Ivan Paya
Citations
Many of the citations below have been collected in an experimental project, CitEc, where a more detailed citation analysis can be found. These are citations from works listed in RePEc that could be analyzed mechanically. So far, only a minority of all works could be analyzed. See under "Corrections" how you can help improve the citation analysis.Blog mentions
As found by EconAcademics.org, the blog aggregator for Economics research:- Efthymios Pavlidis & Alisa Yusupova & Ivan Paya & David Peel & Enrique Martínez-García & Adrienne Mack & Valerie Grossman, 2016.
"Episodes of Exuberance in Housing Markets: In Search of the Smoking Gun,"
The Journal of Real Estate Finance and Economics, Springer, vol. 53(4), pages 419-449, November.
- Valerie Grossman & Adrienne Mack & Enrique Martínez García & Efthymios Pavlidis & Ivan Paya & David Peel & Alisa Yusupova, 2013. "Episodes of Exuberance in Housing Markets: In Search of the Smoking Gun," Globalization Institute Working Papers 165, Federal Reserve Bank of Dallas.
Mentioned in:
- Assessing Housing Risk
by Steve Cecchetti and Kim Schoenholtz in Money, Banking and Financial Markets on 2018-10-15 11:28:50
Working papers
- Alvaro Fernandez-Gallardo & Ivan Paya, 2020.
"Macroprudential Policy in the Euro Area,"
Working Papers
307121127, Lancaster University Management School, Economics Department.
Cited by:
- Coman, Andra, 2023. "Monetary policy spillovers and the role of prudential policies in the European Union," Working Paper Series 2854, European Central Bank.
- Fernandez-Gallardo, Alvaro, 2023. "Preventing financial disasters: Macroprudential policy and financial crises," European Economic Review, Elsevier, vol. 151(C).
- Cartapanis, André & Gagnon, Marie-Hélène & Gimet, Céline, 2023.
"Financially sustainable optimal currency areas,"
Finance Research Letters, Elsevier, vol. 58(PA).
- André Cartapanis & Marie-Hélène Gagnon & Céline Gimet, 2023. "Financially sustainable optimal currency areas," Post-Print hal-04165420, HAL.
- Lloyd, Simon & Fernández-Gallardo, Álvaro & Manuel, Ed, 2023.
"The transmission of macroprudential policy in the tails: evidence from a narrative approach,"
ESRB Working Paper Series
145, European Systemic Risk Board.
- Fernández-Gallardo, Álvaro & Lloyd, Simon & Manuel, Ed, 2023. "The transmission of macroprudential policy in the tails: evidence from a narrative approach," Bank of England working papers 1027, Bank of England.
- Tihana Škrinjarić, 2023. "Macroprudential stance assessment: problems of measurement, literature review and some comments for the case of Croatia," Working Papers 72, The Croatian National Bank, Croatia.
- Skouralis, Alexandros, 2021. "The role of systemic risk spillovers in the transmission of Euro Area monetary policy," ESRB Working Paper Series 129, European Systemic Risk Board.
- Lara Coulier & Selien De Schryder, 2022.
"Assessing the Effects of Borrower-Based Macroprudential Policy on Credit in the EU Using Intensity-Based Indices,"
Working Papers of Faculty of Economics and Business Administration, Ghent University, Belgium
22/1044, Ghent University, Faculty of Economics and Business Administration.
- Coulier, Lara & De Schryder, Selien, 2024. "Assessing the effects of borrower-based macroprudential policy on credit in the EU using intensity-based indices," Journal of International Money and Finance, Elsevier, vol. 142(C).
- Efthymios Pavlidis & Ivan Paya & David Alan Peel & Alisa Yevgenyevna Yusupova, 2017.
"Exuberance in the U.K. Regional Housing Markets,"
Working Papers
168117137, Lancaster University Management School, Economics Department.
Cited by:
- Pavlidis, Efthymios & Martínez-García, Enrique & Grossman, Valerie, 2019.
"Detecting periods of exuberance: A look at the role of aggregation with an application to house prices,"
Economic Modelling, Elsevier, vol. 80(C), pages 87-102.
- Valerie Grossman & Enrique Martínez García & Efthymios Pavlidis, 2017. "Detecting Periods of Exuberance: A Look at the Role of Aggregation with an Application to House Prices," Globalization Institute Working Papers 325, Federal Reserve Bank of Dallas.
- Xie, Zixiong & Chen, Shyh-Wei & Wu, An-Chi, 2019. "Asymmetric adjustment, non-linearity and housing price bubbles: New international evidence," The North American Journal of Economics and Finance, Elsevier, vol. 50(C).
- Taufiq Choudhry, 2020. "Economic Policy Uncertainty and House Prices: Evidence from Geographical Regions of England and Wales," Real Estate Economics, American Real Estate and Urban Economics Association, vol. 48(2), pages 504-529, June.
- Iancu Laura Andreea & Croicu Andreea Elena & Rogojan Luana Cristina, 2023. "An Investigation on Real Estate Market Dynamics and Bubble Formation Modeling," Proceedings of the International Conference on Business Excellence, Sciendo, vol. 17(1), pages 1603-1616, July.
- Valerie Grossman & Enrique Martínez García, 2018.
"Explosive Dynamics in House Prices? An Exploration of Financial Market Spillovers in Housing Markets Around the World,"
Globalization Institute Working Papers
342, Federal Reserve Bank of Dallas.
- Martínez-García, Enrique & Grossman, Valerie, 2020. "Explosive dynamics in house prices? An exploration of financial market spillovers in housing markets around the world," Journal of International Money and Finance, Elsevier, vol. 101(C).
- Pavlidis, Efthymios & Martínez-García, Enrique & Grossman, Valerie, 2019.
"Detecting periods of exuberance: A look at the role of aggregation with an application to house prices,"
Economic Modelling, Elsevier, vol. 80(C), pages 87-102.
- Trino-Manuel Ñíguez & Ivan Paya & David Peel & Javier Perote, 2015.
"Higher-order risk preferences, constant relative risk aversion and the optimal portfolio allocation,"
Working Papers
1520, Banco de España.
Cited by:
- Ñíguez, Trino-Manuel & Paya, Ivan & Peel, David, 2016. "Pure higher-order effects in the portfolio choice model," Finance Research Letters, Elsevier, vol. 19(C), pages 255-260.
- Ñíguez, Trino-Manuel & Perote, Javier, 2016.
"Multivariate moments expansion density: Application of the dynamic equicorrelation model,"
Journal of Banking & Finance, Elsevier, vol. 72(S), pages 216-232.
- Trino-Manuel Ñíguez & Javier Perote, 2016. "Multivariate moments expansion density: application of the dynamic equicorrelation model," Working Papers 1602, Banco de España.
- Efthymios Pavlidis & Alisa Yusupova & Ivan Paya & David Peel & Enrique Martinez-Garcia & Adrienne Mack & Valerie Crossman, 2014.
"Episodes of exuberance in housing markets,"
Working Papers
64908732, Lancaster University Management School, Economics Department.
Cited by:
- Silvio Contessi & Pierangelo De Pace & Massimo Guidolin, 2020.
"Mildly Explosive Dynamics in U.S. Fixed Income Markets,"
Working Papers
667, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University.
- Contessi, Silvio & De Pace, Pierangelo & Guidolin, Massimo, "undated". "Mildly Explosive Dynamics in U.S. Fixed Income Markets," Economics Department, Working Paper Series 1001, Economics Department, Pomona College, revised 12 Feb 2020.
- Contessi, Silvio & De Pace, Pierangelo & Guidolin, Massimo, 2020. "Mildly explosive dynamics in U.S. fixed income markets," European Journal of Operational Research, Elsevier, vol. 287(2), pages 712-724.
- Silvio Contessi & Pierangelo De Pace & Massimo Guidolin, 2017. "Mildly Explosive Dynamics in U.S. Fixed Income Markets," Globalization Institute Working Papers 324, Federal Reserve Bank of Dallas.
- Jose Eduardo Gomez-Gonzalez & Juliana Gamboa-Arbeláez & Jorge Hirs-Garzón & Andrés Pinchao-Rosero, 2018.
"When Bubble Meets Bubble: Contagion in OECD Countries,"
The Journal of Real Estate Finance and Economics, Springer, vol. 56(4), pages 546-566, May.
- Jose Eduardo Gomez-Gonzalez & Juliana Gamboa-Arbeláez & Jorge Hirs-Garzón & Andrés Pinchao-Rosero, 2016. "When Bubble Meets Bubble: Contagion in OECD Countries," Borradores de Economia 942, Banco de la Republica de Colombia.
- Engsted, Tom & Hviid, Simon J. & Pedersen, Thomas Q., 2016.
"Explosive bubbles in house prices? Evidence from the OECD countries,"
Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 40(C), pages 14-25.
- Tom Engsted & Simon J. Hviid & Thomas Q. Pedersen, 2015. "Explosive bubbles in house prices? Evidence from the OECD countries," CREATES Research Papers 2015-01, Department of Economics and Business Economics, Aarhus University.
- André K. Anundsen & Frank Hansen & Karsten Gerdrup & Kasper Kragh-Sørensen, 2014.
"Bubbles and crises: The role of house prices and credit,"
Working Paper
2014/14, Norges Bank.
- André K. Anundsen & Karsten Gerdrup & Frank Hansen & Kasper Kragh‐Sørensen, 2016. "Bubbles and Crises: The Role of House Prices and Credit," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 31(7), pages 1291-1311, November.
- Tsangyao Chang & Luis Gil-Alana & Goodness C. Aye & Rangan Gupta & Omid Ranjbar, 2016. "Testing for bubbles in the BRICS stock markets," Journal of Economic Studies, Emerald Group Publishing Limited, vol. 43(4), pages 646-660, September.
- Kennedy, Gerard & O'Brien, Eoin & Woods, Maria, 2016. "Assessing the sustainability of Irish residential property prices: 1980Q1-2016Q2," Economic Letters 11/EL/16, Central Bank of Ireland.
- Rafiq Ahmed & Syed Tehseen Jawaid & Samina Khalil, 2021. "Bubble Detection in Housing Market: Evidence From a Developing Country," SAGE Open, , vol. 11(2), pages 21582440211, April.
- Philip Inyeob Ji & Glenn Otto, 2015. "Explosive Behaviour in Australian Housing Markets: Rational Bubbles or Not?," Discussion Papers 2015-27, School of Economics, The University of New South Wales.
- Sara Ferreira Filipe, 2018. "Housing prices and mortgage credit in Luxembourg," BCL working papers 117, Central Bank of Luxembourg.
- Efthymios Pavlidis & Ivan Paya & Alex Skouralis, 2019.
"House Prices, (Un)Affordability and Systemic Risk,"
Working Papers
266072868, Lancaster University Management School, Economics Department.
- Efthymios Pavlidis & Ivan Paya & Alexandros Skouralis, 2021. "House prices, (un)affordability and systemic risk," New Zealand Economic Papers, Taylor & Francis Journals, vol. 55(1), pages 105-123, January.
- Virtanen, Timo & Tölö, Eero & Virén, Matti & Taipalus, Katja, 2018. "Can bubble theory foresee banking crises?," Journal of Financial Stability, Elsevier, vol. 36(C), pages 66-81.
- Robert N. Killins, 2020. "Real estate prices and banking performance: evidence from Canada," Journal of Economics and Finance, Springer;Academy of Economics and Finance, vol. 44(1), pages 78-98, January.
- Jose E. Gomez-Gonzalez & Jair N. Ojeda-Joya & Juan P. Franco & Jhon E. Torres, 2017. "Asset Price Bubbles: Existence, Persistence and Migration," South African Journal of Economics, Economic Society of South Africa, vol. 85(1), pages 52-67, March.
- Martijn (M.I.) Droes & Ryan van Lamoen & Simona Mattheussens, 2017. "Quantitative Easing and Exuberance in Government Bond Markets: Evidence from the ECB's Expanded Assets Purchase Program," Tinbergen Institute Discussion Papers 17-080/IV, Tinbergen Institute.
- Silvio Contessi & Pierangelo De Pace & Massimo Guidolin, 2020.
"Mildly Explosive Dynamics in U.S. Fixed Income Markets,"
Working Papers
667, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University.
- Yamin Ahmad & Ivan Paya, 2014.
"Temporal Aggregation of Random Walk Processes and Implications for Asset Prices,"
Working Papers
14-01, UW-Whitewater, Department of Economics.
Cited by:
- Ahmad, Yamin & Craighead, William D., 2011.
"Temporal aggregation and purchasing power parity persistence,"
Journal of International Money and Finance, Elsevier, vol. 30(5), pages 817-830, September.
- Yamin Ahmad & William Craighead, 2010. "Temporal Aggregation and Purchasing Power Parity Persistence," Working Papers 10-01, UW-Whitewater, Department of Economics, revised Feb 2011.
- Yamin Ahmad & William D. Craighead, 2011. "Temporal Aggregation and Purchasing Power Parity Persistence," Wesleyan Economics Working Papers 2011-001, Wesleyan University, Department of Economics.
- Jesús Otero & Theodore Panagiotidis & Georgios Papapanagiotou, 2021. "Testing for exuberance in house prices using data sampled at different frequencies," Working Paper series 21-13, Rimini Centre for Economic Analysis.
- Ahmad, Yamin & Craighead, William D., 2011.
"Temporal aggregation and purchasing power parity persistence,"
Journal of International Money and Finance, Elsevier, vol. 30(5), pages 817-830, September.
- Valerie Grossman & Adrienne Mack & Enrique Martínez García & Efthymios Pavlidis & Ivan Paya & David Peel & Alisa Yusupova, 2013.
"Episodes of Exuberance in Housing Markets: In Search of the Smoking Gun,"
Globalization Institute Working Papers
165, Federal Reserve Bank of Dallas.
- Efthymios Pavlidis & Alisa Yusupova & Ivan Paya & David Peel & Enrique Martínez-García & Adrienne Mack & Valerie Grossman, 2016. "Episodes of Exuberance in Housing Markets: In Search of the Smoking Gun," The Journal of Real Estate Finance and Economics, Springer, vol. 53(4), pages 419-449, November.
Cited by:
- Pavlidis, Efthymios & Martínez-García, Enrique & Grossman, Valerie, 2019.
"Detecting periods of exuberance: A look at the role of aggregation with an application to house prices,"
Economic Modelling, Elsevier, vol. 80(C), pages 87-102.
- Valerie Grossman & Enrique Martínez García & Efthymios Pavlidis, 2017. "Detecting Periods of Exuberance: A Look at the Role of Aggregation with an Application to House Prices," Globalization Institute Working Papers 325, Federal Reserve Bank of Dallas.
- Silvio Contessi & Pierangelo De Pace & Massimo Guidolin, 2020.
"Mildly Explosive Dynamics in U.S. Fixed Income Markets,"
Working Papers
667, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University.
- Contessi, Silvio & De Pace, Pierangelo & Guidolin, Massimo, "undated". "Mildly Explosive Dynamics in U.S. Fixed Income Markets," Economics Department, Working Paper Series 1001, Economics Department, Pomona College, revised 12 Feb 2020.
- Contessi, Silvio & De Pace, Pierangelo & Guidolin, Massimo, 2020. "Mildly explosive dynamics in U.S. fixed income markets," European Journal of Operational Research, Elsevier, vol. 287(2), pages 712-724.
- Silvio Contessi & Pierangelo De Pace & Massimo Guidolin, 2017. "Mildly Explosive Dynamics in U.S. Fixed Income Markets," Globalization Institute Working Papers 324, Federal Reserve Bank of Dallas.
- Yang Hu, 2023. "A review of Phillips‐type right‐tailed unit root bubble detection tests," Journal of Economic Surveys, Wiley Blackwell, vol. 37(1), pages 141-158, February.
- Hertrich Markus, 2019.
"A Novel Housing Price Misalignment Indicator for Germany,"
German Economic Review, De Gruyter, vol. 20(4), pages 759-794, December.
- Markus Hertrich, 2019. "A Novel Housing Price Misalignment Indicator for Germany," German Economic Review, Verein für Socialpolitik, vol. 20(4), pages 759-794, November.
- Hertrich, Markus, 2019. "A novel housing price misalignment indicator for Germany," Discussion Papers 31/2019, Deutsche Bundesbank.
- Wang, Wen-Kai & Lin, Che-Chun & Tsai, I-Chun, 2022. "Long- and short-term price behaviors in presale housing markets in Taiwan," Economic Analysis and Policy, Elsevier, vol. 74(C), pages 350-364.
- Ghassen El Montasser & Rangan Gupta & Charl Jooste & Stephen M. Miller, 2015.
"The Time-Series Linkages between US Fiscal Policy and Asset Prices,"
Working Papers
201519, University of Pretoria, Department of Economics.
- Ghassen El Montasser & Rangan Gupta & Charl Jooste & Stephen M. Miller, 2016. "The time-series linkages between US fiscal policy and asset prices," Working papers 2016-15, University of Connecticut, Department of Economics.
- Ghassen El Montasser & Rangan Gupta & Jooste Charl & Stephen M. Miller, 2020. "The Time-series Linkages between US Fiscal Policy and Asset Prices," Public Finance Review, , vol. 48(3), pages 303-339, May.
- Floro, Danvee, 2019. "Testing the predictive ability of house price bubbles for macroeconomic performance: A meta-analytic approach," International Review of Financial Analysis, Elsevier, vol. 62(C), pages 164-181.
- Shuping Shi & Peter C.B. Phillips, 2020.
"Diagnosing Housing Fever with an Econometric Thermometer,"
Cowles Foundation Discussion Papers
2248, Cowles Foundation for Research in Economics, Yale University.
- Shuping Shi & Peter C.B. Phillips, 2023. "Diagnosing housing fever with an econometric thermometer," Journal of Economic Surveys, Wiley Blackwell, vol. 37(1), pages 159-186, February.
- Shuping Shi & Peter C B Phillips, 2020. "Diagnosing housing fever with an econometric thermometer," CAMA Working Papers 2020-43, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
- Jose E. Gomez-Gonzalez & Jorge Hirs-Garzón & Sebastián Sanin-Restrepo & Jorge M. Uribe, 2024.
