Haroon Mumtaz

Biographic Data

ID5730218
NAMEHaroon Mumtaz
GIVEN NAMESHaroon
FAMILY NAMEMumtaz
SIGNATUREMUMTAZ H
AFFILIATIONSQueen Mary University of London
ORCID0000-0002-4761-7767
VERIFIEDYes
TOTAL WORKS8
TOTAL CITATIONS11
AUTHOR COUNT8
EDITOR COUNT0
FIRST PUBLICATION YEAR2003
LATEST PUBLICATION YEAR2021
H-INDEX2

  • Nonlinear effects of government spending shocks in the USA: Evidence from state‐level data

    Open AccessHaroon Mumtaz, Laura Sunder‐PlassmannARTICLEJournal of Applied Econometrics2021

    This paper uses state‐level data to estimate the effect of government spending shocks during expansions and recessions. By employing a mixed‐frequency framework, we are able to include a long span of annual state‐level government spending data in our nonlinear quarterly panel VAR model. We find evidence that for the average state the fiscal multiplier is larger during recessions. However, there is substantial heterogeneity across the cross‐sectio…

  • The Evolving Impact of Global, Region-Specific, and Country-Specific Uncertainty

    Haroon Mumtaz, Alberto MussoARTICLEJournal of Business and Economic…2021

    We develop a dynamic factor model with time-varying parameters and stochastic volatility, estimate it using a large panel of macroeconomic and financial data for 22 countries and decompose the variance of each variable in terms of contributions from uncertainty common to all countries (“global uncertainty”), region-specific uncertainty, and country-specific uncertainty. Among other findings, the estimates suggest that global uncertainty plays a p…

  • Changing Macroeconomic Dynamics at the Zero Lower Bound

    Philip Liu, Philip L-F Liu et al.ARTICLEJournal of Business and Economic…2019

    This article develops a change-point VAR model that isolates four major macroeconomic regimes in the US since the 1960s. The model identifies shocks to demand, supply, monetary policy, and spread yield using restrictions from a general equilibrium model. The analysis discloses important changes to the statistical properties of key macroeconomic variables and their responses to the identified shocks. During the crisis period, spread shocks became …

  • The Changing Transmission of Uncertainty Shocks in the U.S

    Haroon Mumtaz, Konstantinos TheodoridisARTICLEJournal of Business and Economic…2018

    This article investigates if the impact of uncertainty shocks on the U.S. economy has changed over time. To this end, we develop an extended factor augmented vector autoregression (VAR) model that simultaneously allows the estimation of a measure of uncertainty and its time-varying impact on a range of variables. We find that the impact of uncertainty shocks on real activity and financial variables has declined systematically over time. In contra…

  • What Lies Beneath? A Time-varying Favar Model for the UK Transmission Mechanism

    Open AccessColin Ellis, Haroon Mumtaz et al.ARTICLEThe Economic Journal2014Cited by: 2References: 43

    In 2011 all ECB publications feature a motif taken from the €100 banknote. NOTE: This Working Paper should not be reported as representing the views of the European Central Bank (ECB). The views expressed are those of the authors and do not necessarily reflect those of the ECB. This paper can be downloaded without charge from

  • Assessing the Economy‐wide Effects of Quantitative Easing

    Open AccessGeorge Kapetanios, Haroon Mumtaz et al.ARTICLEThe Economic Journal2012Cited by: 9References: 35

    Journal Article Assessing the Economy‐wide Effects of Quantitative Easing Get access George Kapetanios, George Kapetanios Queen Mary University of London and Bank of England Search for other works by this author on: Oxford Academic Google Scholar Haroon Mumtaz, Haroon Mumtaz Bank of England Search for other works by this author on: Oxford Academic Google Scholar Ibrahim Stevens, Ibrahim Stevens Deutsche Gesellschaft für Internationale Zusammenarb…

  • One TV, One Price

    Open AccessJean Imbs, Jean M Imbs et al.ARTICLEScandinavian Journal of Economics2010

    We study television prices across European countries and regions. Quality as measured by observable characteristics of televisions accounts for a large share of the international dispersion in prices. Rich economies tend to consume higher‐quality goods, but sizeable international price differentials exist even for identical televisions. The valuation of brands differs significantly across borders. EMU countries display lower price dispersion but …

  • PPP Strikes Back: Aggregation and the Real Exchange Rate

    Open AccessJean Imbs, Jean M Imbs et al.ARTICLESSRN Electronic Journal2003