Details about Ivan Paya

Access statistics for papers by Ivan Paya.

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

Short-id: ppa363

Working Papers

2020

1. Macroprudential Policy in the Euro Area
   Working Papers, Lancaster University Management School, Economics Department 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

2019

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

2017

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

2015

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

2014

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

2013

8. Episodes of Exuberance in Housing Markets: In Search of the Smoking Gun
   Globalization Institute Working Papers, Federal Reserve Bank of Dallas 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) View citations (64) (2016)
9. Higher-order moments in the theory of diversification and portfolio composition
   Working Papers, Lancaster University Management School, Economics Department View citations (6)

2012

10. 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 View citations (20)

2011

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

2010

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

2009

15. Bubbles in House Prices and their Impact on Consumption: Evidence for the US
    Working Papers, Lancaster University Management School, Economics Department View citations (18)
16. ESTAR model with multiple fixed points. Testing and Estimation
    Working Papers, Lancaster University Management School, Economics Department View citations (2)
17. Forecasting the Real Exchange Rate using a Long Span of Data. A Rematch: Linear vs Nonlinear
    Working Papers, Lancaster University Management School, Economics Department View citations (1)
18. Linkages between Shanghai and Hong Kong stock indices
    Working Papers, Lancaster University Management School, Economics Department View citations (16)
    See also Journal Article Linkages between Shanghai and Hong Kong stock indices, Applied Financial Economics, Taylor & Francis Journals (2009) View citations (16) (2009)
19. Real Exchange Rates and Time-Varying Trade Costs
    Working Papers, Lancaster University Management School, Economics Department View citations (2)
    See also Journal Article Real exchange rates and time-varying trade costs, Journal of International Money and Finance, Elsevier (2011) View citations (10) (2011)
20. Specifying Smooth Transition Regression Models in the Presence of Conditional Heteroskedasticity of Unknown Form
    Working Papers, Lancaster University Management School, Economics Department 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) View citations (17) (2010)

2007

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

2006

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

2005

26. 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) View citations (9)
    Also in Working Papers, Lancaster University Management School, Economics Department (2005) View citations (2)
27. THE PROCESS FOLLOWED BY PPP DATA. ON THE PROPERTIES OF LINEARITY TESTS
    Working Papers. Serie AD, Instituto Valenciano de Investigaciones Económicas, S.A. (Ivie) 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) View citations (11) (2005)
28. Temporal aggregation of an ESTAR process
    Working Papers, Lancaster University Management School, Economics Department View citations (1)

2004

29. 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) 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) View citations (5) (2004)
30. NONLINEAR PPP UNDER THE GOLD STANDARD
    Working Papers. Serie AD, Instituto Valenciano de Investigaciones Económicas, S.A. (Ivie) View citations (5)
31. 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) 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) View citations (49) (2005)
32. 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) 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) View citations (11) (2006)
33. The long memory story of ex post real interest rates. Can it be supported?
    Econometrics, University Library of Munich, Germany

Journal Articles

2023

1. Higher order risk attitudes: new model insights and heterogeneity of preferences
   Experimental Economics, 2023, 26, (1), 145-192 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 View citations (1)

2021

3. House prices, (un)affordability and systemic risk
   New Zealand Economic Papers, 2021, 55, (1), 105-123
   See also Working Paper House Prices, (Un)Affordability and Systemic Risk, Working Papers (2019) (2019)
4. 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 View citations (1)

2020

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

2019

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

2018

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

2017

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

2016

10. 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 View citations (64)
    See also Working Paper Episodes of Exuberance in Housing Markets: In Search of the Smoking Gun, Globalization Institute Working Papers (2013) View citations (12) (2013)
11. Pure higher-order effects in the portfolio choice model
    Finance Research Letters, 2016, 19, (C), 255-260 View citations (9)
12. Wealth fluctuations and investment in risky assets: The UK micro evidence on households asset allocation
    Journal of Empirical Finance, 2016, 38, (PA), 221-235 View citations (6)

