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A Generalised Stochastic Volatility in Mean VAR. An Updated Algorithm,
Haroon Mumtaz,
from Queen Mary University of London, School of Economics and Finance
(2020)
Keywords: VAR, Stochastic volatility in mean, error covariance
A generalised stochastic volatility in mean VAR,
Haroon Mumtaz,
in Economics Letters
(2018)
Keywords: VAR; Stochastic volatility in mean; Error covariance;
Does uncertainty affect real activity? Evidence from state-level,
Haroon Mumtaz,
from Queen Mary University of London, School of Economics and Finance
(2017)
Keywords: Uncertainty shocks, Instrumental variables, US states
A generalised stochastic volatility in mean VAR,
Haroon Mumtaz,
from Queen Mary University of London, School of Economics and Finance
(2018)
Keywords: VAR, Stochastic volatility in mean, error covariance
Measuring the origins of macroeconomic uncertainty,
Haroon Mumtaz,
from Queen Mary University of London, School of Economics and Finance
(2018)
Keywords: FAVAR, Stochastic volatility, Proxy VAR, Uncertainty measurement
The Evolving Transmission of Uncertainty Shocks in the United Kingdom,
Haroon Mumtaz,
in Econometrics
(2016)
Keywords: TVP-VAR; stochastic volatility; uncertainty shocks
Does uncertainty affect real activity? Evidence from state-level data,
Haroon Mumtaz,
in Economics Letters
(2018)
Keywords: Uncertainty shocks; Instrumental variables; US states;
Evolving UK macroeconomic dynamics: a time-varying factor augmented VAR,
Haroon Mumtaz,
from Bank of England
(2010)
Keywords: FAVAR; great stability; time-varying parameters; stochastic volatility
Estimating the impact of the volatility of shocks: a structural VAR approach,
Haroon Mumtaz,
from Bank of England
(2011)
Keywords: Vector autoregression; stochastic volatility; particle filter.
Registered author: Haroon Mumtaz
An application of data-rich environment for policy analysis of the Indian economy,
Haroon Mumtaz and Nitin Kumar,
from Centre for Central Banking Studies, Bank of England
(2012)
Keywords: An application of data-rich environment for policy analysis of the Indian economy
Change Management and Risk Assessment in IT Industry,
Ayesha Haroon and Mumtaz Ahmed,
in Pakistan Journal of Economic Studies
(2020)
Keywords: Risk mitigation strategies; Analytic Hierarchy Process; Pakistan Software Export Board.
Global Economic Divergence and Portfolio Capital Flows to Emerging Markets,
Zeyyad Mandalinci and Haroon Mumtaz,
in Journal of Money, Credit and Banking
(2019)
Impulse response estimation via flexible local projections,
Haroon Mumtaz and Michele Piffer,
from arXiv.org
(2022)
Vulnerability to Climate Change: Evidence from a Dynamic Factor Model,
Haroon Mumtaz and Fulvia Marotta,
from Queen Mary University of London, School of Economics and Finance
(2023)
Keywords: Climate change, Temperatures, Economic vulnerability, Dynamic factor model.
The evolving impact of global, region-specific and country-specific uncertainty,
Haroon Mumtaz and Alberto Musso,
from Queen Mary University of London, School of Economics and Finance
(2018)
Keywords: Dynamic Factor Model, Time-Varying Parameters, Stochastic Volatility, Uncertainty Shocks, Global Uncertainty
Proxy structural vector autoregressions, informational sufficiency and the role of monetary policy,
Mirela Miescu and Haroon Mumtaz,
from Queen Mary University of London, School of Economics and Finance
(2019)
Keywords: information sufficiency, dynamic factor models, instrumental variables, monetary policy, structural VAR
Monetary Policy and Wealth Inequality over the Great Recession in the UK An Empirical Analysis,
Haroon Mumtaz and Angeliki Theophilopoulou,
from Queen Mary University of London, School of Economics and Finance
(2019)
Keywords: Inequality, Wealth, FAVAR, Monetary Policy Shocks
Monetary policy and wealth inequality over the great recession in the UK. An empirical analysis,
Haroon Mumtaz and Angeliki Theophilopoulou,
in European Economic Review
(2020)
Keywords: Inequality; Wealth; FAVAR; Monetary policy shocks;
The distributional effects of climate change. An empirical analysis,
Haroon Mumtaz and Angeliki Theophilopoulou,
from Queen Mary University of London, School of Economics and Finance
Keywords: Climate shock; income inequality; economic growth; frequency domain identification; panel VAR.
