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Ivan Paya

Personal Details

First Name:Ivan
Middle Name:
Last Name:Paya
Suffix:
RePEc Short-ID:ppa363
https://ivanpaya.weebly.com/

Affiliation

(50%) Departamento de Fundamentos del Análisis Económico
Facultad de Ciencias Económicas y Empresariales
Universidad de Alicante

Alicante, Spain
http://merlin.fae.ua.es/
RePEc:edi:dfalies (more details at EDIRC)

(50%) Department of Economics
Management School
Lancaster University

Lancaster, United Kingdom
http://www.lancaster.ac.uk/lums/our-departments/economics/
RePEc:edi:delanuk (more details at EDIRC)

Research output

as
Jump to: Working papers Articles Chapters

Working papers

  1. Alvaro Fernandez-Gallardo & Ivan Paya, 2020. "Macroprudential Policy in the Euro Area," Working Papers 307121127, Lancaster University Management School, Economics Department.
  2. Ivan Paya & David Peel & Konstantinos Georgalos, 2020. "On the Predictions of Cumulative Prospect Theory for Third and Fourth Order Preferences," Working Papers 293574809, Lancaster University Management School, Economics Department.
  3. Efthymios Pavlidis & Ivan Paya & Alex Skouralis, 2019. "House Prices, (Un)Affordability and Systemic Risk," Working Papers 266072868, Lancaster University Management School, Economics Department.
  4. 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.
  5. 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.
  6. 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.
  7. 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.
  8. 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.
  9. Trino-Manuel Niguez & Ivan Paya & David Peel & Javier Perote, 2013. "Higher-order moments in the theory of diversification and portfolio composition," Working Papers 18297128, Lancaster University Management School, Economics Department.
  10. Efthymios Pavlidis & Ivan Paya & David Peel, 2012. "A New Test for Rational Speculative Bubbles using Forward Exchange Rates: The Case of the Interwar German Hyperinflation," Working Papers 18599597, Lancaster University Management School, Economics Department.
  11. T M Niguez & I Paya & D Peel & J Perote, 2011. "On the stability of the CRRA utility under high degrees of uncertainty," Working Papers 615773, Lancaster University Management School, Economics Department.
  12. R Naraidoo & I Paya, 2010. "Forecasting Monetary Policy Rules in South Africa," Working Papers 611194, Lancaster University Management School, Economics Department.
  13. Ruthira Naraidoo & Ivan Paya, 2010. "Forecasting Monetary Rules in South Africa," Working Papers 201007, University of Pretoria, Department of Economics.
  14. 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.
  15. 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.
  16. Efthymios Pavlidis & I Paya & D Peel & A M Spiru, 2009. "Bubbles in House Prices and their Impact on Consumption: Evidence for the US," Working Papers 601552, Lancaster University Management School, Economics Department.
  17. 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.
  18. S Zhang & I Paya & D Peel, 2009. "Linkages between Shanghai and Hong Kong stock indices," Working Papers 599248, Lancaster University Management School, Economics Department.
  19. 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.
  20. E Pavlidis & I Paya & D Peel, 2009. "Real Exchange Rates and Time-Varying Trade Costs," Working Papers 600537, Lancaster University Management School, Economics Department.
  21. 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.
  22. A Duarte & J L Nicolini-Llosa & I Paya, 2007. "Estimating Argentina''s imports elasticities," Working Papers 583372, Lancaster University Management School, Economics Department.
  23. 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.
  24. 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.
  25. I Paya & D Peel, 2005. "Temporal aggregation of an ESTAR process," Working Papers 565938, Lancaster University Management School, Economics Department.
  26. Ivan Paya & Agustín Duarte & Ioannis A. Venetis, 2005. "The Long Memory Story Of Real Interest Rates. Can It Be Supported?," Working Papers. Serie AD 2005-01, Instituto Valenciano de Investigaciones Económicas, S.A. (Ivie).
  27. 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).
  28. 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).
  29. 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).
  30. 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).
  31. 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).
  32. 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).
  33. Ioannis A. Venetis & Agustin Duarte & Ivan Paya, 2004. "The long memory story of ex post real interest rates. Can it be supported?," Econometrics 0404004, University Library of Munich, Germany.

