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Details about Haroon Mumtaz

Homepage:https://sites.google.com/site/hmumtaz77/
Workplace:School of Economics and Finance, Queen Mary, (more information at EDIRC)

Access statistics for papers by Haroon Mumtaz.

Last updated 2014-07-28. Update your information in the RePEc Author Service.

Short-id: pmu116


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Working Papers

2014

  1. Fat-tails in VAR Models
    Working Papers, Queen Mary University of London, School of Economics and Finance Downloads View citations (2)
  2. Financial Conditions and Density Forecasts for US Output and Inflation
    Working Papers, Queen Mary University of London, School of Economics and Finance Downloads
    Also in Joint Research Papers, Centre for Central Banking Studies, Bank of England (2013) Downloads
  3. What do VARs Tell Us about the Impact of a Credit Supply Shock? An Empirical Analysis
    Working Papers, Queen Mary University of London, School of Economics and Finance Downloads

2013

  1. Policy Uncertainty and Aggregate Fluctuations
    Working Papers, Queen Mary University of London, School of Economics and Finance Downloads
    Also in CEPR Discussion Papers, C.E.P.R. Discussion Papers (2013) Downloads View citations (1)
  2. The Effect of Labor and Financial Frictions on Aggregate Fluctuations
    Economics Series Working Papers, University of Oxford, Department of Economics Downloads
  3. The Impact of Uncertainty Shocks under Measurement Error. A Proxy SVAR Approach
    Working Papers, Queen Mary University of London, School of Economics and Finance Downloads View citations (2)

2012

  1. Assessing the economy-wide effects of quantitative easing
    Bank of England working papers, Bank of England Downloads View citations (19)
    See also Journal Article in Economic Journal (2012)
  2. Asset prices, credit and the Russian economy
    Joint Research Papers, Centre for Central Banking Studies, Bank of England Downloads View citations (1)
  3. Changes in the Effects of Monetary Policy on Disaggregate Price Dynamics
    Working Papers, Bank of Canada Downloads View citations (1)
    See also Journal Article in Journal of Economic Dynamics and Control (2013)
  4. Factor adjustment costs: a structural investigation
    Bank of England working papers, Bank of England Downloads View citations (4)
  5. Forecasting UK GDP growth, inflation and interest rates under structural change: a comparison of models with time-varying parameters
    Bank of England working papers, Bank of England Downloads View citations (5)
    See also Journal Article in International Journal of Forecasting (2014)
  6. Neutral technology shocks and employment dynamics: results based on an RBC identification scheme
    Bank of England working papers, Bank of England Downloads
  7. The international transmission of volatility shocks: an empirical analysis
    Bank of England working papers, Bank of England Downloads View citations (4)

2011

  1. Estimating the Aggregate Consumption Euler Equation with State-Dependent Parameters
    CEPR Discussion Papers, C.E.P.R. Discussion Papers Downloads
  2. Estimating the impact of the volatility of shocks: a structural VAR approach
    Bank of England working papers, Bank of England Downloads
  3. International transmission of shocks: a time-varying factor-augmented VAR approach to the open economy
    Bank of England working papers, Bank of England Downloads View citations (6)
  4. What lies beneath? A time-varying FAVAR model for the UK transmission mechanism
    Working Paper Series, European Central Bank Downloads View citations (1)
    See also Journal Article in Economic Journal (2014)

2010

  1. All together now: Do international factors explain relative price co-movements?
    Reserve Bank of New Zealand Discussion Paper Series, Reserve Bank of New Zealand Downloads
    Also in Bank of England working papers, Bank of England (2010) Downloads View citations (1)
  2. Changes in the transmission of monetary policy: evidence from a time-varying factor-augmented VAR
    Bank of England working papers, Bank of England Downloads View citations (9)
  3. Dynamics of the Term Structure of UK Interest Rates
    Working Papers, Duke University, Department of Economics Downloads View citations (5)
    Also in Bank of England working papers, Bank of England (2009) Downloads View citations (12)
  4. Evolving UK macroeconomic dynamics: a time-varying factor augmented VAR
    Bank of England working papers, Bank of England Downloads
  5. Evolving macroeconomic dynamics in a small open economy: an estimated Markov-switching DSGE model for the United Kingdom
    Bank of England working papers, Bank of England Downloads View citations (3)
  6. Time-varying dynamics of the real exchange rate. A structural VAR analysis
    Bank of England working papers, Bank of England Downloads View citations (13)
  7. Time-varying inflation expectations and economic fluctuations in the United Kingdom: a structural VAR analysis
    Bank of England working papers, Bank of England Downloads View citations (4)

