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Details about Ivan Paya

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Homepage:https://ivanpaya.weebly.com/
Workplace:Departamento de Fundamentos del Análisis Económico (Department of Foundations of Economic Analysis), Facultad de Ciencias Económicas y Empresariales (Faculty of Economics and Management), Universidad de Alicante (University of Alicante), (more information at EDIRC)
Department of Economics, Management School, Lancaster University, (more information at EDIRC)

Access statistics for papers by Ivan Paya.

Last updated 2024-06-17. Update your information in the RePEc Author Service.

Short-id: ppa363


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Working Papers

2020

  1. Macroprudential Policy in the Euro Area
    Working Papers, Lancaster University Management School, Economics Department Downloads View citations (8)
  2. On the Predictions of Cumulative Prospect Theory for Third and Fourth Order Preferences
    Working Papers, Lancaster University Management School, Economics Department Downloads

2019

  1. House Prices, (Un)Affordability and Systemic Risk
    Working Papers, Lancaster University Management School, Economics Department Downloads
    See also Journal Article House prices, (un)affordability and systemic risk, New Zealand Economic Papers, Taylor & Francis Journals (2021) Downloads (2021)

2017

  1. Exuberance in the U.K. Regional Housing Markets
    Working Papers, Lancaster University Management School, Economics Department Downloads View citations (5)

2015

  1. Higher-order risk preferences, constant relative risk aversion and the optimal portfolio allocation
    Working Papers, Banco de España Downloads View citations (2)

2014

  1. Episodes of exuberance in housing markets
    Working Papers, Lancaster University Management School, Economics Department Downloads View citations (14)
  2. Temporal Aggregation of Random Walk Processes and Implications for Asset Prices
    Working Papers, UW-Whitewater, Department of Economics Downloads View citations (2)

2013

  1. Episodes of Exuberance in Housing Markets: In Search of the Smoking Gun
    Globalization Institute Working Papers, Federal Reserve Bank of Dallas Downloads View citations (12)
    See also Journal Article Episodes of Exuberance in Housing Markets: In Search of the Smoking Gun, The Journal of Real Estate Finance and Economics, Springer (2016) Downloads View citations (62) (2016)
  2. Higher-order moments in the theory of diversification and portfolio composition
    Working Papers, Lancaster University Management School, Economics Department Downloads View citations (5)

2012

  1. A New Test for Rational Speculative Bubbles using Forward Exchange Rates: The Case of the Interwar German Hyperinflation
    Working Papers, Lancaster University Management School, Economics Department Downloads View citations (20)

2011

  1. On the stability of the CRRA utility under high degrees of uncertainty
    Working Papers, Lancaster University Management School, Economics Department Downloads View citations (1)

2010

  1. Forecasting Monetary Policy Rules in South Africa
    Working Papers, Lancaster University Management School, Economics Department Downloads View citations (1)
    See also Journal Article Forecasting monetary policy rules in South Africa, International Journal of Forecasting, Elsevier (2012) Downloads View citations (22) (2012)
  2. Forecasting Monetary Rules in South Africa
    Working Papers, University of Pretoria, Department of Economics View citations (2)
  3. Further empirical evidence on the consumption-real exchange rate anomaly
    Working Papers, Lancaster University Management School, Economics Department Downloads