2015

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

2013

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

2012

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

2011

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

2010

23. Further empirical evidence of nonlinearity in the us monetary policy rule
    Economics Bulletin, 2010, 30, (3), 2464-2477 View citations (2)
24. 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 (1)
    Also in Journal of Money, Credit and Banking, 2010, 42, (1), 135-150 (2010) View citations (18)
25. Specifying Smooth Transition Regression Models in the Presence of Conditional Heteroskedasticity of Unknown Form
    Studies in Nonlinear Dynamics & Econometrics, 2010, 14, (3), 40 View citations (17)
    See also Working Paper Specifying Smooth Transition Regression Models in the Presence of Conditional Heteroskedasticity of Unknown Form, Working Papers (2009) View citations (4) (2009)
26. The forward premium puzzle in the interwar period and deviations from covered interest parity
    Economics Letters, 2010, 108, (1), 55-57 View citations (7)

2009

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

2007

28. Deterministic impulse response in a nonlinear model. An analytical expression
    Economics Letters, 2007, 95, (3), 315-319 View citations (2)
29. On the Relationship between Inflation Persistence and Temporal Aggregation
    Journal of Money, Credit and Banking, 2007, 39, (6), 1521-1531 View citations (3)
    Also in Journal of Money, Credit and Banking, 2007, 39, (6), 1521-1531 (2007) View citations (15)
    See also Working Paper On the relationship between inflation persistence and temporal aggregation, Working Papers (2006) (2006)
30. On the relationship between nominal exchange rates and domestic and foreign prices
    Applied Financial Economics, 2007, 17, (2), 105-117 View citations (4)
    See also Working Paper On the relationship between Nominal Exchange Rates and domestic and foreign prices, Working Papers (2006) View citations (1) (2006)

2006

31. On the speed of adjustment in ESTAR models when allowance is made for bias in estimation
    Economics Letters, 2006, 90, (2), 272-277 View citations (10)
32. Temporal aggregation of an ESTAR process: some implications for purchasing power parity adjustment
    Journal of Applied Econometrics, 2006, 21, (5), 655-668 View citations (11)
    Also in Journal of Applied Econometrics, 2006, 21, (5), 655-668 (2006) View citations (1)
    See also Working Paper TEMPORAL AGGREGATION OF AN ESTAR PROCESS: SOME IMPLICATIONS FOR PURCHASING POWER PARITY ADJUSTMENT, Working Papers. Serie AD (2004) View citations (9) (2004)

2005

33. 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 View citations (49)
    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) View citations (8) (2004)
34. The process followed by PPP data. On the properties of linearity tests
    Applied Economics, 2005, 37, (21), 2515-2522 View citations (11)
    See also Working Paper THE PROCESS FOLLOWED BY PPP DATA. ON THE PROPERTIES OF LINEARITY TESTS, Working Papers. Serie AD (2005) View citations (11) (2005)
35. The term spread and real economic activity in the US inter-war period
    Journal of Macroeconomics, 2005, 27, (2), 331-343 View citations (2)

2004

36. Asymmetry in the link between the yield spread and industrial production: threshold effects and forecasting
    Journal of Forecasting, 2004, 23, (5), 373-384 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) View citations (5) (2004)
37. Estimates of US monetary policy rules with allowance for changes in the output gap
    Applied Economics Letters, 2004, 11, (10), 601-605 View citations (5)
38. Nonlinear Purchasing Power Parity under the Gold Standard
    Southern Economic Journal, 2004, 71, (2), 302-313 View citations (1)
39. Term spread and real economic activity in Korea: was the crisis predictable?
    Applied Economics Letters, 2004, 11, (13), 797-801 View citations (2)

2003

40. 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 View citations (41)
41. 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
42. On the equilibrium value of the peseta
    Applied Financial Economics, 2003, 13, (5), 317-335
43. 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 View citations (9)
44. 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 View citations (34)

Chapters

2009

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

2008

2. 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

2005

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