2009

  1. A Historical Perspective on International Co-movements: 1821-2007
    2009 Meeting Papers, Society for Economic Dynamics Downloads
  2. International Comovements, Business Cycle and Inflation: a Historical Perspective
    CSEF Working Papers, Centre for Studies in Economics and Finance (CSEF), University of Naples, Italy Downloads View citations (3)
    Also in Discussion Papers, Monetary Policy Committee Unit, Bank of England (2009) Downloads

    See also Journal Article in Review of Economic Dynamics (2011)
  3. One TV, One Price?
    CEPR Discussion Papers, C.E.P.R. Discussion Papers Downloads
    Also in NBER Working Papers, National Bureau of Economic Research, Inc (2009) Downloads

    See also Journal Article in Scandinavian Journal of Economics (2010)
  4. What lies beneath: what can disaggregated data tell us about the behaviour of prices?
    Bank of England working papers, Bank of England Downloads View citations (7)

2008

  1. Evolving International Inflation Dynamics: Evidence from a Time-varying Dynamic Factor Model
    CEPR Discussion Papers, C.E.P.R. Discussion Papers Downloads View citations (5)
    Also in Bank of England working papers, Bank of England (2008) Downloads View citations (14)
  2. Investigating the structural stability of the Phillips curve relationship
    Bank of England working papers, Bank of England Downloads View citations (9)
  3. Time-Varying Yield Curve Dynamics and Monetary Policy
    Discussion Papers, Monetary Policy Committee Unit, Bank of England Downloads View citations (3)
    See also Journal Article in Journal of Applied Econometrics (2009)

2007

  1. U.S. evolving macroeconomic dynamics: a structural investigation
    Working Paper Series, European Central Bank Downloads View citations (28)

2006

  1. Consumption excess sensitivity, liquidity constraints and the collateral role of housing
    Bank of England working papers, Bank of England Downloads View citations (5)
  2. Exchange rate pass-through into UK import prices
    Bank of England working papers, Bank of England Downloads View citations (13)
  3. Inflation Globalization and the Fall of Country Specific Fluctuations
    Computing in Economics and Finance 2006, Society for Computational Economics Downloads

2005

  1. "Aggregation Bias" DOES Explain the PPP Puzzle
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (6)
    Also in CEPR Discussion Papers, C.E.P.R. Discussion Papers (2005) Downloads View citations (2)

2003

  1. PPP Strikes Back
    IMF Working Papers, International Monetary Fund Downloads View citations (34)
  2. PPP Strikes Back: Aggregation and the Real Exchange Rate
    CEPR Discussion Papers, C.E.P.R. Discussion Papers Downloads View citations (1)
    Also in NBER Working Papers, National Bureau of Economic Research, Inc (2002) Downloads View citations (37)
    IEHAS Discussion Papers, Institute of Economics, Centre for Economic and Regional Studies, Hungarian Academy of Sciences (2003) Downloads View citations (1)

    See also Journal Article in The Quarterly Journal of Economics (2005)

Journal Articles

2014

  1. Forecasting UK GDP growth and inflation under structural change. A comparison of models with time-varying parameters
    International Journal of Forecasting, 2014, 30, (1), 129-143 Downloads
    See also Working Paper (2012)
  2. The transmission of international shocks to the UK. Estimates based on a time-varying factor augmented VAR
    Journal of International Money and Finance, 2014, 46, (C), 1-15 Downloads
  3. What Lies Beneath? A Time‐varying FAVAR Model for the UK Transmission Mechanism
    Economic Journal, 2014, (576), 668-699 Downloads
    See also Working Paper (2011)

