew & Mumtaz, Haroon, 2009. "Excess Sensitivity, Liquidity Constraints, And The Collateral Role Of Housing," Macroeconomic Dynamics, Cambridge University Press, vol. 13(03), pages 305-326, June.

• Bianchi, Francesco & Mumtaz, Haroon & Surico, Paolo, 2009. "The great moderation of the term structure of UK interest rates," Journal of Monetary Economics, Elsevier, vol. 56(6), pages 856-871, September.

• Haroon Mumtaz & Paolo Surico, 2009. "The Transmission of International Shocks: A Factor-Augmented VAR Approach," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 41(s1), pages 71-100, 02. (Code)

• Haroon Mumtaz & Paolo Surico, 2009. "Time-varying yield curve dynamics and monetary policy," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 24(6), pages 895-913.

           2005-2008

• Jean Imbs & Haroon Mumtaz & Morten O. Ravn & Hélène Rey, 2005. "PPP Strikes Back: Aggregation And the Real Exchange Rate," The Quarterly Journal of Economics, Oxford University Press, vol. 120(1), pages 1-43.

• Jean Imbs & Haroon Mumtaz & Morten O. Ravn & Hélène Rey, 2003. "Nonlinearities and Real Exchange Rate Dynamics," Journal of the European Economic Association, MIT Press, vol. 1(2-3), pages 639-649, 04/05.