2009

  1. Bubbles in House Prices and their Impact on Consumption: Evidence for the US
    Working Papers, Lancaster University Management School, Economics Department Downloads View citations (17)
  2. ESTAR model with multiple fixed points. Testing and Estimation
    Working Papers, Lancaster University Management School, Economics Department Downloads View citations (2)
  3. Forecasting the Real Exchange Rate using a Long Span of Data. A Rematch: Linear vs Nonlinear
    Working Papers, Lancaster University Management School, Economics Department Downloads View citations (1)
  4. Linkages between Shanghai and Hong Kong stock indices
    Working Papers, Lancaster University Management School, Economics Department Downloads View citations (16)
    See also Journal Article Linkages between Shanghai and Hong Kong stock indices, Applied Financial Economics, Taylor & Francis Journals (2009) Downloads View citations (16) (2009)
  5. Real Exchange Rates and Time-Varying Trade Costs
    Working Papers, Lancaster University Management School, Economics Department Downloads View citations (2)
    See also Journal Article Real exchange rates and time-varying trade costs, Journal of International Money and Finance, Elsevier (2011) Downloads View citations (10) (2011)
  6. Specifying Smooth Transition Regression Models in the Presence of Conditional Heteroskedasticity of Unknown Form
    Working Papers, Lancaster University Management School, Economics Department Downloads View citations (4)
    See also Journal Article Specifying Smooth Transition Regression Models in the Presence of Conditional Heteroskedasticity of Unknown Form, Studies in Nonlinear Dynamics & Econometrics, De Gruyter (2010) Downloads View citations (17) (2010)

2007

  1. Estimating Argentina''s imports elasticities
    Working Papers, Lancaster University Management School, Economics Department Downloads View citations (1)
  2. Inflation Dynamics in the US -A Nonlinear Perspective
    FMG Discussion Papers, Financial Markets Group Downloads View citations (5)
    Also in LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library (2007) Downloads View citations (5)

2006

  1. On the relationship between Nominal Exchange Rates and domestic and foreign prices
    Working Papers, Lancaster University Management School, Economics Department Downloads View citations (1)
    See also Journal Article On the relationship between nominal exchange rates and domestic and foreign prices, Applied Financial Economics, Taylor & Francis Journals (2007) Downloads View citations (4) (2007)
  2. On the relationship between inflation persistence and temporal aggregation
    Working Papers, Lancaster University Management School, Economics Department Downloads
    See also Journal Article On the Relationship between Inflation Persistence and Temporal Aggregation, Journal of Money, Credit and Banking, Blackwell Publishing (2007) View citations (15) (2007)
  3. The long memory story of real interest rates. Can it be supported?
    Working Papers, Lancaster University Management School, Economics Department Downloads
    Also in Working Papers. Serie AD, Instituto Valenciano de Investigaciones Económicas, S.A. (Ivie) (2005) Downloads

2005

  1. A NEW ANALYSIS OF THE DETERMINANTS OF THE REAL DOLLAR-STERLING EXCHANGE RATE: 1871-1994
    Working Papers. Serie AD, Instituto Valenciano de Investigaciones Económicas, S.A. (Ivie) Downloads View citations (9)
    Also in Working Papers, Lancaster University Management School, Economics Department (2005) Downloads View citations (2)
  2. THE PROCESS FOLLOWED BY PPP DATA. ON THE PROPERTIES OF LINEARITY TESTS
    Working Papers. Serie AD, Instituto Valenciano de Investigaciones Económicas, S.A. (Ivie) Downloads View citations (11)
    See also Journal Article The process followed by PPP data. On the properties of linearity tests, Applied Economics, Taylor & Francis Journals (2005) Downloads View citations (11) (2005)
  3. Temporal aggregation of an ESTAR process
    Working Papers, Lancaster University Management School, Economics Department Downloads View citations (1)

2004

  1. ASYMMETRY IN THE LINK BETWEEN THE YIELD SPREAD AND INDUSTRIAL PRODUCTION. THRESHOLD EFFECTS AND FORECASTING
    Working Papers. Serie AD, Instituto Valenciano de Investigaciones Económicas, S.A. (Ivie) Downloads View citations (5)
    See also Journal Article Asymmetry in the link between the yield spread and industrial production: threshold effects and forecasting, Journal of Forecasting, John Wiley & Sons, Ltd. (2004) Downloads View citations (5) (2004)
  2. NONLINEAR PPP UNDER THE GOLD STANDARD
    Working Papers. Serie AD, Instituto Valenciano de Investigaciones Económicas, S.A. (Ivie) Downloads View citations (5)
  3. PREDICTING REAL GROWTH AND THE PROBABILITY OF RECESSION IN THE EURO AREA USING THE YIELD SPREAD
    Working Papers. Serie AD, Instituto Valenciano de Investigaciones Económicas, S.A. (Ivie) Downloads View citations (8)
    See also Journal Article Predicting real growth and the probability of recession in the Euro area using the yield spread, International Journal of Forecasting, Elsevier (2005) Downloads View citations (48) (2005)
  4. TEMPORAL AGGREGATION OF AN ESTAR PROCESS: SOME IMPLICATIONS FOR PURCHASING POWER PARITY ADJUSTMENT
    Working Papers. Serie AD, Instituto Valenciano de Investigaciones Económicas, S.A. (Ivie) Downloads View citations (9)
    See also Journal Article Temporal aggregation of an ESTAR process: some implications for purchasing power parity adjustment, Journal of Applied Econometrics, John Wiley & Sons, Ltd. (2006) Downloads View citations (1) (2006)
  5. The long memory story of ex post real interest rates. Can it be supported?
    Econometrics, University Library of Munich, Germany Downloads