2013

  1. Changes in the effects of monetary policy on disaggregate price dynamics
    Journal of Economic Dynamics and Control, 2013, 37, (3), 543-560 Downloads View citations (2)
    See also Working Paper (2012)
  2. TIME‐VARYING DYNAMICS OF THE REAL EXCHANGE RATE: AN EMPIRICAL ANALYSIS
    Journal of Applied Econometrics, 2013, 28, (3), 498-525 View citations (7)
  3. The Impact of the Volatility of Monetary Policy Shocks
    Journal of Money, Credit and Banking, 2013, 45, (4), 535-558 Downloads View citations (1)

2012

  1. Assessing the Economy‐wide Effects of Quantitative Easing
    Economic Journal, 2012, 122, (564), F316-F347 Downloads View citations (19)
    See also Working Paper (2012)
  2. EVOLVING INTERNATIONAL INFLATION DYNAMICS: WORLD AND COUNTRY-SPECIFIC FACTORS
    Journal of the European Economic Association, 2012, 10, (4), 716-734 Downloads View citations (35)
  3. NEUTRAL TECHNOLOGY SHOCKS AND THE DYNAMICS OF LABOR INPUT: RESULTS FROM AN AGNOSTIC IDENTIFICATION
    International Economic Review, 2012, 53, (1), 235-254 Downloads View citations (8)

2011

  1. Evolving Macroeconomic Dynamics in a Small Open Economy: An Estimated Markov Switching DSGE Model for the UK
    Journal of Money, Credit and Banking, 2011, 43, (7), 1443-1474 Downloads View citations (8)
  2. Exchange rate pass-through into U.K. import prices: evidence from disaggregated data
    Staff Papers, 2011, (June) Downloads
  3. International Comovements, Business Cycle and Inflation: a Historical Perspective
    Review of Economic Dynamics, 2011, 14, (1), 176-198 Downloads View citations (15)
    See also Working Paper (2009)
    Software Item (2010)

2010

  1. One TV, One Price?
    Scandinavian Journal of Economics, 2010, 112, (4), 753-781 Downloads View citations (8)
    See also Working Paper (2009)

2009

  1. EXCESS SENSITIVITY, LIQUIDITY CONSTRAINTS, AND THE COLLATERAL ROLE OF HOUSING
    Macroeconomic Dynamics, 2009, 13, (03), 305-326 Downloads View citations (15)
  2. The Transmission of International Shocks: A Factor-Augmented VAR Approach
    Journal of Money, Credit and Banking, 2009, 41, (s1), 71-100 Downloads View citations (31)
  3. The great moderation of the term structure of UK interest rates
    Journal of Monetary Economics, 2009, 56, (6), 856-871 Downloads View citations (18)
  4. Time-varying yield curve dynamics and monetary policy
    Journal of Applied Econometrics, 2009, 24, (6), 895-913 Downloads View citations (7)
    See also Working Paper (2008)

2008

  1. International influences on domestic prices and activities: a FAVAR approach to open economy
    Proceedings, 2008 Downloads

2005

  1. PPP Strikes Back: Aggregation and the Real Exchange Rate
    The Quarterly Journal of Economics, 2005, 120, (1), 1-43 View citations (185)
    See also Working Paper (2003)

2003

  1. Nonlinearities and Real Exchange Rate Dynamics
    Journal of the European Economic Association, 2003, 1, (2-3), 639-649 Downloads View citations (31)

Books

2012

  1. Applied Bayesian econometrics for central bankers
    Technical Books, Centre for Central Banking Studies, Bank of England Downloads

Software Items

2010

  1. Code and data files for "International Comovements, Business Cycle and Inflation: A Historical Perspective"
    Computer Codes, Review of Economic Dynamics Downloads
    See also Journal Article in Review of Economic Dynamics (2011)
 
Page updated 2014-10-20