"Financial and Macroeconomic Uncertainties and Real Estate Markets,"
Eastern Economic Journal, Palgrave Macmillan;Eastern Economic Association, vol. 50(1), pages 29-53, January.
- Jose E. Gomez-Gonzalez & Jorge Hirs-Garzón & Sebastián Sanin-Restrepo & Jorge M. Uribe, 2021. ""Financial and Macroeconomic Uncertainties and Real Estate Markets"," IREA Working Papers 202105, University of Barcelona, Research Institute of Applied Economics, revised Mar 2021.
- Jose Eduardo Gomez-Gonzalez & Juliana Gamboa-Arbeláez & Jorge Hirs-Garzón & Andrés Pinchao-Rosero, 2018.
"When Bubble Meets Bubble: Contagion in OECD Countries,"
The Journal of Real Estate Finance and Economics, Springer, vol. 56(4), pages 546-566, May.
- Jose Eduardo Gomez-Gonzalez & Juliana Gamboa-Arbeláez & Jorge Hirs-Garzón & Andrés Pinchao-Rosero, 2016. "When Bubble Meets Bubble: Contagion in OECD Countries," Borradores de Economia 942, Banco de la Republica de Colombia.
- Evren Ceritoglu & Seyit Mumin Cilasun & Ufuk Demiroglu & Aytul Ganioglu, 2019.
"An analysis to detect exuberance and implosion in regional house prices in Turkey,"
Central Bank Review, Research and Monetary Policy Department, Central Bank of the Republic of Turkey, vol. 19(2), pages 67-82.
- Evren Ceritoglu & Seyit Mumin Cilasun & Ufuk Demiroglu & Aytul Ganioglu, 2019. "An Analysis to Detect Exuberance and Implosion in Regional House Prices in Turkey," Working Papers 1919, Research and Monetary Policy Department, Central Bank of the Republic of Turkey.
- André K. Anundsen & Frank Hansen & Karsten Gerdrup & Kasper Kragh-Sørensen, 2014.
"Bubbles and crises: The role of house prices and credit,"
Working Paper
2014/14, Norges Bank.
- André K. Anundsen & Karsten Gerdrup & Frank Hansen & Kasper Kragh‐Sørensen, 2016. "Bubbles and Crises: The Role of House Prices and Credit," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 31(7), pages 1291-1311, November.
- Md Shahedur R. Chowdhury & Damian S. Damianov & Diego Escobari, 2024. "Price Exuberance and Contagion across Housing Markets: Evidence from US Metropolitan Areas," The Journal of Real Estate Finance and Economics, Springer, vol. 69(1), pages 132-163, July.
- Gomis-Porqueras, Pedro & Shi, Shuping & Tan, David, 2022.
"Gold as a financial instrument,"
Journal of Commodity Markets, Elsevier, vol. 27(C).
- Gomis-Porqueras, Pedro & Shi, Shuping & Tan, David, 2020. "Gold as a Financial Instrument," MPRA Paper 102782, University Library of Munich, Germany.
- Escobari, Diego & Garcia, Sergio & Mellado, Cristhian, 2017.
"Identifying bubbles in Latin American equity markets: Phillips-Perron-based tests and linkages,"
Emerging Markets Review, Elsevier, vol. 33(C), pages 90-101.
- Escobari, Diego & Garcia, Sergio & Mellado, Cristhian, 2017. "Identifying Bubbles in Latin American Equity Markets: Phillips-Perron-based Tests and Linkages," MPRA Paper 81453, University Library of Munich, Germany.
- Peter C. B. Phillips & Shuping Shi, 2019.
"Detecting Financial Collapse and Ballooning Sovereign Risk,"
Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 81(6), pages 1336-1361, December.
- Peter C. B. Phillips, 2017. "Detecting Financial Collapse and Ballooning Sovereign Risk," Cowles Foundation Discussion Papers 2110, Cowles Foundation for Research in Economics, Yale University.
- Petre Caraiani & Adrian C. Călin & Rangan Gupta, 2021.
"Monetary policy and bubbles in US REITs,"
International Review of Finance, International Review of Finance Ltd., vol. 21(2), pages 675-687, June.
- Petre Caraiani & Adrian Cantemir Călin & Rangan Gupta, 2018. "Monetary Policy and Bubbles in US REITs," Working Papers 201845, University of Pretoria, Department of Economics.
- Tsai, I-Chun & Chiang, Shu-Hen, 2019. "Exuberance and spillovers in housing markets: Evidence from first- and second-tier cities in China," Regional Science and Urban Economics, Elsevier, vol. 77(C), pages 75-86.
- Efthymios Pavlidis & Ivan Paya & David Alan Peel & Alisa Yevgenyevna Yusupova, 2017. "Exuberance in the U.K. Regional Housing Markets," Working Papers 168117137, Lancaster University Management School, Economics Department.
- Steenkamp, Daan, 2018.
"Explosiveness in G11 currencies,"
Economic Modelling, Elsevier, vol. 68(C), pages 388-408.
- Daan Steenkamp, 2017. "Explosiveness in G11 currencies," Reserve Bank of New Zealand Discussion Paper Series DP2017/02, Reserve Bank of New Zealand.
- Wei-Fong Pan, 2019. "Detecting bubbles in China’s regional housing markets," Empirical Economics, Springer, vol. 56(4), pages 1413-1432, April.
- Andria C. Evripidou & David I. Harvey & Stephen J. Leybourne & Robert Sollis, 2022. "Testing for Co‐explosive Behaviour in Financial Time Series," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 84(3), pages 624-650, June.
- Tomás Caravello & Zacharias Psaradakis & Martín Sola, 2021.
"Rational Bubbles: Too Many to be True?,"
Department of Economics Working Papers
2021_06, Universidad Torcuato Di Tella.
- Martin Sola, 2023. "Rational Bubbles: Too Many to be True?," Working Papers 240, Red Nacional de Investigadores en Economía (RedNIE).
- Caravello, Tomas E. & Psaradakis, Zacharias & Sola, Martin, 2023. "Rational bubbles: Too many to be true?," Journal of Economic Dynamics and Control, Elsevier, vol. 151(C).
- Pavlidis, Efthymios G. & Vasilopoulos, Kostas, 2020. "Speculative bubbles in segmented markets: Evidence from Chinese cross-listed stocks," Journal of International Money and Finance, Elsevier, vol. 109(C).
- Wang, Xichen & Yan, Ji (Karena) & Yan, Cheng & Gozgor, Giray, 2021. "Emerging stock market exuberance and international short-term flows," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 75(C).
- Shuping Shi, 2016.
"Speculative bubbles or market fundamentals? An investigation of US regional housing markets,"
CAMA Working Papers
2016-46, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
- Shi, Shuping, 2017. "Speculative bubbles or market fundamentals? An investigation of US regional housing markets," Economic Modelling, Elsevier, vol. 66(C), pages 101-111.
- Hudepohl, Tom & van Lamoen, Ryan & de Vette, Nander, 2021. "Quantitative easing and exuberance in stock markets: Evidence from the euro area," Journal of International Money and Finance, Elsevier, vol. 118(C).
- Kurmaş Akdoğan, 2019. "Size and sign asymmetries in house price adjustments," Applied Economics, Taylor & Francis Journals, vol. 51(48), pages 5268-5281, October.
- André, Christophe & Caraiani, Petre & Călin, Adrian Cantemir & Gupta, Rangan, 2022.
"Can monetary policy lean against housing bubbles?,"
Economic Modelling, Elsevier, vol. 110(C).
- Christophe André & Petre Caraiani & Adrian Cantemir Čalin & Rangan Gupta, 2018. "Can Monetary Policy Lean against Housing Bubbles?," Working Papers 201877, University of Pretoria, Department of Economics.
- Xie, Zixiong & Chen, Shyh-Wei & Wu, An-Chi, 2019. "Asymmetric adjustment, non-linearity and housing price bubbles: New international evidence," The North American Journal of Economics and Finance, Elsevier, vol. 50(C).
- Konstantin A. Kholodilin & Claus Michelsen, 2019.
"Zehn Jahre nach dem großen Knall: wie ist es um die Stabilität der internationalen Immobilienmärkte bestellt? [Ten years after a Big Bang: How stable are the international housing markets?],"
Zeitschrift für Immobilienökonomie (German Journal of Real Estate Research), Springer;Gesellschaft für Immobilienwirtschaftliche Forschung e. V., vol. 5(1), pages 67-87, November.
- Kholodilin, Konstantin A. & Michelsen, Claus, 2019. "Zehn Jahre nach dem großen Knall: wie ist es um die Stabilität der internationalen Immobilienmärkte bestellt?," EconStor Open Access Articles and Book Chapters, ZBW - Leibniz Information Centre for Economics, vol. 5(1), pages 67-87.
- Konstantin A. Kholodilin & Sebastian Kohl & Florian Müller, 2023. "Government-Made House Price Bubbles? Austerity, Homeownership, Rental, and Credit Liberalization Policies and the “Irrational Exuberance” on Housing Markets," Discussion Papers of DIW Berlin 2061, DIW Berlin, German Institute for Economic Research.
- Beckers, Benjamin, 2015.
"The real-time predictive content of asset price bubbles for macro forecasts,"
VfS Annual Conference 2015 (Muenster): Economic Development - Theory and Policy
112852, Verein für Socialpolitik / German Economic Association.
- Benjamin Beckers, 2015. "The Real-Time Predictive Content of Asset Price Bubbles for Macro Forecasts," Discussion Papers of DIW Berlin 1496, DIW Berlin, German Institute for Economic Research.
- Itamar Caspi, 2015.
"Testing for a housing bubble at the national and regional level: the case of Israel,"
Globalization Institute Working Papers
246, Federal Reserve Bank of Dallas.
- Itamar Caspi, 2015. "Testing for a Housing Bubble at the National and Regional Level: The Case of Israel," Bank of Israel Working Papers 2015.05, Bank of Israel.
- Contessi, Silvio & De Pace, Pierangelo, 2021.
"The international spread of COVID-19 stock market collapses,"
Finance Research Letters, Elsevier, vol. 42(C).
- Contessi, Silvio & De Pace, Pierangelo, 2020. "The International Spread of COVID-19 Stock Market Collapses," Economics Department, Working Paper Series 1013, Economics Department, Pomona College, revised 25 Jun 2020.
- Jean-Louis Bago & Imad Rherrad & Koffi Akakpo & Ernest Ouédraogo, 2022. "An Empirical Investigation on Bubbles Contagion in Scandinavian Real Estate Markets," Businesses, MDPI, vol. 2(1), pages 1-8, March.
- Emily J. Whitehouse & David I. Harvey & Stephen J. Leybourne, 2023.
"Real‐Time Monitoring of Bubbles and Crashes,"
Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 85(3), pages 482-513, June.
- Whitehouse, E. J. & Harvey, D. I. & Leybourne, S. J., 2022. "Real-time monitoring of bubbles and crashes," Working Papers 2022007, The University of Sheffield, Department of Economics.
- Gu, Yiquan & Lord, Alexander & Eika, Anders & Dethier, Perrine & Samsura, D. Ary A. & Nordahl, Berit Irene & Sommervoll, Dag Einar & van der Krabben, Erwin & Halleux, Jean-Marie, 2021. "Fair shares? Advancing land economics through cooperative game theory," Land Use Policy, Elsevier, vol. 106(C).
- Ayesha Liaqat & Mian Sajid Nazir & Iftikhar Ahmad, 2019. "Identification of multiple stock bubbles in an emerging market: application of GSADF approach," Economic Change and Restructuring, Springer, vol. 52(3), pages 301-326, August.
- Panagiotis Petris & George Dotsis & Panayotis Alexakis, 2022. "Bubble tests in the London housing market: A borough level analysis," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 27(1), pages 1044-1063, January.
- Rafiq Ahmed & Syed Tehseen Jawaid & Samina Khalil, 2021. "Bubble Detection in Housing Market: Evidence From a Developing Country," SAGE Open, , vol. 11(2), pages 21582440211, April.
- Tsai, I-Chun, 2019. "Dynamic price–volume causality in the American housing market: A signal of market conditions," The North American Journal of Economics and Finance, Elsevier, vol. 48(C), pages 385-400.
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Scandinavian Journal of Economics, Wiley Blackwell, vol. 121(4), pages 1587-1619, October.
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Globalization Institute Working Papers
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- Lina Cortés & Juan M. Lozada & Javier Perote, 2020.
"Firm size and economic concentration: An analysis from lognormal expansion,"
Documentos de Trabajo de Valor Público
18185, Universidad EAFIT.
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"Measuring firm size distribution with semi-nonparametric densities,"
Documentos de Trabajo de Valor Público
15300, Universidad EAFIT.
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- Lina M. Cortés & Javier Perote & Andrés Mora-Valencia, 2016.
"The productivity of top researchers: A semi-nonparametric approach,"
Documentos de Trabajo de Valor Público
14437, Universidad EAFIT.
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"A New Test for Rational Speculative Bubbles using Forward Exchange Rates: The Case of the Interwar German Hyperinflation,"
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Economic Modelling, Elsevier, vol. 68(C), pages 388-408.
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SFB 649 Discussion Papers
2013-012, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
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- Bettendorf, Timo & Chen, Wenjuan, 2013. "Are there bubbles in the Sterling-dollar exchange rate? New evidence from sequential ADF tests," Economics Letters, Elsevier, vol. 120(2), pages 350-353.
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Working Papers
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"Forecasting Monetary Policy Rules in South Africa,"
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611194, Lancaster University Management School, Economics Department.
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"Financial Stress Indicator Variables and Monetary Policy in South Africa,"
Journal of Economics Bibliography, KSP Journals, vol. 3(2), pages 203-214, June.
- Leroi Raputsoane, 2014. "Financial Stress Indicator Variables and Monetary Policy in South Africa," Working Papers 443, Economic Research Southern Africa.
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- Naraidoo, Ruthira & Paya, Ivan, 2012.
"Forecasting monetary policy rules in South Africa,"
International Journal of Forecasting, Elsevier, vol. 28(2), pages 446-455.
- R Naraidoo & I Paya, 2010. "Forecasting Monetary Policy Rules in South Africa," Working Papers 611194, Lancaster University Management School, Economics Department.
- Adeola Oyenubi, 2019. "Who benefits from being self-employed in urban Ghana?," Working Papers 189, Economic Research Southern Africa.
- Luchelle Soobyah & Mulalo Mamburu & Nicola Viegi, 2023.
"Is South Africa falling into a fiscal dominant regime,"
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11046, South African Reserve Bank.
- Luchelle Soobyah & Mulalo Mamburu & Nicola Viegi, 2023. "IsSouthAfricafallingintoafiscaldominantregime," Working Papers 11041, South African Reserve Bank.
- Ellyne, Mark & Veller, Carl, 2011. "What is the SARB's inflation targeting policy, and is it appropriate?," MPRA Paper 42134, University Library of Munich, Germany.
- Piergallini, Alessandro, 2018.
"Nonlinear Policy Behavior, Multiple Equilibria and Debt-Deflation Attractors,"
MPRA Paper
88336, University Library of Munich, Germany.
- Alessandro Piergallini, 2019. "Nonlinear policy behavior, multiple equilibria and debt-deflation attractors," Journal of Evolutionary Economics, Springer, vol. 29(2), pages 563-580, April.
- Tumisang Loate & Ekaterina Pirozhkova & Nicola Viegi, 2021. "Sailing into the Wind evaluating the near future of Monetary Policy in South Africa," Working Papers 11006, South African Reserve Bank.
- Mehmet Balcilar & Rangan Gupta & Kevin Kotze, 2016.
"Forecasting South African Macroeconomic Variables with a Markov-Switching Small Open-Economy Dynamic Stochastic General Equilibrium Model,"
School of Economics Macroeconomic Discussion Paper Series
2016-05, School of Economics, University of Cape Town.
- Mehmet Balcilar & Rangan Gupta & Kevin Kotze, 2016. "Forecasting South African Macroeconomic Variables with a Markov-Switching Small Open-Economy Dynamic Stochastic General Equilibrium Model," Working Papers 201603, University of Pretoria, Department of Economics.
- Mehmet Balcilar & Rangan Gupta & Kevin Kotzé, 2017. "Forecasting South African macroeconomic variables with a Markov-switching small open-economy dynamic stochastic general equilibrium model," Empirical Economics, Springer, vol. 53(1), pages 117-135, August.
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"The lean versus clean debate and monetary policy in South Africa,"
MPRA Paper
68123, University Library of Munich, Germany.
- Leroi RAPUTSOANE, 2015. "The lean versus clean debate and monetary policy in South Africa," Journal of Economics and Political Economy, KSP Journals, vol. 2(4), pages 467-480, December.
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"Financial Globalisation, Monetary Policy Spillovers and Macro-modelling: Tales from 1001 Shocks,"
Globalization Institute Working Papers
314, Federal Reserve Bank of Dallas.
- Georgiadis, Georgios & Jančoková, Martina, 2020. "Financial globalisation, monetary policy spillovers and macro-modelling: Tales from 1001 shocks," Journal of Economic Dynamics and Control, Elsevier, vol. 121(C).
- Georgiadis, Georgios & Jančoková, Martina, 2017. "Financial globalisation, monetary policy spillovers and macro-modelling: tales from 1001 shocks," Working Paper Series 2082, European Central Bank.
- Georgios Georgiadis & Martina Jancokova, 2017. "Financial Globalisation, Monetary Policy Spillovers and Macro-modelling: Tales from 1001 Shocks," GRU Working Paper Series GRU_2017_008, City University of Hong Kong, Department of Economics and Finance, Global Research Unit.
- Ruthira Naraidoo & Leroi Raputsoane, 2013.
"Financial markets and the response of monetary policy to uncertainty in South Africa,"
Working Papers
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- Ruthira Naraidoo & Leroi Raputsoane, 2015. "Financial markets and the response of monetary policy to uncertainty in South Africa," Empirical Economics, Springer, vol. 49(1), pages 255-278, August.
