Professor Ivan Paya

Head of Department, Professor

Research Overview

My research interests lie in the areas of macroeconomics, finance and time series econometrics. I am currently working on the effects of temporal aggregation, new tests for detecting rational bubbles in asset prices, model selection and linearity testing, forecast evaluation measures with nonlinear models, and the effect of higher-order moments on decision theory within the standard portfolio problem. The areas of my applied work include: exchange rates and its parity conditions, asset prices, EMH, persistence of inflation series, monetary policy rules, and predictive power of the term structure of interest rates on real economic activity.

Episodes of exuberance in housing markets: in search of the smoking gun
Pavlidis, E., Yusupova, A., Paya, I., Peel, D., Martinez-Garcia, E., Mack, A., Crossman, V. 2014 Lancaster : Lancaster University, Department of Economics
Working paper

Nonlinear causality tests and multivariate conditional heteroskedasticity: a simulation study
Pavlidis, E., Paya, I., Peel, D. 02/2013 In: Studies in Nonlinear Dynamics and Econometrics. 17, 3, p. 297-312. 16 p.
Journal article

Nonlinear dynamics in economics and finance and unit root testing
Pavlidis, E., Paya, I., Peel, D., Siriopoulos, C. 2013 In: European Journal of Finance. 19, 6, p. 572-588. 17 p.
Journal article

Higher-order moments in the theory of diversification and portfolio composition
Niguez, T., Paya, I., Peel, D., Perote, J. 2013 Lancaster : Lancaster University, Department of Economics, 26 p.
Working paper

A New Test for Rational Speculative Bubbles using Forward Exchange Rates: The Case of the Interwar German Hyperinflation
Pavlidis, E., Paya, I., Peel, D. 7/09/2012 Lancaster : The Department of Economics, 26 p.
Working paper

On the stability of the constant relative risk aversion (CRRA) under high degrees of uncertainty
Niguez, T., Paya, I., Peel, D., Perote, J. 05/2012 In: Economics Letters. 115, 2, p. 244-248. 5 p.
Journal article

Forecasting Monetary Policy Rules in South Africa
Naraidoo, R., Paya, I. 04/2012 In: International Journal of Forecasting. 28, 2, p. 446-455. 10 p.
Journal article

Forecast evaluation of nonlinear models: the case of long-span real exchange rates
Pavlidis, E., Paya, I., Peel, D. 2012 In: Journal of Forecasting. 31, 7, p. 580-595. 16 p.
Journal article

Systematic sampling of nonlinear models: evidence on speed of adjustment in index futures markets
Paya, I., Peel, D. 02/2011 In: Journal of Futures Markets. 31, 2, p. 192-203. 12 p.
Journal article

On the stability of the CRRA utility under high degrees of uncertainty
Niguez, T.M., Paya, I., Peel, D., Perote, J. 2011 Lancaster University : The Department of Economics
Working paper

Real Exchange Rates and Time-Varying Trade Costs
Pavlidis, E., Paya, I., Peel, D. 2011 In: Journal of International Money and Finance. 30, 6, p. 1157-1179. 23 p.
Journal article

Forecasting Monetary Policy Rules in South Africa
Naraidoo, R., Paya, I. 2010 Lancaster University : The Department of Economics
Working paper

Specifying smooth transition regression models in the presence of conditional heteroskedasticity of unknown form
Pavlidis, E., Paya, I., Peel, D. 2010 In: Studies in Nonlinear Dynamics and Econometrics. 14, 3, p. 1-38. 38 p.
Journal article

Inflation dynamics in the US: global but not local mean reversion
Paya, I., Nobay, A., Peel, D. 2010 In: Journal of Money, Credit and Banking. 42, 1, p. 135-150. 16 p.
Journal article

The forward premium puzzle in the interwar period and deviations from covered interest parity
Paya, I., Peel, D., Spiru, A.M. 2010 In: Economics Letters. 108, 1, p. 55-57. 3 p.
Journal article

Further empirical evidence on the consumption-real exchange rate anomaly.
Pavlidis, E., Paya, I., Peel, D. 2010 Lancaster : Lancaster University, Department of Economics, 22 p.
Working paper

Real exchange rates and time-varying trade costs
Paya, I. 2009 In: 17th Annual Symposium, Society for Nonlinear Dynamics and Econometrics (Atlanta) - 2009. N/A : unknown
Conference contribution

Further empirical evidence on the consumption-real exchange rate anomaly
Paya, I. 2009 In: 24th Annual Congress of the European Economic Association (Barcelona) - 2009. N/A : unknown
Conference contribution

Linkages between Shanghai and Hong Kong stock indices
Paya, I., Zhang, S., Peel, D. 2009 In: Applied Financial Economics. 19, 23, p. 1847-1857. 11 p.
Journal article

Bubbles in House Prices and their Impact on Consumption: Evidence for the US
Pavlidis, E., Paya, I., Peel, D., Spiru, A.M. 2009 Lancaster University : The Department of Economics
Working paper

Forecasting the Real Exchange Rate using a Long Span of Data. A Rematch: Linear vs Nonlinear
Pavlidis, E., Paya, I., Peel, D. 2009 Lancaster University : The Department of Economics
Working paper

Real Exchange Rates and Time-Varying Trade Costs
Pavlidis, E., Paya, I., Peel, D. 2009 Lancaster University : The Department of Economics
Working paper

Linkages between Shanghai and Hong Kong stock indices
Zhang, S., Paya, I., Peel, D. 2009 Lancaster University : The Department of Economics
Working paper

ESTAR model with multiple fixed points. Testing and Estimation
Venetis, I.A., Paya, I., Peel, D. 2009 Lancaster University : The Department of Economics
Working paper