Evolving Macroeconomic Dynamics in a Small Open Economy: An Estimated Markov Switching DSGE Model for the UK,
Philip Liu and Haroon Mumtaz,
in Journal of Money, Credit and Banking
(2011)
The Evolving Impact of Global, Region-Specific, and Country-Specific Uncertainty,
Haroon Mumtaz and Alberto Musso,
in Journal of Business & Economic Statistics
(2021)
Time‐Varying Dynamics of the Norwegian Economy,
Qaisar Akram and Haroon Mumtaz,
in Scandinavian Journal of Economics
(2019)
THE TRANSMISSION MECHANISM IN GOOD AND BAD TIMES,
Haroon Mumtaz and Paolo Surico,
in International Economic Review
(2015)
The Transmission of International Shocks: A Factor‐Augmented VAR Approach,
Haroon Mumtaz and Paolo Surico,
in Journal of Money, Credit and Banking
(2009)
Monetary Policy and Inequality in the UK,
Haroon Mumtaz and Angeliki Theophilopoulou,
from Queen Mary University of London, School of Economics and Finance
(2015)
Keywords: Inequality, Earnings, Income, Mixed frequency Bayesian SVAR, Monetary policy shocks
Dynamic Effects of Monetary Policy Shocks on Macroeconomic Volatility,
Haroon Mumtaz and Konstantinos Theodoridis,
from Queen Mary University of London, School of Economics and Finance
(2015)
Keywords: DSGE, Non-linear SVAR, New Keynesian, Non-zero steady state inflation, Epstein-Zin preferences, Stochastic volatility
Global Economic Divergence and Portfolio Capital Flows to Emerging Markets,
Zeyyad Mandalinci and Haroon Mumtaz,
from Queen Mary University of London, School of Economics and Finance
(2015)
Keywords: Portfolio capital flows; Bayesian analysis, Factor model, VAR, Emerging markets
Common and Country Specific Economic Uncertainty,
Haroon Mumtaz and Konstantinos Theodoridis,
from Queen Mary University of London, School of Economics and Finance
(2015)
Keywords: FAVAR, Stochastic Volatility, Uncertainty Shocks, DSGE Model
The Changing Transmission of Uncertainty shocks in the US: An Empirical Analysis,
Haroon Mumtaz and Konstantinos Theodoridis,
from Queen Mary University of London, School of Economics and Finance
(2014)
Keywords: FAVAR, Stochastic volatility, Uncertainty shocks, DSGE model
Volatility Co-movement and the Great Moderation. An Empirical Analysis,
Haroon Mumtaz and Konstantinos Theodoridis,
from Queen Mary University of London, School of Economics and Finance
(2016)
Keywords: Vector-Autoregressions, Time-varying parameters, Stochastic volatility
The Impact of Monetary Policy on Inequality in the UK. An Empirical Analysis,
Haroon Mumtaz and Angeliki Theophilopoulou,
from Queen Mary University of London, School of Economics and Finance
(2016)
Keywords: Inequality, Earnings, Income, SVAR, Monetary policy shocks
Policy Uncertainty and Aggregate Fluctuations,
Haroon Mumtaz and Paolo Surico,
from Queen Mary University of London, School of Economics and Finance
(2013)
Keywords: Economic policy uncertainty, Debt sustainability, Long-run effects
Fiscal Policy Shocks and Stock Prices in the United States,
Haroon Mumtaz and Konstantinos Theodoridis,
from Queen Mary University of London, School of Economics and Finance
(2017)
Keywords: Fiscal policy shocks, Stock prices, VAR, DSGE
The Federal Reserve’s implicit inflation target and Macroeconomic dynamics. A SVAR analysis,
Haroon Mumtaz and Konstantinos Theodoridis,