- Laban K. Chesang & Ruthira Naraidoo, 2014.
"Parameter Uncertainty and Inflation Dynamics in a Model with Asymmetric Central Bank Preferences,"
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- Chesang, Laban K. & Naraidoo, Ruthira, 2016. "Parameter uncertainty and inflation dynamics in a model with asymmetric central bank preferences," Economic Modelling, Elsevier, vol. 56(C), pages 1-10.
- Njindan Iyke, Bernard, 2017. "Asymmetries in Yield Curves: Some Empirical Evidence from Ghana," MPRA Paper 79155, University Library of Munich, Germany.
- Kasai, Ndahiriwe & Naraidoo, Ruthira, 2011. "Evaluating the forecasting performance of linear and nonlinear monetary policy rules for South Africa," MPRA Paper 40699, University Library of Munich, Germany.
- Raputsoane, Leroi, 2018. "Targeting financial stress as opposed to the exchange rate," MPRA Paper 84865, University Library of Munich, Germany.
- Davide Debortoli & Ricardo Nunes, 2014. "Monetary Regime Switches and Central Bank Preferences," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 46(8), pages 1591-1626, December.
- Ma, Yong, 2016. "Nonlinear monetary policy and macroeconomic stabilization in emerging market economies: Evidence from China," Economic Systems, Elsevier, vol. 40(3), pages 461-480.
- Philippe Burger, 2014. "Inflation and Market Uncertainty in South Africa," South African Journal of Economics, Economic Society of South Africa, vol. 82(4), pages 583-602, December.
- Ruthira Naraidoo & Ivan Paya, 2010.
"Forecasting Monetary Rules in South Africa,"
Working Papers
201007, University of Pretoria, Department of Economics.
Cited by:
- Leroi RAPUTSOANE, 2016.
"Financial Stress Indicator Variables and Monetary Policy in South Africa,"
Journal of Economics Bibliography, KSP Journals, vol. 3(2), pages 203-214, June.
- Leroi Raputsoane, 2014. "Financial Stress Indicator Variables and Monetary Policy in South Africa," Working Papers 443, Economic Research Southern Africa.
- Ellyne, Mark & Veller, Carl, 2011. "What is the SARB's inflation targeting policy, and is it appropriate?," MPRA Paper 42134, University Library of Munich, Germany.
- Leroi RAPUTSOANE, 2016.
"Financial Stress Indicator Variables and Monetary Policy in South Africa,"
Journal of Economics Bibliography, KSP Journals, vol. 3(2), pages 203-214, June.
- E Pavlidis & I Paya & D Peel, 2009.
"Specifying Smooth Transition Regression Models in the Presence of Conditional Heteroskedasticity of Unknown Form,"
Working Papers
599040, Lancaster University Management School, Economics Department.
- Pavlidis Efthymios G & Paya Ivan & Peel David A, 2010. "Specifying Smooth Transition Regression Models in the Presence of Conditional Heteroskedasticity of Unknown Form," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 14(3), pages 1-40, May.
Cited by:
- Daiki Maki & Yasushi Ota, 2019. "Robust tests for ARCH in the presence of the misspecified conditional mean: A comparison of nonparametric approches," Papers 1907.12752, arXiv.org, revised Sep 2019.
- Daiki Maki, 2015. "Wild bootstrap tests for unit root in ESTAR models," Statistical Methods & Applications, Springer;Società Italiana di Statistica, vol. 24(3), pages 475-490, September.
- Gabriel Zsurkis & JoÃo Nicolau & Paulo M. M. Rodrigues, 2021.
"A Re‐Examination of Inflation Persistence Dynamics in OECD Countries: A New Approach,"
Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 83(4), pages 935-959, August.
- Paulo M.M. Rodrigues & Gabriel Zsurkis, 2019. "A reexamination of inflation persistence dynamics in OECD countries: A new approach," Working Papers w201909, Banco de Portugal, Economics and Research Department.
- Claude Diebolt & Mohamed Chikhi, 2021.
"Testing The Weak Form Efficiency Of The French Etf Market With Lstar-Anlstgarch Approach Using A Semiparametric Estimation,"
Working Papers
09-21, Association Française de Cliométrie (AFC).
- Mohamed Chikhi & Claude Diebolt, 2022. "Testing the weak form efficiency of the French ETF market with the LSTAR-ANLSTGARCH approach using a semiparametric estimation," Post-Print hal-03778331, HAL.
- Mohamed CHIKHI & Claude DIEBOLT, 2021. "Testing The Weak Form Efficiency Of The French Etf Market With Lstar-Anlstgarch Approach Using A Semiparametric Estimation," Working Papers of BETA 2021-36, Bureau d'Economie Théorique et Appliquée, UDS, Strasbourg.
- Mohamed CHIKHI & Claude DIEBOLT, 2022. "Testing the weak form efficiency of the French ETF market with the LSTAR-ANLSTGARCH approach using a semiparametric estimation," Eastern Journal of European Studies, Centre for European Studies, Alexandru Ioan Cuza University, vol. 13, pages 228-253, June.
- Daiki Maki & Yasushi Ota, 2021. "Testing for Time-Varying Properties Under Misspecified Conditional Mean and Variance," Computational Economics, Springer;Society for Computational Economics, vol. 57(4), pages 1167-1182, April.
- Maki, Daiki, 2015. "Wild bootstrap testing for cointegration in an ESTAR error correction model," Economic Modelling, Elsevier, vol. 47(C), pages 292-298.
- Mohamed Chikhi & Claude Diebolt, 2019.
"Testing Nonlinearity through a Logistic Smooth Transition AR Model with Logistic Smooth Transition GARCH Errors,"
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03-19, Association Française de Cliométrie (AFC).
- Mohamed Chikhi & Claude Diebolt, 2019. "Testing Nonlinearity through a Logistic Smooth Transition AR Model with Logistic Smooth Transition GARCH Errors," Working Papers of BETA 2019-06, Bureau d'Economie Théorique et Appliquée, UDS, Strasbourg.
- Sahin, Afsin, 2013.
"Estimating Money Demand Function by a Smooth Transition Regression Model: An Evidence for Turkey,"
MPRA Paper
46851, University Library of Munich, Germany.
- Afsin Sahin, 2013. "Estimating Money Demand Function by a Smooth Transition Regression Model: An Evidence for Turkey," Working Papers 791, Economic Research Forum, revised Nov 2013.
- Daiki Maki & Yasushi Ota, 2019. "Testing for time-varying properties under misspecified conditional mean and variance," Papers 1907.12107, arXiv.org, revised Aug 2019.
- Pavlidis Efthymios G. & Paya Ivan & Peel David A., 2013. "Nonlinear causality tests and multivariate conditional heteroskedasticity: a simulation study," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 17(3), pages 297-312, May.
- Efthymios Pavlidis & Ivan Paya & David Peel, 2010. "Further empirical evidence on the consumption-real exchange rate anomaly," Working Papers 447022, Lancaster University Management School, Economics Department.
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"Bubbles in House Prices and their Impact on Consumption: Evidence for the US,"
Working Papers
601552, Lancaster University Management School, Economics Department.
Cited by:
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"Do House Prices Impact Consumption and Interest Rate?: Evidence from OECD Countries Using an Agnostic Identification Procedure,"
OECD Economics Department Working Papers
947, OECD Publishing.
- Christophe Andre & Rangan Gupta & Patrick T. Kanda, 2012. "Do House Prices Impact Consumption and Interest Rate? Evidence from OECD Countries using an Agnostic Identification Procedure," Applied Economics Quarterly (formerly: Konjunkturpolitik), Duncker & Humblot, Berlin, vol. 58(1), pages 19-70.
- Christophe Andre & Rangan Gupta & Patrick T. Kanda, 2011. "Do House Prices Impact Consumption and Interest Rate? Evidence from OECD Countries using an Agnostic Identification Procedure," Working Papers 201118, University of Pretoria, Department of Economics.
- Vittorio Peretti & Rangan Gupta & Roula Inglesi-Lotz, 2012. "Do House Prices Impact Consumption and Interest Rate in South Africa? Evidence from a Time-Varying Vector Autoregressive Model," Working Papers 201216, University of Pretoria, Department of Economics.
- Mehmet Balcilar & Rangan Gupta & Stephen M. Miller, 2012.
"The Out-of-Sample Forecasting Performance of Non-Linear Models of Regional Housing Prices in the US,"
Working papers
2012-12, University of Connecticut, Department of Economics.
- Mehmet Balcilar & Rangan Gupta & Stephen M. Miller, 2012. "The Out-of-Sample Forecasting Performance of Non-Linear Models of Regional Housing Prices in the US," Working Papers 201226, University of Pretoria, Department of Economics.
- Mehmet Balcilar & Rangan Gupta & Stephen M. Miller, 2012. "The Out-of-Sample Forecasting Performance of Non-Linear Models of Regional Housing Prices in the US," Working Papers 1209, University of Nevada, Las Vegas , Department of Economics.
- Mehmet Balcilar & Rangan Gupta & Stephen M. Miller, 2015. "The out-of-sample forecasting performance of nonlinear models of regional housing prices in the US," Applied Economics, Taylor & Francis Journals, vol. 47(22), pages 2259-2277, May.
- Mehmet Balcilar & Rangan Gupta & Stephen M. Miller, 2012. "The Out-of-Sample Forecasting Performance of Non-Linear Models of Regional Housing Prices in the US," Working Papers 15-27, Eastern Mediterranean University, Department of Economics.
- Maria Christidou & Panagiotis Konstantinou, 2011. "Housing Market and the Transmission of Monetary Policy: Evidence from U.S. States," Discussion Paper Series 2011_14, Department of Economics, University of Macedonia, revised Sep 2011.
- Tsangyao Chang & Wen-Chi Liu & Goodness C. Aye & Rangan Gupta, 2016.
"Are there housing bubbles in South Africa? Evidence from SPSM-based panel KSS test with a Fourier function,"
Global Business and Economics Review, Inderscience Enterprises Ltd, vol. 18(5), pages 517-532.
- Tsangyao Chang & Wen-Chi Liu & Goodness C. Aye & Rangan Gupta, 2013. "Are there Housing Bubbles in South Africa? Evidence from SPSM-Based Panel KSS Test with a Fourier Function," Working Papers 201377, University of Pretoria, Department of Economics.
- Ogonna Nneji & Chris Brooks & Charles Ward, 2011. "Intrinsic and Rational Speculative Bubbles in the U.S. Housing Market 1960-2009," ICMA Centre Discussion Papers in Finance icma-dp2011-01, Henley Business School, University of Reading.
- Mehmet Balcilar & Rangan Gupta & Zahra Shah, 2010.
"An In-Sample and Out-of-Sample Empirical Investigation of the Nonlinearity in House Prices of South Africa,"
Working Papers
201008, University of Pretoria, Department of Economics.
- Balcilar, Mehmet & Gupta, Rangan & Shah, Zahra B., 2011. "An in-sample and out-of-sample empirical investigation of the nonlinearity in house prices of South Africa," Economic Modelling, Elsevier, vol. 28(3), pages 891-899, May.
- Gupta, Rangan & Modise, Mampho P., 2013.
"Macroeconomic Variables and South African Stock Return Predictability,"
Economic Modelling, Elsevier, vol. 30(C), pages 612-622.
- Rangan Gupta & Mampho P. Modise, 2011. "Macroeconomic Variables and South African Stock Return Predictability," Working Papers 201107, University of Pretoria, Department of Economics.
- Beatrice D. Simo-Kengne & Rangan Gupta & Manoel Bittencourt, 2012.
"THE IMPACT OF HOUSE PRICES ON CONSUMPTION IN SOUTH AFRICA: EVIDENCE FROM PROVINCIAL-LEVEL PANEL VARs,"
Working Papers
201211, University of Pretoria, Department of Economics.
- Beatrice D. Simo-Kengne & Rangan Gupta & Manoel Bittencourt, 2013. "The Impact of House Prices on Consumption in South Africa: Evidence from Provincial-Level Panel VARs," Housing Studies, Taylor & Francis Journals, vol. 28(8), pages 1133-1154, November.
- Rangan Gupta & Mampho P. Modise, 2010.
"South African Stock Return Predictability in the Context of Data Mining: The Role of Financial Variables and International Stock Returns,"
Working Papers
201027, University of Pretoria, Department of Economics.
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"Financial Market Liberalization, Monetary Policy, and Housing Price Dynamics,"
Working Papers
201009, University of Pretoria, Department of Economics.
- Rangan Gupta & Stephen M. Miller & Dylan van Wyk, 2010. "Financial Market Liberalization, Monetary Policy, and Housing Price Dynamics," Working papers 2010-06, University of Connecticut, Department of Economics.
- Musso, Alberto & Neri, Stefano & Stracca, Livio, 2010.
"Housing, consumption and monetary policy: how different are the US and the euro area?,"
Working Paper Series
1161, European Central Bank.
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- Alberto Musso & Stefano Neri & Livio Stracca, 2011. "Housing, consumption and monetary policy: how different are the U.S. and the euro area?," Temi di discussione (Economic working papers) 807, Bank of Italy, Economic Research and International Relations Area.
- Njindan Iyke, Bernard, 2015. "Assessing the Effects of Housing Market Shocks on Output: The Case of South Africa," MPRA Paper 69610, University Library of Munich, Germany, revised 01 Feb 2016.
- Christophe André & Rangan Gupta & Patrick T. Kanda, 2012.
"Do House Prices Impact Consumption and Interest Rate?: Evidence from OECD Countries Using an Agnostic Identification Procedure,"
OECD Economics Department Working Papers
947, OECD Publishing.
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"ESTAR model with multiple fixed points. Testing and Estimation,"
Working Papers
599093, Lancaster University Management School, Economics Department.
Cited by:
- Kotz Hans-Helmut & Semmler Willi & Tahri Ibrahim, 2018. "Financial fragmentation and the monetary transmission mechanism in the euro area: a smooth transition VAR approach," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 22(5), pages 1-19, December.
- Si Mohammed, Kamel & Chérif touil, Noreddine & Maliki, Samir, 2015. "An Empirical Test of Purchasing Power Parity of the Algerian Exchange Rate: Evidence from Panel Dynamic," MPRA Paper 75285, University Library of Munich, Germany.
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"Linkages between Shanghai and Hong Kong stock indices,"
Working Papers
599248, Lancaster University Management School, Economics Department.
- Shenqiu Zhang & Ivan Paya & David Peel, 2009. "Linkages between Shanghai and Hong Kong stock indices," Applied Financial Economics, Taylor & Francis Journals, vol. 19(23), pages 1847-1857.
Cited by:
- Gregory C Chow & Changjiang Liu & Linlin Niu, 2013.
"Co-movements of Shanghai and New York Stock Prices by Time-varying Regressions,"
Working Papers
2013-10-14, Wang Yanan Institute for Studies in Economics (WISE), Xiamen University.
- Chow, Gregory C. & Liu, Changjiang & Niu, Linlin, 2011. "Co-movements of Shanghai and New York Stock prices by time-varying regressions," BOFIT Discussion Papers 16/2011, Bank of Finland Institute for Emerging Economies (BOFIT).
- Chow, Gregory C. & Liu, Changjiang & Niu, Linlin, 2011. "Co-movements of Shanghai and New York stock prices by time-varying regressions," Journal of Comparative Economics, Elsevier, vol. 39(4), pages 577-583.
- Sunil S. Poshakwale & Anandadeep Mandal, 2017. "Sources of time varying return comovements during different economic regimes: evidence from the emerging Indian equity market," Review of Quantitative Finance and Accounting, Springer, vol. 48(4), pages 859-892, May.
- Jan F. Kiviet & Zhenxi Chen, 2018. "A Critical Appraisal of Studies Analyzing Co-movement of International Stock Markets," Annals of Economics and Finance, Society for AEF, vol. 19(1), pages 151-196, May.
- Zhenxi CHEN & Jan F. KIVIET & Weihong Huang, 2014. "Hong Kong: A Bridge Connecting Mainland China and the International Market," Economic Growth Centre Working Paper Series 1406, Nanyang Technological University, School of Social Sciences, Economic Growth Centre.
- Wu, Weiou & Lau, Marco Chi Keung & Vigne, Samuel A., 2017. "Modelling asymmetric conditional dependence between Shanghai and Hong Kong stock markets," Research in International Business and Finance, Elsevier, vol. 42(C), pages 1137-1149.
- Jan F. Kiviet, 2016.
"Discriminating between (in)valid external instruments and (in)valid exclusion restrictions,"
Economic Growth Centre Working Paper Series
1508, Nanyang Technological University, School of Social Sciences, Economic Growth Centre.
- Jan F. Kiviet, 2015. "Discriminating between (in)valid external instruments and (in)valid exclusion restrictions," UvA-Econometrics Working Papers 15-04, Universiteit van Amsterdam, Dept. of Econometrics.
- Kiviet Jan F., 2017. "Discriminating between (in)valid External Instruments and (in)valid Exclusion Restrictions," Journal of Econometric Methods, De Gruyter, vol. 6(1), pages 1-9, January.
- Thomas C. Chiang & Lanjun Lao & Qingfeng Xue, 2016. "Comovements between Chinese and global stock markets: evidence from aggregate and sectoral data," Review of Quantitative Finance and Accounting, Springer, vol. 47(4), pages 1003-1042, November.
- Alexandridis, G. & Sahoo, S. & Visvikis, I., 2017. "Economic information transmissions and liquidity between shipping markets: New evidence from freight derivatives," Transportation Research Part E: Logistics and Transportation Review, Elsevier, vol. 98(C), pages 82-104.
- Luke Lin & Wen-Yuan Lin, 2018. "Does the major market influence transfer? Alternative effect on Asian stock markets," Review of Quantitative Finance and Accounting, Springer, vol. 50(4), pages 1169-1200, May.
- Zhenxi Chen & Jan F. Kiviet & Weihong Huang, 2015. "On the integration of China's main stock exchange with the international financial market," Economic Growth Centre Working Paper Series 1505, Nanyang Technological University, School of Social Sciences, Economic Growth Centre.