Journal Articles

2023

  1. Higher order risk attitudes: new model insights and heterogeneity of preferences
    Experimental Economics, 2023, 26, (1), 145-192 Downloads View citations (1)
  2. On the predictions of cumulative prospect theory for third and fourth order risk preferences
    Theory and Decision, 2023, 95, (2), 337-359 Downloads View citations (1)

2021

  1. House prices, (un)affordability and systemic risk
    New Zealand Economic Papers, 2021, 55, (1), 105-123 Downloads
    See also Working Paper House Prices, (Un)Affordability and Systemic Risk, Working Papers (2019) Downloads (2019)
  2. On the contribution of the Markowitz model of utility to explain risky choice in experimental research
    Journal of Economic Behavior & Organization, 2021, 182, (C), 527-543 Downloads View citations (1)

2020

  1. Temporal aggregation of random walk processes and implications for economic analysis
    Studies in Nonlinear Dynamics & Econometrics, 2020, 24, (2), 20 Downloads View citations (1)

2019

  1. Flexible distribution functions, higher-order preferences and optimal portfolio allocation
    Quantitative Finance, 2019, 19, (4), 699-703 Downloads View citations (7)

2018

  1. A NONLINEAR ANALYSIS OF THE REAL EXCHANGE RATE–CONSUMPTION RELATIONSHIP
    Macroeconomic Dynamics, 2018, 22, (7), 1825-1843 Downloads
  2. Using Market Expectations to Test for Speculative Bubbles in the Crude Oil Market
    Journal of Money, Credit and Banking, 2018, 50, (5), 833-856 Downloads View citations (26)

2017

  1. TESTING FOR SPECULATIVE BUBBLES USING SPOT AND FORWARD PRICES
    International Economic Review, 2017, 58, (4), 1191-1226 Downloads View citations (18)

2016

  1. Episodes of Exuberance in Housing Markets: In Search of the Smoking Gun
    The Journal of Real Estate Finance and Economics, 2016, 53, (4), 419-449 Downloads View citations (62)
    See also Working Paper Episodes of Exuberance in Housing Markets: In Search of the Smoking Gun, Globalization Institute Working Papers (2013) Downloads View citations (12) (2013)
  2. Pure higher-order effects in the portfolio choice model
    Finance Research Letters, 2016, 19, (C), 255-260 Downloads View citations (9)
  3. Wealth fluctuations and investment in risky assets: The UK micro evidence on households asset allocation
    Journal of Empirical Finance, 2016, 38, (PA), 221-235 Downloads View citations (6)

2015

  1. Testing for linear and nonlinear Granger causality in the real exchange rate–consumption relation
    Economics Letters, 2015, 132, (C), 13-17 Downloads View citations (4)

2013

  1. Nonlinear causality tests and multivariate conditional heteroskedasticity: a simulation study
    Studies in Nonlinear Dynamics & Econometrics, 2013, 17, (3), 297-312 Downloads View citations (7)
  2. Nonlinear dynamics in economics and finance and unit root testing
    The European Journal of Finance, 2013, 19, (6), 572-588 Downloads