from Queen Mary University of London, School of Economics and Finance
(2017)
Keywords: SVAR, DSGE model, inflation target
US financial shocks and the distribution of income and consumption in the UK,
Haroon Mumtaz and Konstantinos Theodoridis,
from Queen Mary University of London, School of Economics and Finance
(2017)
Keywords: FAVAR, DSGE model, Financial Shock
The Changing Transmission of Uncertainty Shocks in the U.S,
Haroon Mumtaz and Konstantinos Theodoridis,
in Journal of Business & Economic Statistics
(2018)
THE FEDERAL RESERVE'S IMPLICIT INFLATION TARGET AND MACROECONOMIC DYNAMICS: AN SVAR ANALYSIS,
Haroon Mumtaz and Konstantinos Theodoridis,
in International Economic Review
(2023)
Policy uncertainty and aggregate fluctuations,
Haroon Mumtaz and Paolo Surico,
in Journal of Applied Econometrics
(2018)
EVOLVING INTERNATIONAL INFLATION DYNAMICS: WORLD AND COUNTRY-SPECIFIC FACTORS,
Haroon Mumtaz and Paolo Surico,
in Journal of the European Economic Association
(2012)
THE INTERNATIONAL TRANSMISSION OF VOLATILITY SHOCKS: AN EMPIRICAL ANALYSIS,
Haroon Mumtaz and Konstantinos Theodoridis,
in Journal of the European Economic Association
(2015)
Evolving International Inflation Dynamics: Evidence from a Time-varying Dynamic Factor Model,
Haroon Mumtaz and Paolo Surico,
from C.E.P.R. Discussion Papers
(2008)
Keywords: Low inflation; Factor model; Time variation; Monetary policy
Estimating the Aggregate Consumption Euler Equation with State-Dependent Parameters,
Haroon Mumtaz and Paolo Surico,
from C.E.P.R. Discussion Papers
(2011)
Keywords: Aggregate consumption; Euler equation; Heterogeneity; State-dependence
Policy Uncertainty and Aggregate Fluctuations,
Haroon Mumtaz and Paolo Surico,
from C.E.P.R. Discussion Papers
(2013)
Keywords: Debt sustainability; Economic policy uncertainty; Long-run effects.
The Transmission Mechanism in Good and Bad Times,
Haroon Mumtaz and Paolo Surico,
from C.E.P.R. Discussion Papers
(2014)
Keywords: Asymmetric transmission mechanism; Consumption; State-dependence
EXCESS SENSITIVITY, LIQUIDITY CONSTRAINTS, AND THE COLLATERAL ROLE OF HOUSING,
Andrew Benito and Haroon Mumtaz,
in Macroeconomic Dynamics
(2009)
Common and country specific economic uncertainty,
Haroon Mumtaz and Konstantinos Theodoridis,
in Journal of International Economics
(2017)
Keywords: FAVAR; Stochastic volatility; Uncertainty shocks; DSGE model;
Dynamic effects of monetary policy shocks on macroeconomic volatility,
Haroon Mumtaz and Konstantinos Theodoridis,
in Journal of Monetary Economics
(2020)
Keywords: DSGE; Non-Linear SVAR; New keynesian; Search and matching frictions; Epstein-Zin preferences; Stochastic volatility;
Time-varying yield curve dynamics and monetary policy,
Haroon Mumtaz and Paolo Surico,
in Journal of Applied Econometrics
(2009)
The Transmission of International Shocks: A Factor-Augmented VAR Approach,
Haroon Mumtaz and Paolo Surico,
in Journal of Money, Credit and Banking
(2009)
Evolving Macroeconomic Dynamics in a Small Open Economy: An Estimated Markov Switching DSGE Model for the UK,
Philip Liu and Haroon Mumtaz,
in Journal of Money, Credit and Banking
(2011)
U.S. evolving macroeconomic dynamics: a structural investigation,
Luca Benati and Haroon Mumtaz,
from European Central Bank
(2007)