- Zhou, Xinmiao & Qian, Huanhuan & Pérez-Rodríguez, Jorge. V. & González López-Valcárcel, Beatriz, 2020. "Risk dependence and cointegration between pharmaceutical stock markets: The case of China and the USA," The North American Journal of Economics and Finance, Elsevier, vol. 52(C).
- Jan F. Kiviet & Zhenxi Chen, 2016. "A critical appraisal of studies analyzing co-movement of international stock markets with a focus on East-Asian indices," Economic Growth Centre Working Paper Series 1606, Nanyang Technological University, School of Social Sciences, Economic Growth Centre.
- Raza, Hamid & Wu, Weiou, 2018. "Quantile dependence between the stock, bond and foreign exchange markets – Evidence from the UK," The Quarterly Review of Economics and Finance, Elsevier, vol. 69(C), pages 286-296.
- E Pavlidis & I Paya & D Peel, 2009.
"Forecasting the Real Exchange Rate using a Long Span of Data. A Rematch: Linear vs Nonlinear,"
Working Papers
601190, Lancaster University Management School, Economics Department.
Cited by:
- Yoon, Gawon, 2010. "Do real exchange rates really follow threshold autoregressive or exponential smooth transition autoregressive models?," Economic Modelling, Elsevier, vol. 27(2), pages 605-612, March.
- E Pavlidis & I Paya & D Peel, 2009.
"Real Exchange Rates and Time-Varying Trade Costs,"
Working Papers
600537, Lancaster University Management School, Economics Department.
- Pavlidis, Efthymios G. & Paya, Ivan & Peel, David A., 2011. "Real exchange rates and time-varying trade costs," Journal of International Money and Finance, Elsevier, vol. 30(6), pages 1157-1179, October.
Cited by:
- Robert Kelm, 2017. "The Purchasing Power Parity Puzzle and Imperfect Knowledge: The Case of the Polish Zloty," Central European Journal of Economic Modelling and Econometrics, Central European Journal of Economic Modelling and Econometrics, vol. 9(1), pages 1-27, March.
- Chaubal Aditi, 2020. "Exchange rates in India: current account monetarism in a nonlinear context," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 24(5), pages 1-27, December.
- Adrian Marek Burda & Blazej Mazur & Mateusz Pawel Pipien, 2017. "Forecasting EUR/PLN Exchange Rate: the Role of Purchasing Power Parity Hypothesis in ESTVEC Models," Dynamic Econometric Models, Uniwersytet Mikolaja Kopernika, vol. 17, pages 97-114.
- Janice Boucher Breuer & Vikram Kumar & Shyam Gouri Suresh, 2014.
"Inter-Temporal Purchasing Power Parity,"
Working Papers
14-10, Davidson College, Department of Economics.
- Janice Breuer & Vikram Kumar & Shyam Suresh, 2015. "Inter-Temporal Purchasing Power Parity," Open Economies Review, Springer, vol. 26(5), pages 869-891, November.
- Daniel Buncic, 2019.
"Identification and Estimation Issues in Exponential Smooth Transition Autoregressive Models,"
Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 81(3), pages 667-685, June.
- Buncic, Daniel, 2017. "Identification and Estimation issues in Exponential Smooth Transition Autoregressive Models," Working Paper Series 344, Sveriges Riksbank (Central Bank of Sweden).
- José María Serrano & María Dolores Gadea & Marcela Sabaté, 2016. "Lost in intervention. The Harrod--Balassa--Samuelson effect on the peseta/dollar real exchange rate (1870--1998)," Applied Economics Letters, Taylor & Francis Journals, vol. 23(14), pages 1012-1017, September.
- Nicolau João, 2011. "Purchasing Power Parity Analyzed from a Continuous-Time Model," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 15(3), pages 1-26, May.
- Hwa-Taek Lee & Gawon Yoon, 2013. "Does purchasing power parity hold sometimes? Regime switching in real exchange rates," Applied Economics, Taylor & Francis Journals, vol. 45(16), pages 2279-2294, June.
- Efthymios Pavlidis & Nicos Pavlidis, 2012. "Dynamic Estimation of Trade Costs from Real Exchange Rates," Working Papers 21883757, Lancaster University Management School, Economics Department.
- Lim, Eun Son & Breuer, Janice Boucher, 2019. "Free trade agreements and market integration: Evidence from South Korea," Journal of International Money and Finance, Elsevier, vol. 90(C), pages 241-256.
- Maria Eleftheriou & Nikolas A. Müller-Plantenberg, 2018. "The Purchasing Power Parity Fallacy: Time to Reconsider the PPP Hypothesis," Open Economies Review, Springer, vol. 29(3), pages 481-515, July.
- Nobay, A. Robert & Paya, Ivan & Peel, David A., 2007.
"Inflation dynamics in the US - a nonlinear perspective,"
LSE Research Online Documents on Economics
24499, London School of Economics and Political Science, LSE Library.
- Bob Nobay & Ivan Paya & David A. Peel, 2007. "Inflation Dynamics in the US -A Nonlinear Perspective," FMG Discussion Papers dp601, Financial Markets Group.
Cited by:
- Tierney, Heather L.R., 2011.
"Real-time data revisions and the PCE measure of inflation,"
Economic Modelling, Elsevier, vol. 28(4), pages 1763-1773, July.
- Tierney, Heather L.R., 2010. "Real-Time Data Revisions and the PCE Measure of Inflation," MPRA Paper 22387, University Library of Munich, Germany, revised Apr 2010.
- Tierney, Heather L.R., 2010. "Real-Time Data Revisions and the PCE Measure of Inflation," MPRA Paper 20625, University Library of Munich, Germany.
- Carlos Usabiaga & Diego Romero-Ávila, 2012. "New Disaggregate Evidence on Spanish Inflation Persistence," EcoMod2012 3800, EcoMod.
- Diego Romero-Ávila & Carlos Usabiaga, 2012. "Disaggregate evidence on Spanish inflation persistence," Applied Economics, Taylor & Francis Journals, vol. 44(23), pages 3029-3046, August.
- I Paya & A Duarte & K Holden, 2006.
"On the relationship between inflation persistence and temporal aggregation,"
Working Papers
578936, Lancaster University Management School, Economics Department.
- Ivan Paya & Agustin Duarte & Ken Holden, 2007. "On the Relationship between Inflation Persistence and Temporal Aggregation," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 39(6), pages 1521-1531, September.
- Ivan Paya & Agustin Duarte & Ken Holden, 2007. "On the Relationship between Inflation Persistence and Temporal Aggregation," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 39(6), pages 1521-1531, September.
Cited by:
- Mankiw, N. Gregory & Reis, Ricardo, 2002.
"Sticky Information Versus Sticky Prices: A Proposal to Replace the New Keynesian Phillips Curve,"
Scholarly Articles
3415324, Harvard University Department of Economics.
- N. Gregory Mankiw & Ricardo Reis, 2001. "Sticky Information Versus Sticky Prices: A Proposal to Replace the New Keynesian Phillips Curve," NBER Working Papers 8290, National Bureau of Economic Research, Inc.
- N. Gregory Mankiw & Ricardo Reis, 2002. "Sticky Information versus Sticky Prices: A Proposal to Replace the New Keynesian Phillips Curve," The Quarterly Journal of Economics, President and Fellows of Harvard College, vol. 117(4), pages 1295-1328.
- N. Gregory Mankiw & Ricardo Reis, 2001. "Sticky Information Versus Sticky Prices: A Proposal to Replace the New Keynesian Phillips Curve," Harvard Institute of Economic Research Working Papers 1922, Harvard - Institute of Economic Research.
- N. Gregory Mankiw & Ricardo Reis, 2001. "Sticky information versus sticky prices: a proposal to replace the New-Keynesian Phillips curve," Proceedings, Federal Reserve Bank of San Francisco, issue Jun.
- Erdenebat Bataa & Denise R. Osborn & Marianne Sensier & Dick van Dijk, 2008.
"Identifying Changes in Mean, Seasonality, Persistence and Volatility for G7 and Euro Area Inflation,"
Centre for Growth and Business Cycle Research Discussion Paper Series
109, Economics, The University of Manchester.
- Erdenebat Bataa & Denise R. Osborn & Marianne Sensier & Dick van Dijk, 2014. "Identifying Changes in Mean, Seasonality, Persistence and Volatility for G7 and Euro Area Inflation," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 76(3), pages 360-388, June.
- Kiefer, David, 2015. "Targets and lags in a two-equation model of US stabilization," Economic Modelling, Elsevier, vol. 44(C), pages 18-24.
- Çiçek, Serkan & Akar, Cüneyt, 2013. "The asymmetry of inflation adjustment in Turkey," Economic Modelling, Elsevier, vol. 31(C), pages 104-118.
- Hassler, Uwe & Hosseinkouchack, Mehdi, 2014. "Effect of the order of fractional integration on impulse responses," Economics Letters, Elsevier, vol. 125(2), pages 311-314.
- Uwe Hassler, 2011.
"Estimation of fractional integration under temporal aggregation,"
Post-Print
hal-00815563, HAL.
- Hassler, Uwe, 2011. "Estimation of fractional integration under temporal aggregation," Journal of Econometrics, Elsevier, vol. 162(2), pages 240-247, June.
- Hassler, Uwe, 2014. "Persistence under temporal aggregation and differencing," Economics Letters, Elsevier, vol. 124(2), pages 318-322.
- Tianfeng Li & June Wei, 2015. "Multiple Structural Breaks and Inflation Persistence: Evidence from China," Asian Economic Journal, East Asian Economic Association, vol. 29(1), pages 1-20, March.
- Bob Nobay & Ivan Paya & David A. Peel, 2010.
"Inflation Dynamics in the U.S.: Global but Not Local Mean Reversion,"
Journal of Money, Credit and Banking, Blackwell Publishing, vol. 42(1), pages 135-150, February.
- Bob Nobay & Ivan Paya & David A. Peel, 2010. "Inflation Dynamics in the U.S.: Global but Not Local Mean Reversion," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 42(1), pages 135-150, February.
- Giovanni Caggiano & Efrem Castelnuovo, 2008. "Long Memory and Non-Linearities in International Inflation," "Marco Fanno" Working Papers 0076, Dipartimento di Scienze Economiche "Marco Fanno".
- Ahmad Yamin S & Paya Ivan, 2020. "Temporal aggregation of random walk processes and implications for economic analysis," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 24(2), pages 1-20, April.
- Lenin Arango-Castillo & Francisco J. Martínez-Ramírez & María José Orraca, 2024. "Univariate Measures of Persistence: A Comparative Analysis," Working Papers 2024-11, Banco de México.
- I Paya & D Peel, 2006.
"On the relationship between Nominal Exchange Rates and domestic and foreign prices,"
Working Papers
577409, Lancaster University Management School, Economics Department.
- Ivan Paya & David Peel, 2007. "On the relationship between nominal exchange rates and domestic and foreign prices," Applied Financial Economics, Taylor & Francis Journals, vol. 17(2), pages 105-117.
Cited by:
- I Paya & D Peel, 2005. "Temporal aggregation of an ESTAR process," Working Papers 565938, Lancaster University Management School, Economics Department.
- McMillan, David G., 2009. "The confusing time-series behaviour of real exchange rates: Are asymmetries important?," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 19(4), pages 692-711, October.
- Ivan Paya & David A. Peel, 2004.
"Temporal Aggregation Of An Estar Process: Some Implications For Purchasing Power Parity Adjustment,"
Working Papers. Serie AD
2004-25, Instituto Valenciano de Investigaciones Económicas, S.A. (Ivie).
- Ivan Paya & David A. Peel, 2006. "Temporal aggregation of an ESTAR process: some implications for purchasing power parity adjustment," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 21(5), pages 655-668, July.
- David A. Peel & Ivan Paya, 2006. "Temporal aggregation of an ESTAR process: some implications for purchasing power parity adjustment," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 21(5), pages 655-668.
- Grossmann, Axel & McMillan, David G., 2010. "Forecasting exchange rates: Non-linear adjustment and time-varying equilibrium," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 20(4), pages 436-450, October.
- John Beirne, 2012. "The long-run convergence of exchange rates and prices in the European Union," International Review of Applied Economics, Taylor & Francis Journals, vol. 26(3), pages 367-385, April.
- I Paya & D Peel, 2005.
"Temporal aggregation of an ESTAR process,"
Working Papers
565938, Lancaster University Management School, Economics Department.
Cited by:
- Soubarna Pal, 2011. "Productivity Differential and Bilateral Real Exchange Rate between India and US," Journal of Quantitative Economics, The Indian Econometric Society, vol. 9(1), pages 146-155.
- Ivan Paya & David A. Peel, 2005.
"A New Analysis Of The Determinants Of The Real Dollar-Sterling Exchange Rate: 1871-1994,"
Working Papers. Serie AD
2005-16, Instituto Valenciano de Investigaciones Económicas, S.A. (Ivie).
- I Paya & D Peel, 2005. "A new analysis of the determinants of the real dollar-sterling exchange rate: 1871-1994," Working Papers 565953, Lancaster University Management School, Economics Department.
Cited by:
- JamesR. Lothian & MarkP. Taylor, 2008.
"Real Exchange Rates Over the Past Two Centuries: How Important is the Harrod-Balassa-Samuelson Effect?,"
Economic Journal, Royal Economic Society, vol. 118(532), pages 1742-1763, October.
- Lothian, James R. & Taylor, Mark P., 2006. "Real Exchange Rates Over the Past Two Centuries : How Important is the Harrod-Balassa-Samuelson Effect?," The Warwick Economics Research Paper Series (TWERPS) 768, University of Warwick, Department of Economics.
- James R. Lothian & Mark P. Taylor, 2008. "Real Exchange Rates Over the Past Two Centuries: How Important is the Harrod‐Balassa‐Samuelson Effect?," Economic Journal, Royal Economic Society, vol. 118(532), pages 1742-1763, October.
- Lothian, James R. & Taylor, Mark P., 2006. "Real Exchange Rates Over the Past Two Centuries: How Important is the Harrod-Balassa-Samuelson Effect?," Economic Research Papers 269738, University of Warwick - Department of Economics.
- I Paya & D Peel, 2005. "Temporal aggregation of an ESTAR process," Working Papers 565938, Lancaster University Management School, Economics Department.
- Ivan Paya & David A. Peel, 2004.
"Temporal Aggregation Of An Estar Process: Some Implications For Purchasing Power Parity Adjustment,"
Working Papers. Serie AD
2004-25, Instituto Valenciano de Investigaciones Económicas, S.A. (Ivie).
- Ivan Paya & David A. Peel, 2006. "Temporal aggregation of an ESTAR process: some implications for purchasing power parity adjustment," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 21(5), pages 655-668, July.
- David A. Peel & Ivan Paya, 2006. "Temporal aggregation of an ESTAR process: some implications for purchasing power parity adjustment," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 21(5), pages 655-668.
- Ahmad, Yamin & Lo, Ming Chien & Mykhaylova, Olena, 2013.
"Volatility and persistence of simulated DSGE real exchange rates,"
Economics Letters, Elsevier, vol. 119(1), pages 38-41.
- Yamin Ahmad & Ming Chien Lo & Olena Mykhaylova, 2011. "Volatility and Persistence of Simulated DSGE Real Exchange Rates," Working Papers 11-01, UW-Whitewater, Department of Economics, revised Nov 2012.
- E Pavlidis & I Paya & D Peel, 2009.
"Real Exchange Rates and Time-Varying Trade Costs,"
Working Papers
600537, Lancaster University Management School, Economics Department.
- Pavlidis, Efthymios G. & Paya, Ivan & Peel, David A., 2011. "Real exchange rates and time-varying trade costs," Journal of International Money and Finance, Elsevier, vol. 30(6), pages 1157-1179, October.
- Ahmad, Yamin & Craighead, William D., 2011.
"Temporal aggregation and purchasing power parity persistence,"
Journal of International Money and Finance, Elsevier, vol. 30(5), pages 817-830, September.
- Yamin Ahmad & William Craighead, 2010. "Temporal Aggregation and Purchasing Power Parity Persistence," Working Papers 10-01, UW-Whitewater, Department of Economics, revised Feb 2011.
- Yamin Ahmad & William D. Craighead, 2011. "Temporal Aggregation and Purchasing Power Parity Persistence," Wesleyan Economics Working Papers 2011-001, Wesleyan University, Department of Economics.
- Pavlidis Efthymios G & Paya Ivan & Peel David A, 2010.
"Specifying Smooth Transition Regression Models in the Presence of Conditional Heteroskedasticity of Unknown Form,"
Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 14(3), pages 1-40, May.
- E Pavlidis & I Paya & D Peel, 2009. "Specifying Smooth Transition Regression Models in the Presence of Conditional Heteroskedasticity of Unknown Form," Working Papers 599040, Lancaster University Management School, Economics Department.
- I A Venetis & I Paya & D Peel, 2009. "ESTAR model with multiple fixed points. Testing and Estimation," Working Papers 599093, Lancaster University Management School, Economics Department.
- Ivan Paya & David A. Peel, 2005.
"The Process Followed By Ppp Data. On The Properties Of Linearity Tests,"
Working Papers. Serie AD
2005-23, Instituto Valenciano de Investigaciones Económicas, S.A. (Ivie).
- Ivan Paya & David Peel, 2005. "The process followed by PPP data. On the properties of linearity tests," Applied Economics, Taylor & Francis Journals, vol. 37(21), pages 2515-2522.
Cited by:
- Bevilacqua, Franco, 2006. "Random walks and cointegration relationships in international parity conditions between Germany and USA for the Bretton-Woods period," MERIT Working Papers 2006-016, United Nations University - Maastricht Economic and Social Research Institute on Innovation and Technology (MERIT).
- Gawon Yoon, 2010. "Nonlinear mean-reversion to purchasing power parity: exponential smooth transition autoregressive models and stochastic unit root processes," Applied Economics, Taylor & Francis Journals, vol. 42(4), pages 489-496.
- Yamin Ahmad & Stuart Glosser, 2007.