Articles

  1. 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.
  2. 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.
  3. 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.
  4. 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.
  5. 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.
  6. 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.
  7. 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.
  8. Pavlidis, Efthymios G. & Paya, Ivan & Peel, David A., 2018. "A Nonlinear Analysis Of The Real Exchange Rate–Consumption Relationship," Macroeconomic Dynamics, Cambridge University Press, vol. 22(7), pages 1825-1843, October.
  9. 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.
  10. 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.
  11. Paya, Ivan & Wang, Peng, 2016. "Wealth fluctuations and investment in risky assets: The UK micro evidence on households asset allocation," Journal of Empirical Finance, Elsevier, vol. 38(PA), pages 221-235.
  12. 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.
  13. Pavlidis, Efthymios G. & Paya, Ivan & Peel, David A., 2015. "Testing for linear and nonlinear Granger causality in the real exchange rate–consumption relation," Economics Letters, Elsevier, vol. 132(C), pages 13-17.
  14. Efthymios G. Pavlidis & Ivan Paya & David A. Peel & Costas Siriopoulos, 2013. "Nonlinear dynamics in economics and finance and unit root testing," The European Journal of Finance, Taylor & Francis Journals, vol. 19(6), pages 572-588, July.
  15. 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.
  16. Naraidoo, Ruthira & Paya, Ivan, 2012. "Forecasting monetary policy rules in South Africa," International Journal of Forecasting, Elsevier, vol. 28(2), pages 446-455.
  17. Efthymios G. Pavlidis & Ivan Paya & David A. Peel, 2012. "Forecast Evaluation of Nonlinear Models: The Case of Long‐Span Real Exchange Rates," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 31(7), pages 580-595, November.
  18. Jahyun Koo & Ivan Paya & David A. Peel, 2012. "The Bank of Korea's nonlinear monetary policy rule," Applied Economics Letters, Taylor & Francis Journals, vol. 19(12), pages 1193-1202, August.
  19. Ñíguez, Trino-Manuel & Paya, Ivan & Peel, David & Perote, Javier, 2012. "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.
  20. Jahyun Koo & Ivan Paya & David A. Peel, 2012. "The Decisions Of The Shadow Monetary Policy Committee And Monetary Policy Committee Since 2002," Economic Affairs, Wiley Blackwell, vol. 32(2), pages 91-93, June.
  21. 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.
  22. 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.
  23. Jahyun Koo & Ivan Paya & David A. Peel, 2010. "Further empirical evidence of nonlinearity in the us monetary policy rule," Economics Bulletin, AccessEcon, vol. 30(3), pages 2464-2477.
  24. Paya, Ivan & Peel, David A. & Spiru, Alina, 2010. "The forward premium puzzle in the interwar period and deviations from covered interest parity," Economics Letters, Elsevier, vol. 108(1), pages 55-57, July.
  25. 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.
  26. 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.
  27. Venetis, Ioannis A. & Paya, Ivan & Peel, David A., 2007. "Deterministic impulse response in a nonlinear model. An analytical expression," Economics Letters, Elsevier, vol. 95(3), pages 315-319, June.
  28. 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.
  29. 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.
  30. 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.
  31. 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.
  32. 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.
  33. 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.
  34. 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.
  35. 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.
  36. 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.
  37. 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.
  38. 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.
  39. 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.
  40. Sugata Ghosh & Iannis A. Mourmouras & Sarmistha Pal & Ivan Paya, 2003. "On Public Investment, the Real Exchange Rate and Growth: Some Empirical Evidence from the UK and the USA," Manchester School, University of Manchester, vol. 71(3), pages 242-264, June.
  41. 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.
    RePEc:lrk:eeaart:22_1_8 is not listed on IDEAS
    RePEc:taf:apfiec:v:17:y:2007:i:2:p:105-117 is not listed on IDEAS
    RePEc:taf:apfiec:v:19:y:2009:i:23:p:1847-1857 is not listed on IDEAS
    RePEc:taf:apfiec:v:13:y:2003:i:5:p:317-335 is not listed on IDEAS

Chapters

  1. 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.
  2. E. Pavlidis & I. Paya & D. A. Peel, 2008. "Testing Significance Of Variables In Regression Analysis When There Is Non-Normality Or Heteroskedasticity.: The Wild Bootstrap And The Generalised Lambda Distribution," World Scientific Book Chapters, in: Luiz Moutinho & Kun-Huang Huarng (ed.), Advances In Doctoral Research In Management, chapter 8, pages 151-174, World Scientific Publishing Co. Pte. Ltd..
  3. Ivan Paya & David A. Peel, 2005. "Ex ante Real Returns in Forward Market Speculation in the Inter-War Period: Evidence and Prediction," Springer Books, in: Claude Diebolt & Catherine Kyrtsou (ed.), New Trends in Macroeconomics, pages 125-145, Springer.

More information

Research fields, statistics, top rankings, if available.

Statistics

Access and download statistics for all items

Co-authorship network on CollEc

NEP Fields

NEP is an announcement service for new working papers, with a weekly report in each of many fields. This author has had 18 papers announced in NEP. These are the fields, ordered by number of announcements, along with their dates. If the author is listed in the directory of specialists for this field, a link is also provided.
  1. NEP-ETS: Econometric Time Series (5) 2004-05-02 2006-02-05 2006-02-05 2006-02-19 2014-03-22. Author is listed
  2. NEP-MAC: Macroeconomics (5) 2006-02-05 2006-02-19 2019-06-17 2020-04-20 2020-10-26. Author is listed
  3. NEP-IFN: International Finance (4) 2006-02-05 2006-02-05 2006-02-19 2006-02-19
  4. NEP-MON: Monetary Economics (4) 2004-05-02 2010-03-28 2010-10-02 2020-10-26
  5. NEP-URE: Urban and Real Estate Economics (4) 2014-02-02 2014-09-25 2017-05-07 2019-06-17
  6. NEP-CBA: Central Banking (3) 2010-03-28 2010-10-02 2020-10-26
  7. NEP-FMK: Financial Markets (3) 2006-02-05 2006-02-19 2006-02-19
  8. NEP-FOR: Forecasting (3) 2006-02-19 2006-02-19 2010-03-28
  9. NEP-AFR: Africa (2) 2010-03-28 2010-10-02
  10. NEP-ECM: Econometrics (2) 2006-02-05 2014-03-22
  11. NEP-EEC: European Economics (2) 2006-02-19 2020-10-26
  12. NEP-RMG: Risk Management (2) 2019-06-17 2020-04-20
  13. NEP-UPT: Utility Models and Prospect Theory (2) 2013-04-06 2020-04-20
  14. NEP-BAN: Banking (1) 2019-06-17
  15. NEP-EUR: Microeconomic European Issues (1) 2017-05-07
  16. NEP-FDG: Financial Development and Growth (1) 2020-10-26
  17. NEP-GEO: Economic Geography (1) 2017-05-07
  18. NEP-HIS: Business, Economic and Financial History (1) 2006-02-19
  19. NEP-MIC: Microeconomics (1) 2020-04-20

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