Keywords: Bayesian VARs, frequency domain, great inflation, identified VARs, Lucas critique., stochastic volatility, time-varying parameters
The evolving impact of global, region-specific and country-specific uncertainty,
Haroon Mumtaz and Alberto Musso,
from European Central Bank
(2018)
Keywords: dynamic factor model, global uncertainty, stochastic volatility, time-varying parameters, uncertainty shocks
Fiscal policy shocks and stock prices in the United States,
Haroon Mumtaz and Konstantinos Theodoridis,
in European Economic Review
(2020)
Keywords: Fiscal policy shocks; Stock prices; VAR; FAVAR; DSGE;
Financial conditions and density forecasts for US Output and inflation,
Piergiorgio Alessandri and Haroon Mumtaz,
from Centre for Central Banking Studies, Bank of England
(2013)
Keywords: Financial conditions, density forecasts, US, output, inflation
Financial regimes and uncertainty shocks,
Piergiorgio Alessandri and Haroon Mumtaz,
in Journal of Monetary Economics
(2019)
Keywords: Uncertainty; Stochastic volatility; Financial markets; Threshold VARs;
Financial conditions and density forecasts for US output and inflation,
Piergiorgio Alessandri and Haroon Mumtaz,
from CReMFi, School of Economics and Finance, QMUL
(2014)
Keywords: Financial Frictions, Predictive Densities, Great Recession, Threshold VAR
Financial Regimes and Uncertainty Shocks,
Piergiorgio Alessandri and Haroon Mumtaz,
from Queen Mary University of London, School of Economics and Finance
(2014)
Keywords: Uncertainty, Stochastic volatility, Financial markets, Threshold VAR
Financial Conditions and Density Forecasts for US Output and Inflation,
Piergiorgio Alessandri and Haroon Mumtaz,
from Queen Mary University of London, School of Economics and Finance
(2014)
Keywords: Financial frictions, Predictive densities, Great Recession, Threshold VAR
Changing impact of shocks: a time-varying proxy SVAR approach,
Haroon Mumtaz and Katerina Petrova,
from Queen Mary University of London, School of Economics and Finance
(2018)
Keywords: Time-Varying parameters, Stochastic volatility, Proxy VAR, tax shocks
The Macroeconomic Cost of Climate Volatility,
Piergiorgio Alessandri and Haroon Mumtaz,
from Queen Mary University of London, School of Economics and Finance
(2021)
Keywords: temperature volatility; economic growth; panel VAR
Online Appendix to "Financial conditions and density forecasts for US output and inflation",
Piergiorgio Alessandri and Haroon Mumtaz,
from Review of Economic Dynamics
(2017)
Code and data files for "Financial conditions and density forecasts for US output and inflation",
Piergiorgio Alessandri and Haroon Mumtaz,
from Review of Economic Dynamics
(2017)
Financial conditions and density forecasts for US output and inflation,
Piergiorgio Alessandri and Haroon Mumtaz,
in Review of Economic Dynamics
(2017)
Keywords: Forecasting; Financial crises; Great recession; Threshold VAR; Stochastic volatility
Changing Impact of Shocks: A Time‐Varying Proxy SVAR Approach,
Haroon Mumtaz and Katerina Petrova,
in Journal of Money, Credit and Banking
(2023)
The macroeconomic cost of climate volatility,
Piergiorgio Alessandri and Haroon Mumtaz,
from arXiv.org
(2022)
The impact of monetary policy on inequality in the UK. An empirical analysis,
Haroon Mumtaz and Angeliki Theophilopoulou,
in European Economic Review
(2017)