"Searching for Nonlinearities in Real Exchange Rates?,"
Working Papers
09-01, UW-Whitewater, Department of Economics, revised Jan 2009.
- Yamin Ahmad & Stuart Glosser, 2011. "Searching for nonlinearities in real exchange rates," Applied Economics, Taylor & Francis Journals, vol. 43(15), pages 1829-1845.
- Mohsen Bahmani-Oskooee & Ali Kutan & Su Zhou, 2009. "Towards solving the PPP puzzle: evidence from 113 countries," Applied Economics, Taylor & Francis Journals, vol. 41(24), pages 3057-3066.
- Mohsen Bahmani‐Oskooee & Scott W. Hegerty, 2009. "Purchasing Power Parity In Less‐Developed And Transition Economies: A Review Paper," Journal of Economic Surveys, Wiley Blackwell, vol. 23(4), pages 617-658, September.
- Michael Frömmel & Darko B. Vukovic & Jinyuan Wu, 2022. "The Dollar Exchange Rate, Adjustment to the Purchasing Power Parity, and the Interest Rate Differential," Mathematics, MDPI, vol. 10(23), pages 1-17, November.
- Bevilacqua, Franco, 2006. "Random walks and cointegration relationships in international parity conditions between Germany and USA for the post Bretton-Woods period," MERIT Working Papers 2006-012, United Nations University - Maastricht Economic and Social Research Institute on Innovation and Technology (MERIT).
- Mohsen Bahmani-Oskooee & Omid Ranjbar, 2016. "Quantile unit root test and PPP: evidence from 23 OECD countries," Applied Economics, Taylor & Francis Journals, vol. 48(31), pages 2899-2911, July.
- Sanusi, Aliyu Rafindadi, 2010. "Exchange rate pass-through to consumer prices in Ghana: Evidence from structural vector auto-regression," MPRA Paper 29491, University Library of Munich, Germany.
- Yoon, Gawon, 2010. "Do real exchange rates really follow threshold autoregressive or exponential smooth transition autoregressive models?," Economic Modelling, Elsevier, vol. 27(2), pages 605-612, March.
- Efthymios Pavlidis & Ivan Paya & David Peel, 2010. "Further empirical evidence on the consumption-real exchange rate anomaly," Working Papers 447022, Lancaster University Management School, Economics Department.
- Ivan Paya & David A. Peel, 2004.
"Temporal Aggregation Of An Estar Process: Some Implications For Purchasing Power Parity Adjustment,"
Working Papers. Serie AD
2004-25, Instituto Valenciano de Investigaciones Económicas, S.A. (Ivie).
- Ivan Paya & David A. Peel, 2006. "Temporal aggregation of an ESTAR process: some implications for purchasing power parity adjustment," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 21(5), pages 655-668, July.
- David A. Peel & Ivan Paya, 2006. "Temporal aggregation of an ESTAR process: some implications for purchasing power parity adjustment," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 21(5), pages 655-668.
Cited by:
- I Paya & D Peel, 2005. "Temporal aggregation of an ESTAR process," Working Papers 565938, Lancaster University Management School, Economics Department.
- Ivan Paya & David A. Peel, 2004. "Nonlinear Ppp Under The Gold Standard," Working Papers. Serie AD 2004-24, Instituto Valenciano de Investigaciones Económicas, S.A. (Ivie).
- Ivan Paya & David Peel, 2005.
"The process followed by PPP data. On the properties of linearity tests,"
Applied Economics, Taylor & Francis Journals, vol. 37(21), pages 2515-2522.
- Ivan Paya & David A. Peel, 2005. "The Process Followed By Ppp Data. On The Properties Of Linearity Tests," Working Papers. Serie AD 2005-23, Instituto Valenciano de Investigaciones Económicas, S.A. (Ivie).
- Yamin Ahmad & Ivan Paya, 2014. "Temporal Aggregation of Random Walk Processes and Implications for Asset Prices," Working Papers 14-01, UW-Whitewater, Department of Economics.
- Ivan Paya & David A. Peel, 2004.
"Temporal Aggregation Of An Estar Process: Some Implications For Purchasing Power Parity Adjustment,"
Working Papers. Serie AD
2004-25, Instituto Valenciano de Investigaciones Económicas, S.A. (Ivie).
- Ivan Paya & David A. Peel, 2006. "Temporal aggregation of an ESTAR process: some implications for purchasing power parity adjustment," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 21(5), pages 655-668, July.
- David A. Peel & Ivan Paya, 2006. "Temporal aggregation of an ESTAR process: some implications for purchasing power parity adjustment," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 21(5), pages 655-668.
- Imene Mootamri & Mohamed Boutahar & Anne Peguin-Feissolle, 2008.
"A fractionally integrated exponential STAR model applied to the US real effective exchange rate,"
Post-Print
halshs-00390134, HAL.
- Mohamed Boutahar & Imene Mootamri & Anne Peguin-Feissolle, 2008. "A fractionally integrated exponential STAR model applied to the US real effective exchange rate," Working Papers halshs-00340831, HAL.
- Boutahar, Mohamed & Mootamri, Imène & Péguin-Feissolle, Anne, 2009. "A fractionally integrated exponential STAR model applied to the US real effective exchange rate," Economic Modelling, Elsevier, vol. 26(2), pages 335-341, March.
- Ivan Paya & David A. Peel, 2011. "Systematic sampling of nonlinear models: Evidence on speed of adjustment in index futures markets," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 31(2), pages 192-203, February.
- E Pavlidis & I Paya & D Peel, 2009.
"Real Exchange Rates and Time-Varying Trade Costs,"
Working Papers
600537, Lancaster University Management School, Economics Department.
- Pavlidis, Efthymios G. & Paya, Ivan & Peel, David A., 2011. "Real exchange rates and time-varying trade costs," Journal of International Money and Finance, Elsevier, vol. 30(6), pages 1157-1179, October.
- Juvenal Luciana & Taylor Mark P., 2008.
"Threshold Adjustment of Deviations from the Law of One Price,"
Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 12(3), pages 1-46, September.
- Luciana Juvenal & Mark P. Taylor, 2008. "Threshold adjustment in deviations from the law of one price," Working Papers 2008-027, Federal Reserve Bank of St. Louis.
- Yamin Ahmad & Stuart Glosser, 2007.
"Searching for Nonlinearities in Real Exchange Rates?,"
Working Papers
09-01, UW-Whitewater, Department of Economics, revised Jan 2009.
- Yamin Ahmad & Stuart Glosser, 2011. "Searching for nonlinearities in real exchange rates," Applied Economics, Taylor & Francis Journals, vol. 43(15), pages 1829-1845.
- Derek Stimel, 2010. "Choice of Aggregate Demand Proxy and its Affect on Phillips Curve Nonlinearity: U.S. Evidence," Economics Bulletin, AccessEcon, vol. 30(1), pages 543-557.
- I Paya & D Peel, 2005.
"A new analysis of the determinants of the real dollar-sterling exchange rate: 1871-1994,"
Working Papers
565953, Lancaster University Management School, Economics Department.
- Ivan Paya & David A. Peel, 2005. "A New Analysis Of The Determinants Of The Real Dollar-Sterling Exchange Rate: 1871-1994," Working Papers. Serie AD 2005-16, Instituto Valenciano de Investigaciones Económicas, S.A. (Ivie).
- Ahmad Yamin S & Paya Ivan, 2020. "Temporal aggregation of random walk processes and implications for economic analysis," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 24(2), pages 1-20, April.
- Mohamed Boutahar & Imene Mootamri & Anne Peguin-Feissolle, 2007. "An exponential FISTAR model applied to the US real effective exchange rate," Working Papers halshs-00353836, HAL.
- Ivan Paya & David A. Peel, 2004.
"Nonlinear Ppp Under The Gold Standard,"
Working Papers. Serie AD
2004-24, Instituto Valenciano de Investigaciones Económicas, S.A. (Ivie).
Cited by:
- I Paya & D Peel, 2005. "Temporal aggregation of an ESTAR process," Working Papers 565938, Lancaster University Management School, Economics Department.
- Ivan Paya & David Peel, 2005.
"The process followed by PPP data. On the properties of linearity tests,"
Applied Economics, Taylor & Francis Journals, vol. 37(21), pages 2515-2522.
- Ivan Paya & David A. Peel, 2005. "The Process Followed By Ppp Data. On The Properties Of Linearity Tests," Working Papers. Serie AD 2005-23, Instituto Valenciano de Investigaciones Económicas, S.A. (Ivie).
- Ivan Paya & David A. Peel, 2004.
"Temporal Aggregation Of An Estar Process: Some Implications For Purchasing Power Parity Adjustment,"
Working Papers. Serie AD
2004-25, Instituto Valenciano de Investigaciones Económicas, S.A. (Ivie).
- Ivan Paya & David A. Peel, 2006. "Temporal aggregation of an ESTAR process: some implications for purchasing power parity adjustment," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 21(5), pages 655-668, July.
- David A. Peel & Ivan Paya, 2006. "Temporal aggregation of an ESTAR process: some implications for purchasing power parity adjustment," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 21(5), pages 655-668.
- Ivan Paya & David A. Peel & Ioannis A. Venetis, 2004.
"Asymmetry In The Link Between The Yield Spread And Industrial Production. Threshold Effects And Forecasting,"
Working Papers. Serie AD
2004-41, Instituto Valenciano de Investigaciones Económicas, S.A. (Ivie).
- Ioannis A. Venetis & David A. Peel & Ivan Paya, 2004. "Asymmetry in the link between the yield spread and industrial production: threshold effects and forecasting," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 23(5), pages 373-384.
Cited by:
- Schrimpf, Andreas & Wang, Qingwei, 2010. "A reappraisal of the leading indicator properties of the yield curve under structural instability," International Journal of Forecasting, Elsevier, vol. 26(4), pages 836-857, October.
- Huseyin Kaya, 2013. "On the Predictive Power of Yield Spread for Future Growth and Recession: The Turkish Case," Working Papers 010, Bahcesehir University, Betam, revised Mar 2013.
- Yutaka Kurihara, 2014. "Does High Yield Spread Dampen Economic Growth?: The Case of US-Japan," International Journal of Finance & Banking Studies, Center for the Strategic Studies in Business and Finance, vol. 3(2), pages 01-09, April.
- Giancarlo Bruno, 2009.
"Non-linear relation between industrial production and business surveys data,"
ISAE Working Papers
119, ISTAT - Italian National Institute of Statistics - (Rome, ITALY).
- Bruno, Giancarlo, 2009. "Non-linear relation between industrial production and business surveys data," MPRA Paper 42337, University Library of Munich, Germany.
- Ivan Paya & Agustín Duarte & Ioannis A. Venetis, 2004.
"Predicting Real Growth And The Probability Of Recession In The Euro Area Using The Yield Spread,"
Working Papers. Serie AD
2004-31, Instituto Valenciano de Investigaciones Económicas, S.A. (Ivie).
- Duarte, Agustin & Venetis, Ioannis A. & Paya, Ivan, 2005. "Predicting real growth and the probability of recession in the Euro area using the yield spread," International Journal of Forecasting, Elsevier, vol. 21(2), pages 261-277.
Cited by:
- Christos Agiakloglou & Michalis Gkouvakis & Aggelos Kanas, 2016. "Causality in EU macroeconomic variables," Applied Economics Letters, Taylor & Francis Journals, vol. 23(4), pages 264-277, March.
- Laurent Ferrara & Clément Marsilli, 2012.
"Financial variables as leading indicators of GDP growth: Evidence from a MIDAS approach during the Great Recession,"
Working Papers
hal-04141077, HAL.
- Laurent Ferrara & Cl�ment Marsilli, 2013. "Financial variables as leading indicators of GDP growth: Evidence from a MIDAS approach during the Great Recession," Applied Economics Letters, Taylor & Francis Journals, vol. 20(3), pages 233-237, February.
- Laurent Ferrara & Clément Marsilli, 2013. "Financial variables as leading indicators of GDP growth: Evidence from a MIDAS approach during the Great Recession," Post-Print hal-01385844, HAL.
- Laurent Ferrara & Clément Marsilli, 2012. "Financial variables as leading indicators of GDP growth: Evidence from a MIDAS approach during the Great Recession," EconomiX Working Papers 2012-19, University of Paris Nanterre, EconomiX.
- Jean-Baptiste Hasse & Quentin Lajaunie, 2020.
"Does the Yield Curve Signal Recessions? New Evidence from an International Panel Data Analysis,"
AMSE Working Papers
2013, Aix-Marseille School of Economics, France.
- Hasse, Jean-Baptiste & Lajaunie, Quentin, 2022. "Does the yield curve signal recessions? New evidence from an international panel data analysis," LIDAM Reprints LFIN 2022004, Université catholique de Louvain, Louvain Finance (LFIN).
- Hasse, Jean-Baptiste & Lajaunie, Quentin, 2022. "Does the yield curve signal recessions? New evidence from an international panel data analysis," The Quarterly Review of Economics and Finance, Elsevier, vol. 84(C), pages 9-22.
- Jean-Baptiste Hasse & Quentin Lajaunie, 2022. "Does the yield curve signal recessions? New evidence from an international panel data analysis," Post-Print hal-03740235, HAL.
- Jean-Baptiste Hasse & Quentin Lajaunie, 2020. "Does the Yield Curve Signal Recessions? New Evidence from an International Panel Data Analysis," Working Papers halshs-02549044, HAL.
- Donato Ceci & Andrea Silvestrini, 2023.
"Nowcasting the state of the Italian economy: The role of financial markets,"
Journal of Forecasting, John Wiley & Sons, Ltd., vol. 42(7), pages 1569-1593, November.
- Donato Ceci & Andrea Silvestrini, 2022. "Nowcasting the state of the Italian economy: the role of financial markets," Temi di discussione (Economic working papers) 1362, Bank of Italy, Economic Research and International Relations Area.
- Kajal Lahiri & Cheng Yang, 2022. "ROC approach to forecasting recessions using daily yield spreads," Business Economics, Palgrave Macmillan;National Association for Business Economics, vol. 57(4), pages 191-203, October.
- Dovern, Jonas & Gern, Klaus-Jürgen & Hogrefe, Jens & Scheide, Joachim, 2008. "Euroraum in der Rezession," Open Access Publications from Kiel Institute for the World Economy 28683, Kiel Institute for the World Economy (IfW Kiel).
- Baghestani, Hamid, 2009. "Survey evidence on forecast accuracy of U.S. term spreads," Review of Financial Economics, Elsevier, vol. 18(3), pages 156-162, August.
- Nicholas Apergis & James E. Payne, 2013. "New Evidence on the Information and Predictive Content of the Baltic Dry Index," IJFS, MDPI, vol. 1(3), pages 1-19, July.
- Weiling Liu & Emanuel Moench, 2014.
"What predicts U.S. recessions?,"
Staff Reports
691, Federal Reserve Bank of New York.
- Liu, Weiling & Moench, Emanuel, 2016. "What predicts US recessions?," International Journal of Forecasting, Elsevier, vol. 32(4), pages 1138-1150.
- Galvao, Ana Beatriz & Costa, Sonia, 2013. "Does the euro area forward rate provide accurate forecasts of the short rate?," International Journal of Forecasting, Elsevier, vol. 29(1), pages 131-141.
- Ekaterini Panopoulou, 2006. "The predictive content of financial variables: Evidence from the euro area," The Institute for International Integration Studies Discussion Paper Series iiisdp178, IIIS.
- Kholodilin Konstantin Arkadievich & Siliverstovs Boriss, 2006.
"On the Forecasting Properties of the Alternative Leading Indicators for the German GDP: Recent Evidence,"
Journal of Economics and Statistics (Jahrbuecher fuer Nationaloekonomie und Statistik), De Gruyter, vol. 226(3), pages 234-259, June.
- Konstantin A. Kholodilin & Boriss Siliverstovs, 2005. "On the Forecasting Properties of the Alternative Leading Indicators for the German GDP: Recent Evidence," Discussion Papers of DIW Berlin 522, DIW Berlin, German Institute for Economic Research.
- Kuosmanen, Petri & Vataja, Juuso, 2014. "Forecasting GDP growth with financial market data in Finland: Revisiting stylized facts in a small open economy during the financial crisis," Review of Financial Economics, Elsevier, vol. 23(2), pages 90-97.
- Hogrefe, Jens, 2007. "The yield spread and GDP growth - Time Varying Leading Properties and the Role of Monetary Policy," Economics Working Papers 2007-12, Christian-Albrechts-University of Kiel, Department of Economics.
- Dongfeng Chang & Ryan S. Mattson & Biyan Tang, 2019. "The Predictive Power of the User Cost Spread for Economic Recession in China and the US," IJFS, MDPI, vol. 7(2), pages 1-12, June.
- B. De Backer & M. Deroose & Ch. Van Nieuwenhuyze, 2019. "Is a recession imminent? The signal of the yield curve," Economic Review, National Bank of Belgium, issue i, pages 69-93, June.
- Kajal Lahiri & Cheng Yang, 2023. "A tale of two recession-derivative indicators," Empirical Economics, Springer, vol. 65(2), pages 925-947, August.
- Panopoulou, Ekaterini, 2009. "Financial variables and euro area growth: A non-parametric causality analysis," Economic Modelling, Elsevier, vol. 26(6), pages 1414-1419, November.
- Schrimpf, Andreas & Wang, Qingwei, 2010. "A reappraisal of the leading indicator properties of the yield curve under structural instability," International Journal of Forecasting, Elsevier, vol. 26(4), pages 836-857, October.
- Nissilä, Wilma, 2020. "Probit based time series models in recession forecasting – A survey with an empirical illustration for Finland," BoF Economics Review 7/2020, Bank of Finland.
- Ibarra-Ramírez Raúl, 2021. "The Yield Curve as a Predictor of Economic Activity in Mexico: The Role of the Term Premium," Working Papers 2021-07, Banco de México.
- Jens Boysen-Hogrefe, 2012. "A note on predicting recessions in the euro area using real M1," Economics Bulletin, AccessEcon, vol. 32(2), pages 1291-1301.