2012

  1. Forecast Evaluation of Nonlinear Models: The Case of Long‐Span Real Exchange Rates
    Journal of Forecasting, 2012, 31, (7), 580-595 View citations (5)
  2. Forecasting monetary policy rules in South Africa
    International Journal of Forecasting, 2012, 28, (2), 446-455 Downloads View citations (22)
    See also Working Paper Forecasting Monetary Policy Rules in South Africa, Working Papers (2010) Downloads View citations (1) (2010)
  3. On the stability of the constant relative risk aversion (CRRA) utility under high degrees of uncertainty
    Economics Letters, 2012, 115, (2), 244-248 Downloads View citations (12)
  4. THE DECISIONS OF THE SHADOW MONETARY POLICY COMMITTEE AND MONETARY POLICY COMMITTEE SINCE 2002
    Economic Affairs, 2012, 32, (2), 91-93 Downloads View citations (2)
  5. The Bank of Korea's nonlinear monetary policy rule
    Applied Economics Letters, 2012, 19, (12), 1193-1202 Downloads View citations (1)

2011

  1. Real exchange rates and time-varying trade costs
    Journal of International Money and Finance, 2011, 30, (6), 1157-1179 Downloads View citations (10)
    See also Working Paper Real Exchange Rates and Time-Varying Trade Costs, Working Papers (2009) Downloads View citations (2) (2009)
  2. Systematic sampling of nonlinear models: Evidence on speed of adjustment in index futures markets
    Journal of Futures Markets, 2011, 31, (2), 192-203 Downloads

2010

  1. Further empirical evidence of nonlinearity in the us monetary policy rule
    Economics Bulletin, 2010, 30, (3), 2464-2477 Downloads View citations (2)
  2. Inflation Dynamics in the U.S.: Global but Not Local Mean Reversion
    Journal of Money, Credit and Banking, 2010, 42, (1), 135-150 View citations (18)
    Also in Journal of Money, Credit and Banking, 2010, 42, (1), 135-150 (2010) Downloads View citations (1)
  3. Specifying Smooth Transition Regression Models in the Presence of Conditional Heteroskedasticity of Unknown Form
    Studies in Nonlinear Dynamics & Econometrics, 2010, 14, (3), 40 Downloads View citations (17)
    See also Working Paper Specifying Smooth Transition Regression Models in the Presence of Conditional Heteroskedasticity of Unknown Form, Working Papers (2009) Downloads View citations (4) (2009)
  4. The forward premium puzzle in the interwar period and deviations from covered interest parity
    Economics Letters, 2010, 108, (1), 55-57 Downloads View citations (7)

2009

  1. Linkages between Shanghai and Hong Kong stock indices
    Applied Financial Economics, 2009, 19, (23), 1847-1857 Downloads View citations (16)
    See also Working Paper Linkages between Shanghai and Hong Kong stock indices, Working Papers (2009) Downloads View citations (16) (2009)

2007

  1. Deterministic impulse response in a nonlinear model. An analytical expression
    Economics Letters, 2007, 95, (3), 315-319 Downloads View citations (2)
  2. On the Relationship between Inflation Persistence and Temporal Aggregation
    Journal of Money, Credit and Banking, 2007, 39, (6), 1521-1531 View citations (15)
    Also in Journal of Money, Credit and Banking, 2007, 39, (6), 1521-1531 (2007) Downloads View citations (3)

    See also Working Paper On the relationship between inflation persistence and temporal aggregation, Working Papers (2006) Downloads (2006)
  3. On the relationship between nominal exchange rates and domestic and foreign prices
    Applied Financial Economics, 2007, 17, (2), 105-117 Downloads View citations (4)
    See also Working Paper On the relationship between Nominal Exchange Rates and domestic and foreign prices, Working Papers (2006) Downloads View citations (1) (2006)