Keywords: Inequality; Earnings; Income; SVAR; Monetary policy shocks;
Applied Bayesian econometrics for central bankers,
Andrew Blake and Haroon Mumtaz,
from Centre for Central Banking Studies, Bank of England
(2012)
Keywords: Applied Bayesian; econometrics;
Impulse response estimation via fexible local projections,
Haroon Mumtaz and Michele Piffer,
from Queen Mary University of London, School of Economics and Finance
(2022)
Keywords: Non-linear models, non-parametric techniques, identification
Factor adjustment costs: A structural investigation,
Haroon Mumtaz and Francesco Zanetti,
in Journal of Economic Dynamics and Control
(2015)
Keywords: Adjustment costs; DSGE models; Labor market frictions; Bayesian estimation;
NEUTRAL TECHNOLOGY SHOCKS AND THE DYNAMICS OF LABOR INPUT: RESULTS FROM AN AGNOSTIC IDENTIFICATION,
Haroon Mumtaz and Francesco Zanetti,
in International Economic Review
(2012)
The Impact of the Volatility of Monetary Policy Shocks,
Haroon Mumtaz and Francesco Zanetti,
in Journal of Money, Credit and Banking
(2013)
The Impact of the Volatility of Monetary Policy Shocks,
Haroon Mumtaz and Francesco Zanetti,
in Journal of Money, Credit and Banking
(2013)
Labor Market Dynamics: A Time-Varying Analysis,
Haroon Mumtaz and Francesco Zanetti,
in Oxford Bulletin of Economics and Statistics
(2015)
THE EFFECT OF LABOR AND FINANCIAL FRICTIONS ON AGGREGATE FLUCTUATIONS,
Haroon Mumtaz and Francesco Zanetti,
in Macroeconomic Dynamics
(2016)
The distributional effects of climate change. An empirical analysis,
Haroon Mumtaz and Angeliki Theophilopoulou,
in European Economic Review
(2024)
Keywords: Climate shock; Income inequality; Economic growth; Frequency domain identification; Panel VAR;
Dynamics of the Term Structure of UK Interest Rates,
Francesco Bianchi and Haroon Mumtaz,
from Duke University, Department of Economics
(2010)
Keywords: Term structure, time-varying VAR, Bayesian estimation
Labor Market Dynamics: a Time-varying Analysis,
Francesco Zanetti and Haroon Mumtaz,
from University of Oxford, Department of Economics
(2014)
Keywords: Technology shocks, labor market frictions, Bayesian SVAR methods, sign restrictions
The Effect of Labor and Financial Frictions on Aggregate Fluctuations,
Francesco Zanetti and Haroon Mumtaz,
from University of Oxford, Department of Economics
(2013)
Keywords: Financial frictions, search and matching frictions, New Keynesian model
Global house prices since 1950,
Haroon Mumtaz and Roman Sustek,
from Centre for Macroeconomics (CFM)
(2023)
Keywords: House prices, asset pricing, expectations, fundamentals, demographics
Applied Bayesian Econometrics for central bankers,
Andrew Blake and Haroon Mumtaz,
from Centre for Central Banking Studies, Bank of England
(2015)
Dynamic Effects of Monetary Policy Shocks on Macroeconomic Volatility,
Haroon Mumtaz and Konstantinos Theodoridis,
from Cardiff University, Cardiff Business School, Economics Section
(2018)
Keywords: DSGE, Non-Linear SVAR, New Keynesian, Search and Matching Frictions, Epstein-Zin preferences, Stochastic Volatility
Fiscal Policy Shocks and Stock Prices in the United State,
Haroon Mumtaz and Konstantinos Theodoridis,
from Cardiff University, Cardiff Business School, Economics Section
(2018)
Keywords: Fiscal policy shocks, Stock prices, VAR, DSGE.