- Mr. John C Bluedorn & Mr. Jörg Decressin & Mr. Marco Terrones, 2013.
"Do Asset Price Drops Foreshadow Recessions?,"
IMF Working Papers
2013/203, International Monetary Fund.
- Bluedorn, John C. & Decressin, Jörg & Terrones, Marco E., 2016. "Do asset price drops foreshadow recessions?," International Journal of Forecasting, Elsevier, vol. 32(2), pages 518-526.
- Goodness C. Aye & Christina Christou & Luis A. Gil-Alana & Rangan Gupta, 2016.
"Forecasting the Probability of Recessions in South Africa: The Role of Decomposed Term-Spread and Economic Policy Uncertainty,"
Working Papers
201680, University of Pretoria, Department of Economics.
- Goodness C. Aye & Christina Christou & Luis A. Gil‐Alana & Rangan Gupta, 2019. "Forecasting the Probability of Recessions in South Africa: the Role of Decomposed Term Spread and Economic Policy Uncertainty," Journal of International Development, John Wiley & Sons, Ltd., vol. 31(1), pages 101-116, January.
- Bellégo, C. & Ferrara, L., 2009. "Forecasting Euro-area recessions using time-varying binary response models for financial," Working papers 259, Banque de France.
- Dovern, Jonas & Ziegler, Christina, 2008.
"Predicting growth rates and recessions: assessing US leading indicators under real-time conditions,"
Kiel Working Papers
1397, Kiel Institute for the World Economy (IfW Kiel).
- Jonas Dovern & Christina Ziegler, 2008. "Predicting Growth Rates and Recessions. Assessing U.S. Leading Indicators under Real-Time Condition," Applied Economics Quarterly (formerly: Konjunkturpolitik), Duncker & Humblot, Berlin, vol. 54(4), pages 293-318.
- Junttila, Juha & Vataja, Juuso, 2018. "Economic policy uncertainty effects for forecasting future real economic activity," Economic Systems, Elsevier, vol. 42(4), pages 569-583.
- Kevin Moran & Simplice Aime Nono, 2016. "Using Confidence Data to Forecast the Canadian Business Cycle," Cahiers de recherche 1606, Centre de recherche sur les risques, les enjeux économiques, et les politiques publiques.
- Hamid Baghestani, 2009. "Survey evidence on forecast accuracy of U.S. term spreads," Review of Financial Economics, John Wiley & Sons, vol. 18(3), pages 156-162, August.
- Knut Lehre Seip & Dan Zhang, 2021. "The Yield Curve as a Leading Indicator: Accuracy and Timing of a Parsimonious Forecasting Model," Forecasting, MDPI, vol. 3(2), pages 1-16, May.
- Jörg Döpke & Ulrich Fritsche & Christian Pierdzioch, 2015.
"Predicting Recessions With Boosted Regression Trees,"
Working Papers
2015-004, The George Washington University, Department of Economics, H. O. Stekler Research Program on Forecasting.
- Döpke, Jörg & Fritsche, Ulrich & Pierdzioch, Christian, 2017. "Predicting recessions with boosted regression trees," International Journal of Forecasting, Elsevier, vol. 33(4), pages 745-759.
- Petri Kuosmanen & Juuso Vataja, 2014. "Forecasting GDP growth with financial market data in Finland: Revisiting stylized facts in a small open economy during the financial crisis," Review of Financial Economics, John Wiley & Sons, vol. 23(2), pages 90-97, April.
- Evgenidis, Anastasios & Papadamou, Stephanos & Siriopoulos, Costas, 2020. "The yield spread's ability to forecast economic activity: What have we learned after 30 years of studies?," Journal of Business Research, Elsevier, vol. 106(C), pages 221-232.
- Simeon Coleman & Kavita Sirichand, 2014.
"International yield curve comovements: impact of the recent financial crisis,"
Discussion Paper Series
2014_07, Department of Economics, Loughborough University, revised Jul 2014.
- Kavita Sirichand & Simeon Coleman, 2015. "International yield curve comovements: impact of the recent financial crisis," Applied Economics, Taylor & Francis Journals, vol. 47(43), pages 4561-4573, September.
- Andrea Nobili, 2007. "Assessing the predictive power of financial spreads in the euro area: does parameters instability matter?," Empirical Economics, Springer, vol. 33(1), pages 177-195, July.
- Todd Henry & Peter C.B. Phillips, 2020. "Forecasting Economic Activity Using the Yield Curve: Quasi-Real-Time Applications for New Zealand, Australia and the US," Cowles Foundation Discussion Papers 2259, Cowles Foundation for Research in Economics, Yale University.
- Christophe Bellégo & Laurent Ferrara, 2010.
"A factor-augmented probit model for business cycle analysis,"
EconomiX Working Papers
2010-14, University of Paris Nanterre, EconomiX.
- Christophe Bellégo & Laurent Ferrara, 2010. "A factor-augmented probit model for business cycle analysis," Working Papers hal-04140915, HAL.
- Pirschel, Inske, 2015. "Forecasting Euro Area Recessions in real-time with a mixed-frequency Bayesian VAR," VfS Annual Conference 2015 (Muenster): Economic Development - Theory and Policy 113031, Verein für Socialpolitik / German Economic Association.
- Panopoulou, Ekaterini, 2007. "Predictive financial models of the euro area: A new evaluation test," International Journal of Forecasting, Elsevier, vol. 23(4), pages 695-705.
- Costanza Torricelli & Marianna Brunetti, 2006. "Economic activity and Recession Probabilities: spread predictive power in Italy," Computing in Economics and Finance 2006 350, Society for Computational Economics.
- Dalu Zhang & Peter Moffatt, 2013. "Time series non-linearity in the real growth / recession-term spread relationship," University of East Anglia Applied and Financial Economics Working Paper Series 047, School of Economics, University of East Anglia, Norwich, UK..
- Deniz Sevinc & Edgar Mata Flores, 2021. "Macroeconomic and financial implications of multi‐dimensional interdependencies between OECD countries," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 26(1), pages 741-776, January.
Articles
- Konstantinos Georgalos & Ivan Paya & David Peel, 2023.
"Higher order risk attitudes: new model insights and heterogeneity of preferences,"
Experimental Economics, Springer;Economic Science Association, vol. 26(1), pages 145-192, March.
Cited by:
- Georgalos, Konstantinos & Paya, Ivan & Peel, David, 2024. "The Kőszegi–Rabin expectations-based model and risk-apportionment tasks for elicitation of higher order risk preferences," Journal of Economic Behavior & Organization, Elsevier, vol. 224(C), pages 749-770.
- Ivan Paya & David A. Peel & Konstantinos Georgalos, 2023.
"On the predictions of cumulative prospect theory for third and fourth order risk preferences,"
Theory and Decision, Springer, vol. 95(2), pages 337-359, August.
Cited by:
- Georgalos, Konstantinos & Paya, Ivan & Peel, David, 2024. "The Kőszegi–Rabin expectations-based model and risk-apportionment tasks for elicitation of higher order risk preferences," Journal of Economic Behavior & Organization, Elsevier, vol. 224(C), pages 749-770.
- Georgalos, Konstantinos & Paya, Ivan & Peel, David A., 2021.
"On the contribution of the Markowitz model of utility to explain risky choice in experimental research,"
Journal of Economic Behavior & Organization, Elsevier, vol. 182(C), pages 527-543.
Cited by:
- Konstantinos Georgalos & Ivan Paya & David Peel, 2023. "Higher order risk attitudes: new model insights and heterogeneity of preferences," Experimental Economics, Springer;Economic Science Association, vol. 26(1), pages 145-192, March.
- Ahmad Yamin S & Paya Ivan, 2020.
"Temporal aggregation of random walk processes and implications for economic analysis,"
Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 24(2), pages 1-20, April.
Cited by:
- Jesús Otero & Theodore Panagiotidis & Georgios Papapanagiotou, 2021. "Testing for exuberance in house prices using data sampled at different frequencies," Working Paper series 21-13, Rimini Centre for Economic Analysis.
- Trino-Manuel Ñíguez & Ivan Paya & David Peel & Javier Perote, 2019.
"Flexible distribution functions, higher-order preferences and optimal portfolio allocation,"
Quantitative Finance, Taylor & Francis Journals, vol. 19(4), pages 699-703, April.
Cited by:
- Khaki, Audil & Prasad, Mason & Al-Mohamad, Somar & Bakry, Walid & Vo, Xuan Vinh, 2023. "Re-evaluating portfolio diversification and design using cryptocurrencies: Are decentralized cryptocurrencies enough?," Research in International Business and Finance, Elsevier, vol. 64(C).
- Jules Sadefo Kamdem, 2023. "Risk-Adjusted Performance And Semi-Moments Of Non-Gaussian Portfolio Returns Distributions," Working Papers hal-04134833, HAL.
- Bernard, Carole & De Gennaro Aquino, Luca & Levante, Lucia, 2021. "Optimal annuity demand for general expected utility agents," Insurance: Mathematics and Economics, Elsevier, vol. 101(PA), pages 70-79.
- Kanwal Iqbal Khan & Syed M. Waqar Azeem Naqvi & Muhammad Mudassar Ghafoor & Rana Shahid Imdad Akash, 2020. "Sustainable Portfolio Optimization with Higher-Order Moments of Risk," Sustainability, MDPI, vol. 12(5), pages 1-14, March.
- León, Ángel & Ñíguez, Trino-Manuel, 2020. "Modeling asset returns under time-varying semi-nonparametric distributions," Journal of Banking & Finance, Elsevier, vol. 118(C).
- Jiménez, Inés & Mora-Valencia, Andrés & Perote, Javier, 2023. "Multivariate dynamics between emerging markets and digital asset markets: An application of the SNP-DCC model," Emerging Markets Review, Elsevier, vol. 56(C).
- Carnero, M. Angeles & León, Angel & Ñíguez, Trino-Manuel, 2023. "Skewness in energy returns: estimation, testing and retain-->implications for tail risk," The Quarterly Review of Economics and Finance, Elsevier, vol. 90(C), pages 178-189.
- Efthymios G. Pavlidis & Ivan Paya & David A. Peel, 2018.
"Using Market Expectations to Test for Speculative Bubbles in the Crude Oil Market,"
Journal of Money, Credit and Banking, Blackwell Publishing, vol. 50(5), pages 833-856, August.
Cited by:
- Chen, Cathy Yi-Hsuan & Hafner, Christian, 2019.
"Sentiment-Induced Bubbles in the Cryptocurrency Market,"
LIDAM Reprints ISBA
2019053, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).
- Cathy Yi-Hsuan Chen & Christian M. Hafner, 2019. "Sentiment-Induced Bubbles in the Cryptocurrency Market," JRFM, MDPI, vol. 12(2), pages 1-12, April.
- Zhao, Zhao & Wen, Huwei & Li, Ke, 2021. "Identifying bubbles and the contagion effect between oil and stock markets: New evidence from China," Economic Modelling, Elsevier, vol. 94(C), pages 780-788.
- Basse, Tobias & Klein, Tony & Vigne, Samuel A. & Wegener, Christoph, 2021. "U.S. stock prices and the dot.com-bubble: Can dividend policy rescue the efficient market hypothesis?," Journal of Corporate Finance, Elsevier, vol. 67(C).
- Fernandes, Leonardo H.S. & Araújo, Fernando H.A., 2020. "Taxonomy of commodities assets via complexity-entropy causality plane," Chaos, Solitons & Fractals, Elsevier, vol. 137(C).
- Gkillas, Konstantinos & Manickavasagam, Jeevananthan & Visalakshmi, S., 2022. "Effects of fundamentals, geopolitical risk and expectations factors on crude oil prices," Resources Policy, Elsevier, vol. 78(C).
- Umar, Muhammad & Su, Chi-Wei & Rizvi, Syed Kumail Abbas & Lobonţ, Oana-Ramona, 2021. "Driven by fundamentals or exploded by emotions: Detecting bubbles in oil prices," Energy, Elsevier, vol. 231(C).
- Akanksha Jalan & Roman Matkovskyy & Valerio Potì, 2022.
"Shall the winning last? A study of recent bubbles and persistence,"
Post-Print
hal-03603161, HAL.
- Jalan, Akanksha & Matkovskyy, Roman & Potì, Valerio, 2022. "Shall the winning last? A study of recent bubbles and persistence," Finance Research Letters, Elsevier, vol. 45(C).
- El Montasser, Ghassen & Malek Belhoula, Mohamed & Charfeddine, Lanouar, 2023. "Co-explosivity versus leading effects: Evidence from crude oil and agricultural commodities," Resources Policy, Elsevier, vol. 81(C).
- Christos Floros & Georgios Galyfianakis, 2020. "Bubbles in Crude Oil and Commodity Energy Index: New Evidence," Energies, MDPI, vol. 13(24), pages 1-11, December.
- Bierbaumer, Daniel & Rieth, Malte & Velinov, Anton, 2021. "The state-dependent trading behavior of banks in the oil futures market," Journal of Economic Behavior & Organization, Elsevier, vol. 191(C), pages 1011-1024.
- Kruse, Robinson & Wegener, Christoph, 2020. "Time-varying persistence in real oil prices and its determinant," Energy Economics, Elsevier, vol. 85(C).
- Pavlidis, Efthymios G. & Vasilopoulos, Kostas, 2020. "Speculative bubbles in segmented markets: Evidence from Chinese cross-listed stocks," Journal of International Money and Finance, Elsevier, vol. 109(C).
- Maryam Movahedifar & Hossein Hassani & Masoud Yarmohammadi & Mahdi Kalantari & Rangan Gupta, 2021. "A robust approach for outlier imputation: Singular Spectrum Decomposition," Working Papers 202164, University of Pretoria, Department of Economics.
- Emily J. Whitehouse & David I. Harvey & Stephen J. Leybourne, 2023.
"Real‐Time Monitoring of Bubbles and Crashes,"
Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 85(3), pages 482-513, June.
- Whitehouse, E. J. & Harvey, D. I. & Leybourne, S. J., 2022. "Real-time monitoring of bubbles and crashes," Working Papers 2022007, The University of Sheffield, Department of Economics.
- Aktham Maghyereh & Hussein Abdoh, 2022. "Can news-based economic sentiment predict bubbles in precious metal markets?," Financial Innovation, Springer;Southwestern University of Finance and Economics, vol. 8(1), pages 1-29, December.
- Gong, Xu & Guan, Keqin & Chen, Liqing & Liu, Tangyong & Fu, Chengbo, 2021. "What drives oil prices? — A Markov switching VAR approach," Resources Policy, Elsevier, vol. 74(C).
- Figuerola-Ferretti, Isabel & McCrorie, J. Roderick & Paraskevopoulos, Ioannis, 2020. "Mild explosivity in recent crude oil prices," Energy Economics, Elsevier, vol. 87(C).
- Harvey, David I. & Leybourne, Stephen J. & Whitehouse, Emily J., 2020. "Date-stamping multiple bubble regimes," Journal of Empirical Finance, Elsevier, vol. 58(C), pages 226-246.
- Charfeddine, Lanouar & Klein, Tony & Walther, Thomas, 2020.
"Reviewing the oil price–GDP growth relationship: A replication study,"
Energy Economics, Elsevier, vol. 88(C).
- Charfeddine, Lanouar & Klein, Tony & Walther, Thomas, 2020. "Reviewing the Oil Price - GDP Growth Relationship: A Replication Study," QBS Working Paper Series 2019/09, Queen's University Belfast, Queen's Business School.
- Christiane Baumeister, 2021.
"Measuring Market Expectations,"
Working Papers
202163, University of Pretoria, Department of Economics.
- Christiane Baumeister, 2021. "Measuring Market Expectations," NBER Working Papers 29232, National Bureau of Economic Research, Inc.
- Baumeister, Christiane, 2021. "Measuring Market Expectations," CEPR Discussion Papers 16520, C.E.P.R. Discussion Papers.
- Christiane Baumeister, 2021. "Measuring Market Expectations," CESifo Working Paper Series 9305, CESifo.
- Wang, Xichen & Liu, Qingya, 2023. "Can the global financial cycle explain the episodes of exuberance in international housing markets?," Finance Research Letters, Elsevier, vol. 52(C).
- Skrobotov Anton, 2023. "Testing for explosive bubbles: a review," Dependence Modeling, De Gruyter, vol. 11(1), pages 1-26, January.
- Khan, Khalid & Su, Chi Wei & Khurshid, Adnan, 2022. "Do booms and busts identify bubbles in energy prices?," Resources Policy, Elsevier, vol. 76(C).
- Yuchao Fan, 2022. "Dissecting the dot-com bubble in the 1990s NASDAQ," Papers 2206.14130, arXiv.org, revised Jul 2022.
- Chen, Cathy Yi-Hsuan & Hafner, Christian, 2019.
"Sentiment-Induced Bubbles in the Cryptocurrency Market,"
LIDAM Reprints ISBA
2019053, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).
- Efthymios G. Pavlidis & Ivan Paya & David A. Peel, 2017.
"Testing For Speculative Bubbles Using Spot And Forward Prices,"
International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 58(4), pages 1191-1226, November.
Cited by:
- Chen, Cathy Yi-Hsuan & Hafner, Christian, 2019.
"Sentiment-Induced Bubbles in the Cryptocurrency Market,"
LIDAM Reprints ISBA
2019053, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).
- Cathy Yi-Hsuan Chen & Christian M. Hafner, 2019. "Sentiment-Induced Bubbles in the Cryptocurrency Market," JRFM, MDPI, vol. 12(2), pages 1-12, April.
- Yang Hu, 2023. "A review of Phillips‐type right‐tailed unit root bubble detection tests," Journal of Economic Surveys, Wiley Blackwell, vol. 37(1), pages 141-158, February.
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Essex Finance Centre Working Papers
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2019053, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).
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"Episodes of Exuberance in Housing Markets: In Search of the Smoking Gun,"
The Journal of Real Estate Finance and Economics, Springer, vol. 53(4), pages 419-449, November.
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IZA Discussion Papers
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Mathematics, MDPI, vol. 6(8), pages 1-19, August.