2006

  1. On the speed of adjustment in ESTAR models when allowance is made for bias in estimation
    Economics Letters, 2006, 90, (2), 272-277 Downloads View citations (10)
  2. Temporal aggregation of an ESTAR process: some implications for purchasing power parity adjustment
    Journal of Applied Econometrics, 2006, 21, (5), 655-668 Downloads View citations (1)
    Also in Journal of Applied Econometrics, 2006, 21, (5), 655-668 (2006) Downloads View citations (11)

    See also Working Paper TEMPORAL AGGREGATION OF AN ESTAR PROCESS: SOME IMPLICATIONS FOR PURCHASING POWER PARITY ADJUSTMENT, Working Papers. Serie AD (2004) Downloads View citations (9) (2004)

2005

  1. Predicting real growth and the probability of recession in the Euro area using the yield spread
    International Journal of Forecasting, 2005, 21, (2), 261-277 Downloads View citations (48)
    See also Working Paper PREDICTING REAL GROWTH AND THE PROBABILITY OF RECESSION IN THE EURO AREA USING THE YIELD SPREAD, Working Papers. Serie AD (2004) Downloads View citations (8) (2004)
  2. The process followed by PPP data. On the properties of linearity tests
    Applied Economics, 2005, 37, (21), 2515-2522 Downloads View citations (11)
    See also Working Paper THE PROCESS FOLLOWED BY PPP DATA. ON THE PROPERTIES OF LINEARITY TESTS, Working Papers. Serie AD (2005) Downloads View citations (11) (2005)
  3. The term spread and real economic activity in the US inter-war period
    Journal of Macroeconomics, 2005, 27, (2), 331-343 Downloads View citations (2)

2004

  1. Asymmetry in the link between the yield spread and industrial production: threshold effects and forecasting
    Journal of Forecasting, 2004, 23, (5), 373-384 Downloads View citations (5)
    See also Working Paper ASYMMETRY IN THE LINK BETWEEN THE YIELD SPREAD AND INDUSTRIAL PRODUCTION. THRESHOLD EFFECTS AND FORECASTING, Working Papers. Serie AD (2004) Downloads View citations (5) (2004)
  2. Estimates of US monetary policy rules with allowance for changes in the output gap
    Applied Economics Letters, 2004, 11, (10), 601-605 Downloads View citations (5)
  3. Nonlinear Purchasing Power Parity under the Gold Standard
    Southern Economic Journal, 2004, 71, (2), 302-313 Downloads
  4. Term spread and real economic activity in Korea: was the crisis predictable?
    Applied Economics Letters, 2004, 11, (13), 797-801 Downloads View citations (2)

2003

  1. Further Evidence on PPP Adjustment Speeds: the Case of Effective Real Exchange Rates and the EMS
    Oxford Bulletin of Economics and Statistics, 2003, 65, (4), 421-437 Downloads View citations (41)
  2. On Public Investment, the Real Exchange Rate and Growth: Some Empirical Evidence from the UK and the USA
    Manchester School, 2003, 71, (3), 242-264 Downloads
  3. On the equilibrium value of the peseta
    Applied Financial Economics, 2003, 13, (5), 317-335 Downloads
  4. Purchasing Power Parity Adjustment Speeds in High Frequency Data when the Equilibrium Real Exchange Rate is Proxied by a Deterministic Trend
    Manchester School, 2003, 71, (s1), 39-53 Downloads View citations (9)
  5. Re-examination of the predictability of economic activity using the yield spread: a nonlinear approach
    International Review of Economics & Finance, 2003, 12, (2), 187-206 Downloads View citations (34)

Chapters

2009

  1. The Econometrics of Exchange Rates
    Palgrave Macmillan View citations (3)

2008

  1. TESTING SIGNIFICANCE OF VARIABLES IN REGRESSION ANALYSIS WHEN THERE IS NON-NORMALITY OR HETEROSKEDASTICITY.: THE WILD BOOTSTRAP AND THE GENERALISED LAMBDA DISTRIBUTION
    Chapter 8 in Advances In Doctoral Research In Management, 2008, pp 151-174 Downloads

2005

  1. Ex ante Real Returns in Forward Market Speculation in the Inter-War Period: Evidence and Prediction
    Springer
 
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