The Federal Reserve s implicit inflation target and Macroeconomic dynamics. A SVAR analysis,
Haroon Mumtaz and Konstantinos Theodoridis,
from Cardiff University, Cardiff Business School, Economics Section
(2018)
Keywords: SVAR, DSGE model, inflation target,international
US financial shocks and the distribution of income and consumption in the UK,
Haroon Mumtaz and Konstantinos Theodoridis,
from Cardiff University, Cardiff Business School, Economics Section
(2017)
Keywords: FAVAR, DSGE model, Financial Shock
Evolving international inflation dynamics: evidence from a time-varying dynamic factor model,
Haroon Mumtaz and Paolo Surico,
from Bank of England
(2008)
Consumption excess sensitivity, liquidity constraints and the collateral role of housing,
Andrew Benito and Haroon Mumtaz,
from Bank of England
(2006)
Investigating the structural stability of the Phillips curve relationship,
Jan Groen and Haroon Mumtaz,
from Bank of England
(2008)
Keywords: New Keynesian Phillips Curve; trend inflation; Markov-switching VAR; minimum distance estimation.
Evolving macroeconomic dynamics in a small open economy: an estimated Markov-switching DSGE model for the United Kingdom,
Philip Liu and Haroon Mumtaz,
from Bank of England
(2010)
Keywords: Markov switching; DSGE; Bayesian estimation
Neutral technology shocks and employment dynamics: results based on an RBC identification scheme,
Haroon Mumtaz and Francesco Zanetti,
from Bank of England
(2012)
The international transmission of volatility shocks: an empirical analysis,
Haroon Mumtaz and Konstantinos Theodoridis,
from Bank of England
(2012)
Keywords: Stochastic volatility; Gibbs sampling; DSGE model
Factor adjustment costs: a structural investigation,
Haroon Mumtaz and Francesco Zanetti,
from Bank of England
(2012)
Monetary policy transmission during QE times: role of expectations and term premia channels,
Iryna Kaminska and Haroon Mumtaz,
from Bank of England
(2022)
Keywords: Monetary policy; quantitative easing; monetary transmission mechanism; high frequency data; dynamic term structure model; local projection model
Time-Varying Yield Curve Dynamics and Monetary Policy,
Haroon Mumtaz and Paolo Surico,
from Monetary Policy Committee Unit, Bank of England
(2008)
Keywords: Nelson-Siegel; time variation; inflation expectations; credibility building; evidence on expectations hypothesis
International influences on domestic prices and activities: a FAVAR approach to open economy,
Haroon Mumtaz and Paolo Surico,
in Proceedings
(2008)
Keywords: Pricing; International finance
Fiscal policy shocks and stock prices in the United States,
Haroon Mumtaz and Konstantinos Theodoridis,
from European Stability Mechanism
(2021)
Keywords: Fiscal policy shocks, Stock prices, VAR, FAVAR, DSGE
Dynamic Effects of Monetary Policy Shocks on Macroeconomic Volatility,
Konstantinos Theodoridis and Haroon Mumtaz,
from Lancaster University Management School, Economics Department
(2015)
Keywords: DSGE, Non-Linear SVAR, New Keynesian, Non-Zero Steady State Inflation, Epstein-Zin preferences, Stochastic Volatility
The Federal Reserve’s implicit inflation target and Macroeconomic dynamics. A SVAR analysis,
Haroon Mumtaz and Konstantinos Theodoridis,
from Lancaster University Management School, Economics Department
(2017)
Keywords: SVAR, DSGE model, inflation target
Fiscal policy shocks and stock prices in the United States,
Haroon Mumtaz and Konstantinos Theodoridis,
from Lancaster University Management School, Economics Department
(2017)
Keywords: Fiscal policy shocks, Stock prices, VAR, DSGE
Proxy structural vector autoregressions, informational sufficiency and the role of monetary policy,
Mirela Miescu and Haroon Mumtaz,
from Lancaster University Management School, Economics Department
(2019)
Keywords: information sufficiency, dynamic factor models, instrumental variables, monetary policy, structural VAR