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Journal of Systems Science and Information, De Gruyter, vol. 7(4), pages 317-329, August.
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Economics Letters, Elsevier, vol. 132(C), pages 13-17.
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Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 17(3), pages 297-312, May.
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Journal of Forecasting, John Wiley & Sons, Ltd., vol. 31(7), pages 580-595, November.
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Journal of Financial Econometrics, Oxford University Press, vol. 18(3), pages 502-531.
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Journal of Financial Econometrics, Oxford University Press, vol. 18(3), pages 502-531.
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Applied Economics Letters, Taylor & Francis Journals, vol. 19(12), pages 1193-1202, August.
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"On the stability of the constant relative risk aversion (CRRA) utility under high degrees of uncertainty,"
Economics Letters, Elsevier, vol. 115(2), pages 244-248.
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Documentos de Trabajo de Valor Público
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15300, Universidad EAFIT.
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"The Decisions Of The Shadow Monetary Policy Committee And Monetary Policy Committee Since 2002,"
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"What's in a second opinion? Shadowing the ECB and the Bank of England,"
European Journal of Political Economy, Elsevier, vol. 32(C), pages 135-148.
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"Real exchange rates and time-varying trade costs,"
Journal of International Money and Finance, Elsevier, vol. 30(6), pages 1157-1179, October.
See citations under working paper version above.
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Economics Bulletin, AccessEcon, vol. 30(3), pages 2464-2477.
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Economics Letters, Elsevier, vol. 108(1), pages 55-57, July.
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- Pippenger, John, 2018. "Forward Bias, Uncovered Interest Parity And Related Puzzles," University of California at Santa Barbara, Economics Working Paper Series qt1778z416, Department of Economics, UC Santa Barbara.
- Pippenger, John, 2013. "The Failure Of Uncovered Interest Parity, Forward Bias And Related Puzzles," University of California at Santa Barbara, Economics Working Paper Series qt50n5p8bv, Department of Economics, UC Santa Barbara.
- Pippenger, John, 2018. "Forward Bias, Uncovered Interest Parity and Related Puzzles," University of California at Santa Barbara, Economics Working Paper Series qt2cm6p186, Department of Economics, UC Santa Barbara.
- Pippenger, John, 2012. "What Covered Interest Parity Implies about the Theory of Uncovered Interest Parity," University of California at Santa Barbara, Economics Working Paper Series qt0zk6t2hj, Department of Economics, UC Santa Barbara.
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"Specifying Smooth Transition Regression Models in the Presence of Conditional Heteroskedasticity of Unknown Form,"
Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 14(3), pages 1-40, May.
See citations under working paper version above.
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"Inflation Dynamics in the U.S.: Global but Not Local Mean Reversion,"
Journal of Money, Credit and Banking, Blackwell Publishing, vol. 42(1), pages 135-150, February.
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"Noncausality and Inflation Persistence,"
Discussion Papers of DIW Berlin
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"The changing dynamics of US inflation persistence: A quantile regression approach,"
IMFS Working Paper Series
60, Goethe University Frankfurt, Institute for Monetary and Financial Stability (IMFS).
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- Tillmann, Peter & Wolters, Maik H., 2014. "The changing dynamics of US inflation persistence: A quantile regression approach," Economics Working Papers 2014-09, Christian-Albrechts-University of Kiel, Department of Economics.
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202, University of Gothenburg, Department of Economics.
- Maican, Florin G. & Sweeney, Richard J., 2013. "Real exchange rate adjustment in European transition countries," Journal of Banking & Finance, Elsevier, vol. 37(3), pages 907-926.
- Efthymios Pavlidis & Ivan Paya & David Peel, 2010. "Further empirical evidence on the consumption-real exchange rate anomaly," Working Papers 447022, Lancaster University Management School, Economics Department.
- Maican, Florin G. & Sweeney, Richard J., 2006.
"Real Exchange Rate Adjustment In European Transition Countries,"
Working Papers in Economics
202, University of Gothenburg, Department of Economics.
- Ivan Paya & David Peel, 2007.
"On the relationship between nominal exchange rates and domestic and foreign prices,"
Applied Financial Economics, Taylor & Francis Journals, vol. 17(2), pages 105-117.
See citations under working paper version above.
- I Paya & D Peel, 2006. "On the relationship between Nominal Exchange Rates and domestic and foreign prices," Working Papers 577409, Lancaster University Management School, Economics Department.
- Ivan Paya & Agustin Duarte & Ken Holden, 2007.
"On the Relationship between Inflation Persistence and Temporal Aggregation,"
Journal of Money, Credit and Banking, Blackwell Publishing, vol. 39(6), pages 1521-1531, September.
- Ivan Paya & Agustin Duarte & Ken Holden, 2007. "On the Relationship between Inflation Persistence and Temporal Aggregation," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 39(6), pages 1521-1531, September.
See citations under working paper version above.- I Paya & A Duarte & K Holden, 2006. "On the relationship between inflation persistence and temporal aggregation," Working Papers 578936, Lancaster University Management School, Economics Department.
- Paya, Ivan & Peel, David A., 2006.
"On the speed of adjustment in ESTAR models when allowance is made for bias in estimation,"
Economics Letters, Elsevier, vol. 90(2), pages 272-277, February.
Cited by:
- Nicolau, João, 2011. "Purchasing Power Parity analyzed through a continuous-time version of the ESTAR model," Economics Letters, Elsevier, vol. 110(3), pages 182-185, March.
- Gawon Yoon, 2010. "Nonlinear mean-reversion to purchasing power parity: exponential smooth transition autoregressive models and stochastic unit root processes," Applied Economics, Taylor & Francis Journals, vol. 42(4), pages 489-496.
- Copeland, Laurence & Heravi, Saeed, 2006.
"Structural Breaks in the Real Exchange Rate Adjustment Mechanism,"
Cardiff Economics Working Papers
E2006/21, Cardiff University, Cardiff Business School, Economics Section.
- Laurence Copeland & Saeed Heravi, 2009. "Structural breaks in the real exchange rate adjustment mechanism," Applied Financial Economics, Taylor & Francis Journals, vol. 19(2), pages 121-134.
- Bernd Schnatz, 2007. "Is reversion to PPP in euro exchange rates non-linear?," International Economics and Economic Policy, Springer, vol. 4(3), pages 281-297, November.
- Beckmann, Joscha, 2011.
"Nonlinear Adjustment, Purchasing Power Parity and the Role of Nominal Exchange Rates and Prices,"
Ruhr Economic Papers
272, RWI - Leibniz-Institut für Wirtschaftsforschung, Ruhr-University Bochum, TU Dortmund University, University of Duisburg-Essen.
- Beckmann, Joscha, 2013. "Nonlinear adjustment, purchasing power parity and the role of nominal exchange rates and prices," The North American Journal of Economics and Finance, Elsevier, vol. 24(C), pages 176-190.
- Davidson, James & Monticini, Andrea & Peel, David, 2007. "Implementing the wild bootstrap using a two-point distribution," Economics Letters, Elsevier, vol. 96(3), pages 309-315, September.
- Norman, Stephen, 2010. "How well does nonlinear mean reversion solve the PPP puzzle?," Journal of International Money and Finance, Elsevier, vol. 29(5), pages 919-937, September.
- Yoon, Gawon, 2010. "Do real exchange rates really follow threshold autoregressive or exponential smooth transition autoregressive models?," Economic Modelling, Elsevier, vol. 27(2), pages 605-612, March.
- David A. Peel & Ivan Paya, 2006.
"Temporal aggregation of an ESTAR process: some implications for purchasing power parity adjustment,"
Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 21(5), pages 655-668.
- Ivan Paya & David A. Peel, 2006. "Temporal aggregation of an ESTAR process: some implications for purchasing power parity adjustment," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 21(5), pages 655-668, July.
See citations under working paper version above.- Ivan Paya & David A. Peel, 2004. "Temporal Aggregation Of An Estar Process: Some Implications For Purchasing Power Parity Adjustment," Working Papers. Serie AD 2004-25, Instituto Valenciano de Investigaciones Económicas, S.A. (Ivie).
- Paya, Ivan & Matthews, Kent & Peel, David, 2005.
"The term spread and real economic activity in the US inter-war period,"
Journal of Macroeconomics, Elsevier, vol. 27(2), pages 331-343, June.
Cited by:
- Leo Krippner, 2005. "A New Framework for Yield Curve, Output and Inflation Relationships," Working Papers in Economics 05/07, University of Waikato.
- Leo Krippner, 2008. "A Macroeconomic Foundation for the Nelson and Siegel Class of Yield Curve Models," Research Paper Series 226, Quantitative Finance Research Centre, University of Technology, Sydney.
- Ivan Paya & David Peel, 2005.
"The process followed by PPP data. On the properties of linearity tests,"
Applied Economics, Taylor & Francis Journals, vol. 37(21), pages 2515-2522.
See citations under working paper version above.
- Ivan Paya & David A. Peel, 2005. "The Process Followed By Ppp Data. On The Properties Of Linearity Tests," Working Papers. Serie AD 2005-23, Instituto Valenciano de Investigaciones Económicas, S.A. (Ivie).
- Duarte, Agustin & Venetis, Ioannis A. & Paya, Ivan, 2005.
"Predicting real growth and the probability of recession in the Euro area using the yield spread,"
International Journal of Forecasting, Elsevier, vol. 21(2), pages 261-277.
See citations under working paper version above.
- Ivan Paya & Agustín Duarte & Ioannis A. Venetis, 2004. "Predicting Real Growth And The Probability Of Recession In The Euro Area Using The Yield Spread," Working Papers. Serie AD 2004-31, Instituto Valenciano de Investigaciones Económicas, S.A. (Ivie).
- Ivan Paya & Kent Matthews, 2004.
"Term spread and real economic activity in Korea: was the crisis predictable?,"
Applied Economics Letters, Taylor & Francis Journals, vol. 11(13), pages 797-801.
Cited by:
- Vithessonthi, Chaiporn, 2014. "What explains the initial return of initial public offerings after the 1997 Asian financial crisis? Evidence from Thailand," Journal of Multinational Financial Management, Elsevier, vol. 27(C), pages 89-113.
- Mr. Fabian Lipinsky & Ms. Li L Ong, 2014. "Asia’s Stock Markets: Are There Crouching Tigers and Hidden Dragons?," IMF Working Papers 2014/037, International Monetary Fund.
- Ioannis A. Venetis & David A. Peel & Ivan Paya, 2004.
"Asymmetry in the link between the yield spread and industrial production: threshold effects and forecasting,"
Journal of Forecasting, John Wiley & Sons, Ltd., vol. 23(5), pages 373-384.
See citations under working paper version above.
- Ivan Paya & David A. Peel & Ioannis A. Venetis, 2004. "Asymmetry In The Link Between The Yield Spread And Industrial Production. Threshold Effects And Forecasting," Working Papers. Serie AD 2004-41, Instituto Valenciano de Investigaciones Económicas, S.A. (Ivie).
- D. A. Peel & I. Paya & I. Venetis, 2004.
"Estimates of US monetary policy rules with allowance for changes in the output gap,"
Applied Economics Letters, Taylor & Francis Journals, vol. 11(10), pages 601-605.
Cited by:
- Paradiso, Antonio & Rao, B. Bhaskara, 2011. "The effects of Minsky moment and stock prices on the US Taylor Rule," MPRA Paper 27840, University Library of Munich, Germany.
- P ez-Farrell, Juan, 2007.
"Monetary Policy Rules in Theory and in Practice: Evidence from the UK and the US,"
Cardiff Economics Working Papers
E2007/13, Cardiff University, Cardiff Business School, Economics Section.
- Juan Paez-Farrell, 2009. "Monetary policy rules in theory and in practice: evidence from the UK and the US," Applied Economics, Taylor & Francis Journals, vol. 41(16), pages 2037-2046.
- Yu Hsing, 2009. "Is the monetary policy rule responsive to exchange rate changes? The case of Indonesia, Malaysia, the Philippines, and Thailand," International Review of Economics, Springer;Happiness Economics and Interpersonal Relations (HEIRS), vol. 56(2), pages 123-132, June.
- Hatcher, Michael C., 2008. "Speed Limit Policies versus Inflation Targeting: A Free Lunch?," Cardiff Economics Working Papers E2008/20, Cardiff University, Cardiff Business School, Economics Section.
- Venetis, Ioannis A. & Paya, Ivan & Peel, David A., 2003.
"Re-examination of the predictability of economic activity using the yield spread: a nonlinear approach,"
International Review of Economics & Finance, Elsevier, vol. 12(2), pages 187-206.
Cited by:
- Periklis Gogas & Ioannis Pragidis, 2012. "GDP trend deviations and the yield spread: the case of eight E.U. countries," Journal of Economics and Finance, Springer;Academy of Economics and Finance, vol. 36(1), pages 226-237, January.
- Hogrefe, Jens, 2007. "The yield spread and GDP growth - Time Varying Leading Properties and the Role of Monetary Policy," Economics Working Papers 2007-12, Christian-Albrechts-University of Kiel, Department of Economics.
- B. De Backer & M. Deroose & Ch. Van Nieuwenhuyze, 2019. "Is a recession imminent? The signal of the yield curve," Economic Review, National Bank of Belgium, issue i, pages 69-93, June.
- Mateus A. Feitosa & Benjamin M. Tabak, 2007. "Predictability Of Economic Activity Using Yield Spreads: The Case Of Brazil," Anais do XXXV Encontro Nacional de Economia [Proceedings of the 35th Brazilian Economics Meeting] 029, ANPEC - Associação Nacional dos Centros de Pós-Graduação em Economia [Brazilian Association of Graduate Programs in Economics].
- Ibarra-Ramírez Raúl, 2021. "The Yield Curve as a Predictor of Economic Activity in Mexico: The Role of the Term Premium," Working Papers 2021-07, Banco de México.
- Jesús Crespo Cuaresma & Ernest Gnan & Doris Ritzberger-Grünwald, 2005.
"The Term Structure as a Predictor of Real Activity and Inflation in the Euro Area: A Reassessment,"
Review of World Economics (Weltwirtschaftliches Archiv), Springer;Institut für Weltwirtschaft (Kiel Institute for the World Economy), vol. 141(2), pages 318-342, July.
- Jesús Crespo Cuaresma & Ernest Gnan & Doris Ritzberger-Grünwald, 2005. "The term structure as a predictor of real activity and inflation in the euro area: a reassessment," BIS Papers chapters, in: Bank for International Settlements (ed.), Investigating the relationship between the financial and real economy, volume 22, pages 177-92, Bank for International Settlements.
- Lange, Ronald Henry, 2018. "The predictive content of the term premium for GDP growth in Canada: Evidence from linear, Markov-switching and probit estimations," The North American Journal of Economics and Finance, Elsevier, vol. 44(C), pages 80-91.
- Daiki Maki, 2006. "Non-linear adjustment in the term structure of interest rates: a cointegration analysis in the non-linear STAR framework," Applied Financial Economics, Taylor & Francis Journals, vol. 16(17), pages 1301-1307.
- Periklis Gogas & Ioannis Pragidis, 2010.
"GDP Trend Deviations and the Yield Spread: the Case of Five E.U. Countries,"
Papers
1005.1326, arXiv.org.
- Gogas, Periklis & Pragidis, Ioannis, 2010. "GDP Trend Deviations and the Yield Spread: the Case of Five E.U. Countries," DUTH Research Papers in Economics 2-2010, Democritus University of Thrace, Department of Economics.
- Arif Dar & Amaresh Samantaraya & Firdous Shah, 2014. "The predictive power of yield spread: evidence from wavelet analysis," Empirical Economics, Springer, vol. 46(3), pages 887-901, May.
- Novella Maugeri, 2014. "Some Pitfalls in Smooth Transition Models Estimation: A Monte Carlo Study," Computational Economics, Springer;Society for Computational Economics, vol. 44(3), pages 339-378, October.
- Abdymomunov, Azamat, 2013. "Predicting output using the entire yield curve," Journal of Macroeconomics, Elsevier, vol. 37(C), pages 333-344.
- Terasvirta, Timo, 2006.
"Forecasting economic variables with nonlinear models,"
Handbook of Economic Forecasting, in: G. Elliott & C. Granger & A. Timmermann (ed.), Handbook of Economic Forecasting, edition 1, volume 1, chapter 8, pages 413-457,
Elsevier.
- Teräsvirta, Timo, 2005. "Forecasting economic variables with nonlinear models," SSE/EFI Working Paper Series in Economics and Finance 598, Stockholm School of Economics, revised 29 Dec 2005.
- Dionisios Chionis & Periklis Gogas & Ioannis Pragidis, 2010.
"Predicting European Union Recessions in the Euro Era: The Yield Curve as a Forecasting Tool of Economic Activity,"
International Advances in Economic Research, Springer;International Atlantic Economic Society, vol. 16(1), pages 1-10, February.
- Gogas, Periklis & Chionis, Dionisios & Pragkidis, Ioannis, 2009. "Predicting European Union recessions in the euro era: The yield curve as a forecasting tool of economic activity," MPRA Paper 13911, University Library of Munich, Germany.
- Duarte, Agustin & Venetis, Ioannis A. & Paya, Ivan, 2005.
"Predicting real growth and the probability of recession in the Euro area using the yield spread,"
International Journal of Forecasting, Elsevier, vol. 21(2), pages 261-277.
- Ivan Paya & Agustín Duarte & Ioannis A. Venetis, 2004. "Predicting Real Growth And The Probability Of Recession In The Euro Area Using The Yield Spread," Working Papers. Serie AD 2004-31, Instituto Valenciano de Investigaciones Económicas, S.A. (Ivie).
- Paya, Ivan & Matthews, Kent & Peel, David, 2005. "The term spread and real economic activity in the US inter-war period," Journal of Macroeconomics, Elsevier, vol. 27(2), pages 331-343, June.
- Knut Lehre Seip & Dan Zhang, 2021. "The Yield Curve as a Leading Indicator: Accuracy and Timing of a Parsimonious Forecasting Model," Forecasting, MDPI, vol. 3(2), pages 1-16, May.
