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.