- Evgenidis, Anastasios & Tsagkanos, Athanasios & Siriopoulos, Costas, 2017. "Towards an asymmetric long run equilibrium between stock market uncertainty and the yield spread. A threshold vector error correction approach," Research in International Business and Finance, Elsevier, vol. 39(PA), pages 267-279.
- Evgenidis, Anastasios & Papadamou, Stephanos & Siriopoulos, Costas, 2020. "The yield spread's ability to forecast economic activity: What have we learned after 30 years of studies?," Journal of Business Research, Elsevier, vol. 106(C), pages 221-232.
- Argyropoulos, Efthymios & Tzavalis, Elias, 2016. "Forecasting economic activity from yield curve factors," The North American Journal of Economics and Finance, Elsevier, vol. 36(C), pages 293-311.
- Lange, Ronald H., 2013. "The Canadian macroeconomy and the yield curve: A dynamic latent factor approach," International Review of Economics & Finance, Elsevier, vol. 27(C), pages 261-274.
- McMillan, David G., 2019. "Cross-asset relations, correlations and economic implications," Global Finance Journal, Elsevier, vol. 41(C), pages 60-78.
- Ivan Paya & David A. Peel & Ioannis A. Venetis, 2004.
"Asymmetry In The Link Between The Yield Spread And Industrial Production. Threshold Effects And Forecasting,"
Working Papers. Serie AD
2004-41, Instituto Valenciano de Investigaciones Económicas, S.A. (Ivie).
- Ioannis A. Venetis & David A. Peel & Ivan Paya, 2004. "Asymmetry in the link between the yield spread and industrial production: threshold effects and forecasting," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 23(5), pages 373-384.
- David C. Wheelock & Mark E. Wohar, 2009. "Can the term spread predict output growth and recessions? a survey of the literature," Review, Federal Reserve Bank of St. Louis, vol. 91(Sep), pages 419-440.
- Lange, Ronald Henry, 2018. "The term structure of liquidity premia and the macroeconomy in Canada: A dynamic latent-factor approach," International Review of Economics & Finance, Elsevier, vol. 57(C), pages 164-182.
- Costanza Torricelli & Marianna Brunetti, 2006. "Economic activity and Recession Probabilities: spread predictive power in Italy," Computing in Economics and Finance 2006 350, Society for Computational Economics.
- Gogas, Periklis & Pragidis, Ioannis, 2010. "Does the Interest Risk Premium Predict Housing Prices?," DUTH Research Papers in Economics 1-2010, Democritus University of Thrace, Department of Economics.
- Dalu Zhang & Peter Moffatt, 2013. "Time series non-linearity in the real growth / recession-term spread relationship," University of East Anglia Applied and Financial Economics Working Paper Series 047, School of Economics, University of East Anglia, Norwich, UK..
- Tronzano, Marco, 2015. "The Expectations Hypothesis of the Term Structure in Emerging Financial Markets: Some Evidence from Malaysia (1999-2015) - La struttura a termine dei tassi di interesse nei paesi emergenti: alcune evi," Economia Internazionale / International Economics, Camera di Commercio Industria Artigianato Agricoltura di Genova, vol. 68(4), pages 521-550.
- Omay, Tolga, 2008. "The Term Structure of Interest Rate as a Predictor of Inflation and Real Economic Activity: Nonlinear Evidence from Turkey," MPRA Paper 28572, University Library of Munich, Germany.
- Idilbi-Bayaa, Yasmeen & Qadan, Mahmoud, 2022. "What the current yield curve says, and what the future prices of energy do," Resources Policy, Elsevier, vol. 75(C).
- Ivan Paya & Ioannis A. Venetis & David A. Peel, 2003.
"Further Evidence on PPP Adjustment Speeds: the Case of Effective Real Exchange Rates and the EMS,"
Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 65(4), pages 421-437, September.
Cited by:
- I Paya & D Peel, 2005. "Temporal aggregation of an ESTAR process," Working Papers 565938, Lancaster University Management School, Economics Department.
- Ivan Paya & David A. Peel, 2004. "Nonlinear Ppp Under The Gold Standard," Working Papers. Serie AD 2004-24, Instituto Valenciano de Investigaciones Económicas, S.A. (Ivie).
- McMillan, David G., 2009. "The confusing time-series behaviour of real exchange rates: Are asymmetries important?," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 19(4), pages 692-711, October.
- Ivan Paya & David Peel, 2005.
"The process followed by PPP data. On the properties of linearity tests,"
Applied Economics, Taylor & Francis Journals, vol. 37(21), pages 2515-2522.
- Ivan Paya & David A. Peel, 2005. "The Process Followed By Ppp Data. On The Properties Of Linearity Tests," Working Papers. Serie AD 2005-23, Instituto Valenciano de Investigaciones Económicas, S.A. (Ivie).
- Maican, Florin G. & Sweeney, Richard J., 2006.
"Real Exchange Rate Adjustment In European Transition Countries,"
Working Papers in Economics
202, University of Gothenburg, Department of Economics.
- Maican, Florin G. & Sweeney, Richard J., 2013. "Real exchange rate adjustment in European transition countries," Journal of Banking & Finance, Elsevier, vol. 37(3), pages 907-926.
- Ivan Paya & David A. Peel, 2004.
"Temporal Aggregation Of An Estar Process: Some Implications For Purchasing Power Parity Adjustment,"
Working Papers. Serie AD
2004-25, Instituto Valenciano de Investigaciones Económicas, S.A. (Ivie).
- Ivan Paya & David A. Peel, 2006. "Temporal aggregation of an ESTAR process: some implications for purchasing power parity adjustment," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 21(5), pages 655-668, July.
- David A. Peel & Ivan Paya, 2006. "Temporal aggregation of an ESTAR process: some implications for purchasing power parity adjustment," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 21(5), pages 655-668.
- Baharumshah, Ahmad Zubaidi & Liew, Venus Khim-Sen & Chowdhury, Ibrahim, 2010. "Asymmetry dynamics in real exchange rates: New results on East Asian currencies," International Review of Economics & Finance, Elsevier, vol. 19(4), pages 648-661, October.
- Apergis, Nicholas & Cooray, Arusha, 2015. "Asymmetric interest rate pass-through in the U.S., the U.K. and Australia: New evidence from selected individual banks," Journal of Macroeconomics, Elsevier, vol. 45(C), pages 155-172.
- Ivan Paya & David A. Peel, 2004. "Nonlinear Purchasing Power Parity under the Gold Standard," Southern Economic Journal, John Wiley & Sons, vol. 71(2), pages 302-313, October.
- Jyh‐Lin Wu & Pei‐Fen Chen & Ching‐Nun Lee, 2009. "Purchasing Power Parity, Productivity Differentials And Non‐Linearity," Manchester School, University of Manchester, vol. 77(3), pages 271-287, June.
- Soubarna Pal, 2011. "Productivity Differential and Bilateral Real Exchange Rate between India and US," Journal of Quantitative Economics, The Indian Econometric Society, vol. 9(1), pages 146-155.
- Bahmani-Oskooee, Mohsen & Hegerty, Scott W. & Kutan, Ali M., 2009. "Is PPP sensitive to time-varying trade weights in constructing real effective exchange rates?," The Quarterly Review of Economics and Finance, Elsevier, vol. 49(3), pages 1001-1008, August.
- Yamin Ahmad & Stuart Glosser, 2007.
"Searching for Nonlinearities in Real Exchange Rates?,"
Working Papers
09-01, UW-Whitewater, Department of Economics, revised Jan 2009.
- Yamin Ahmad & Stuart Glosser, 2011. "Searching for nonlinearities in real exchange rates," Applied Economics, Taylor & Francis Journals, vol. 43(15), pages 1829-1845.
- Pavlidis Efthymios G & Paya Ivan & Peel David A, 2010.
"Specifying Smooth Transition Regression Models in the Presence of Conditional Heteroskedasticity of Unknown Form,"
Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 14(3), pages 1-40, May.
- E Pavlidis & I Paya & D Peel, 2009. "Specifying Smooth Transition Regression Models in the Presence of Conditional Heteroskedasticity of Unknown Form," Working Papers 599040, Lancaster University Management School, Economics Department.
- Juan Carlos Cuestas & Carlyn Ramlogan-Dobson, 2013.
"Convergence of Inflationary Shocks: Evidence from the Caribbean,"
The World Economy, Wiley Blackwell, vol. 36(9), pages 1229-1243, September.
- Juan C. Cuestas & Carlyn Dobson, 2013. "Convergence of inflationary shocks: evidence from the Caribbean," NCID Working Papers 02/2013, Navarra Center for International Development, University of Navarra.
- Grossmann, Axel & McMillan, David G., 2010. "Forecasting exchange rates: Non-linear adjustment and time-varying equilibrium," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 20(4), pages 436-450, October.
- Tausch, Arno, 2016. "‘Smart development’. An essay on a new political economy of the environment," MPRA Paper 70204, University Library of Munich, Germany.
- Copeland, Laurence & Heravi, Saeed, 2006.
"Structural Breaks in the Real Exchange Rate Adjustment Mechanism,"
Cardiff Economics Working Papers
E2006/21, Cardiff University, Cardiff Business School, Economics Section.
- Laurence Copeland & Saeed Heravi, 2009. "Structural breaks in the real exchange rate adjustment mechanism," Applied Financial Economics, Taylor & Francis Journals, vol. 19(2), pages 121-134.
- Mohsen Bahmani-Oskooee & Ali Kutan & Su Zhou, 2009. "Towards solving the PPP puzzle: evidence from 113 countries," Applied Economics, Taylor & Francis Journals, vol. 41(24), pages 3057-3066.
- Smallwood, Aaron D., 2008. "Measuring the persistence of deviations from purchasing power parity with a fractionally integrated STAR model," Journal of International Money and Finance, Elsevier, vol. 27(7), pages 1161-1176, November.
- E Pavlidis & I Paya & D Peel, 2009. "Forecasting the Real Exchange Rate using a Long Span of Data. A Rematch: Linear vs Nonlinear," Working Papers 601190, Lancaster University Management School, Economics Department.
- Apergis, Nicholas & Cooray, Arusha, 2018. "Asymmetric real exchange rates and poverty: The role of remittances," Emerging Markets Review, Elsevier, vol. 35(C), pages 111-119.
- Tausch, Arno & Heshmati, Almas, 2011.
"Migration, Openness and the Global Preconditions of 'Smart Development',"
IZA Discussion Papers
6169, Institute of Labor Economics (IZA).
- Arno Tausch & Almas Heshmati, 2012. "Migration, Openness and the Global Preconditions of "Smart Development"," Bogazici Journal, Review of Social, Economic and Administrative Studies, Bogazici University, Department of Economics, vol. 26(2), pages 1-62.
- Liu, Lin & Chang, Hsu-Ling & Su, Chi-Wei & Jiang, Chun, 2013. "Real interest rate parity in East Asian countries based on China with flexible Fourier stationary test," Japan and the World Economy, Elsevier, vol. 25, pages 52-58.
- Juan Carlos Cuestas & Carlyn Dobson, 2011. "Inflation persistence: Implication for a monetary union in the Caribbean," Working Papers 2011017, The University of Sheffield, Department of Economics.
- Wu, Jyh-Lin & Hu, Yu-Hau, 2009. "New evidence on nominal exchange rate predictability," Journal of International Money and Finance, Elsevier, vol. 28(6), pages 1045-1063, October.
- Lin, Jeng-Bau & Liang, Chin-Chia & Yeh, Ming-Liang, 2011. "Examining nonlinear dynamics of exchange rates and forecasting performance based on the exchange rate parity of four Asian economies," Japan and the World Economy, Elsevier, vol. 23(2), pages 79-85, March.
- Arusha Cooray, 2009. "Is the adjustment to real interest rate parity asymmetric?," Empirica, Springer;Austrian Institute for Economic Research;Austrian Economic Association, vol. 36(4), pages 407-418, November.
- I Paya & D Peel, 2005.
"A new analysis of the determinants of the real dollar-sterling exchange rate: 1871-1994,"
Working Papers
565953, Lancaster University Management School, Economics Department.
- Ivan Paya & David A. Peel, 2005. "A New Analysis Of The Determinants Of The Real Dollar-Sterling Exchange Rate: 1871-1994," Working Papers. Serie AD 2005-16, Instituto Valenciano de Investigaciones Económicas, S.A. (Ivie).
- Bahmani-Oskooee, Mohsen & Chang, Tsangyao & Yang, Ming-Hsien & Yang, Hong-Lǜe, 2016. "Revisiting real interest rate parity in BRICS countries using ADL test for threshold cointegration," Economic Analysis and Policy, Elsevier, vol. 51(C), pages 86-89.
- Dimitris Christopoulos & Peter McAdam & Elias Tzavalis, 2023. "Exploring Okun's law asymmetry: An endogenous threshold logistic smooth transition regression approach," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 85(1), pages 123-158, February.
- Maria Eleftheriou & Nikolas A. Müller-Plantenberg, 2018. "The Purchasing Power Parity Fallacy: Time to Reconsider the PPP Hypothesis," Open Economies Review, Springer, vol. 29(3), pages 481-515, July.
- Ivan Paya & David A. Peel, 2003.
"Purchasing Power Parity Adjustment Speeds in High Frequency Data when the Equilibrium Real Exchange Rate is Proxied by a Deterministic Trend,"
Manchester School, University of Manchester, vol. 71(s1), pages 39-53, September.
Cited by:
- Gabriella Legrenzi & Costas Milas, 2004.
"Non-linear real exchange rate effects in the UK labour market,"
International Finance
0411007, University Library of Munich, Germany.
- Gabriella Legrenzi & Costas Milas, 2005. "Non-linear real exchange rate effects in the UK labour market," Keele Economics Research Papers KERP 2005/08, Centre for Economic Research, Keele University.
- Milas Costas & Legrenzi Gabriella, 2006. "Non-linear Real Exchange Rate Effects in the UK Labour Market," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 10(1), pages 1-34, March.
- Gabriella Legrenzi & Costas Milas, 2005. "Non-linear real exchange rate effects in the UK labour market," Macroeconomics 0507019, University Library of Munich, Germany.
- Laurence Copeland, 2007. "Arbitrage Bounds and the Time Series Properties of the Discount on UK Closed‐End Mutual Funds," Journal of Business Finance & Accounting, Wiley Blackwell, vol. 34(1‐2), pages 313-330, January.
- Copeland, Laurence & Heravi, Saeed, 2006.
"Structural Breaks in the Real Exchange Rate Adjustment Mechanism,"
Cardiff Economics Working Papers
E2006/21, Cardiff University, Cardiff Business School, Economics Section.
- Laurence Copeland & Saeed Heravi, 2009. "Structural breaks in the real exchange rate adjustment mechanism," Applied Financial Economics, Taylor & Francis Journals, vol. 19(2), pages 121-134.
- Milas, C., 2003. "Non-linear multivariate adjustment of the UK real exchange rate," Working Papers 03/08, Department of Economics, City University London.
- Michael Frömmel & Darko B. Vukovic & Jinyuan Wu, 2022. "The Dollar Exchange Rate, Adjustment to the Purchasing Power Parity, and the Interest Rate Differential," Mathematics, MDPI, vol. 10(23), pages 1-17, November.
- Wu, Jyh-Lin & Hu, Yu-Hau, 2009. "New evidence on nominal exchange rate predictability," Journal of International Money and Finance, Elsevier, vol. 28(6), pages 1045-1063, October.
- Narayan Paresh K & Prasad Biman Chand, 2005. "The Validity of Purchasing Power Parity Hypothesis for Eleven Middle Eastern Countries," Review of Middle East Economics and Finance, De Gruyter, vol. 3(2), pages 44-58, August.
- Gabriella Legrenzi & Costas Milas, 2004.
"Non-linear real exchange rate effects in the UK labour market,"
International Finance
0411007, University Library of Munich, Germany.
Chapters
- Efthymios G. Pavlidis & Ivan Paya & David A. Peel, 2009.
"The Econometrics of Exchange Rates,"
Palgrave Macmillan Books, in: Terence C. Mills & Kerry Patterson (ed.), Palgrave Handbook of Econometrics, chapter 22, pages 1025-1083,
Palgrave Macmillan.
Cited by:
- Works, Richard Floyd, 2016. "Econometric modeling of exchange rate determinants by market classification: An empirical analysis of Japan and South Korea using the sticky-price monetary theory," MPRA Paper 76382, University Library of Munich, Germany.
- Frédérique Bec & Mélika Ben Salem, 2020.
"An asymmetrical overshooting correction model for G20 nominal effective exchange rates,"
PSE Working Papers
hal-02908680, HAL.
- Frederique Bec & Melika Ben Salem, 2020. "An asymmetrical overshooting correction model for G20 nominal effective exchange rates," Economics Bulletin, AccessEcon, vol. 40(3), pages 1937-1947.
- Frédérique Bec & Mélika Ben Salem, 2020. "An asymmetrical overshooting correction model for G20 nominal effective exchange rates," PSE-Ecole d'économie de Paris (Postprint) halshs-03954158, HAL.
- Frédérique Bec & Mélika Ben Salem, 2020. "An asymmetrical overshooting correction model for G20 nominal effective exchange rates," Working Papers hal-02908680, HAL.
- Frédérique Bec & Mélika Ben Salem, 2020. "An asymmetrical overshooting correction model for G20 nominal effective exchange rates," Post-Print halshs-03954158, HAL.
- Frédérique Bec & Mélika Ben Salem, 2020. "An asymmetrical overshooting correction model for G20 nominal effective exchange rates," THEMA Working Papers 2020-11, THEMA (THéorie Economique, Modélisation et Applications), Université de Cergy-Pontoise.
- E Pavlidis & I Paya & D Peel, 2009.
"Real Exchange Rates and Time-Varying Trade Costs,"
Working Papers
600537, Lancaster University Management School, Economics Department.
- Pavlidis, Efthymios G. & Paya, Ivan & Peel, David A., 2011. "Real exchange rates and time-varying trade costs," Journal of International Money and Finance, Elsevier, vol. 30(6), pages 1157-1179, October.