The econometrics of exchange rates
Pavlidis, E., Paya, I., Peel, D. 2009 In: The Handbook of Econometrics Vol. 2. London : Palgrave p. 1025-1083. 59 p. ISBN: 9781403917997.
Chapter

Testing significance of variables in regression analysis when there is non-normality or heteroskedasticity. The wild bootstrap and the generalized lambda distribution
Paya, I., Pavlidis, E., Peel, D. 2008 In: Advances in Doctoral Research in Management Vol. 2. Singapore : World Scientific Publishing ISBN: 9789812778659.
Chapter

Systematic sampling of nonlinear models: evidence on speeds of adjustment in index futures markets
Paya, I. 2007 In: 15th Annual Symposium of the Society for Nonlinear Dynamics and Econometrics, CREST-ENSAE (Paris) - 2007. N/A : unknown
Conference contribution

ESTAR models that allow multiple equilibria
Paya, I. 2007 In: 1st Workshop ESRC Seminar Series Nonlinear Economics (Keele University) - 2007. N/A : unknown
Conference contribution

Linearity testing in the presence of heteroskedasticity
Paya, I. 2007 In: 2nd Workshop ESRC Seminar Series Nonlinear Economics (Brunel University, UK) - 2007. N/A : unknown
Conference contribution

Deterministic impulse response in a nonlinear model. An analytical expression.
Venetis, I.A., Paya, I., Peel, D. 2007 In: Economics Letters. 95, 3, p. 315-319. 5 p.
Journal article

On the relationship between nominal exchange rates and domestic and foreign prices
Paya, I., Peel, D.A. 2007 In: Applied Financial Economics. 17, 2, p. 105 - 117. 13 p.
Journal article

Estimating Argentina''s imports elasticities
Duarte, A., Nicolini-Llosa, J.L., Paya, I. 2007 Lancaster University : The Department of Economics
Working paper

Deterministic impulse response in a nonlinear model: an analytical expression
Venetis, I.A., Paya, I., Peel, D.A. 2007 In: Economics Letters. 95, 3, p. 315-319. 5 p.
Journal article

On the relationship between inflation persistence and temporal aggregation
Paya, I., Duarte, A., Holden, K. 2007 In: Journal of Money, Credit and Banking. 39, 6, p. 1521-1531. 11 p.
Journal article

The long memory story of real interest rates. Can it be supported?
Venetis, I.A., Duarte, A., Paya, I. 2006 Lancaster University : The Department of Economics
Working paper

On the relationship between inflation persistence and temporal aggregation
Paya, I., Duarte, A., Holden, K. 2006 Lancaster University : The Department of Economics
Working paper

A new analysis of the determinants of the real dollar-sterling exchange rate: 1871-1994
Peel, D., Paya, I. 2006 In: Journal of Money, Credit and Banking. 38, 8, p. 1971-1990. 20 p.
Journal article

On the relationship between Nominal Exchange Rates and domestic and foreign prices
Paya, I., Peel, D. 2006 Lancaster University : The Department of Economics
Working paper

Temporal aggregation of an ESTAR process: some implications for purchasing power parity adjustment
Paya, I., Peel, D. 2006 In: Journal of Applied Econometrics. 21, 5, p. 655-668. 14 p.
Journal article

On the speed of adjustment in ESTAR models when allowance is made for bias in estimation
Paya, I., Peel, D. 2006 In: Economics Letters. 90, 2, p. 272-277. 6 p.
Journal article

The term spread and real economic activity in the US inter-war period
Paya, I., Matthews, K., Peel, D. 2005 In: Journal of Macroeconomics. 27, 2, p. 331-343. 13 p.
Journal article

Predicting real growth and the probability of recession in the Euro-area using the yield spread
Duarte, A., Venetis, I.A., Paya, I. 2005 In: International Journal of Forecasting. 21, 2, p. 261-277. 17 p.
Journal article

Testing for market efficiency in gambling markets: some observations and new statistical tests based on a bootstrap method
Paya, I., Peel, D., Law, D., Peirson, J. 2005 In: Information Efficiency in Financial and Betting Markets. Cambridge : Cambridge University Press p. 346-365. 20 p. ISBN: 0521816033.
Chapter

Ex ante real returns in forward market speculation in the interwar period: evidence and prediction
Paya, I., Peel, D. 2005 In: New Trends in Macroeconomics. Berlin : Springer p. 125-146. 22 p. ISBN: 3-540-21448-8.
Chapter

The process followed by PPP data: on the properties of linearity tests
Paya, I., Peel, D. 2005 In: Applied Economics. 37, 21, p. 2515-2522. 8 p.
Journal article

A new analysis of the determinants of the real dollar-sterling exchange rate: 1871-1994
Paya, I., Peel, D. 2005 Lancaster University : The Department of Economics
Working paper

Temporal aggregation of an ESTAR process: some implications for purchasing power parity adjustment
Paya, I., Peel, D. 2005 Lancaster University : The Department of Economics
Working paper

Alan Walters and the demand for money: an empirical retrospective
Matthews, K., Peel, D., Paya, I. 2004 In: Money Matters. Essays in Honour of Sir Alan Walters. Cheltenham : Edward Elgar ISBN: 1-84376-443-1.
Chapter

The term spread and real economic activity in Korea: was the crisis predictable?
Matthews, K., Paya, I. 2004 In: Applied Economics Letters. 11, p. 797-801. 5 p.
Journal article

Estimates of US monetary policy rules with allowance for changes in the output gap
Venetis, I.A., Peel, D., Paya, I. 2004 In: Applied Economics Letters. 11, 10, p. 601-605. 5 p.
Journal article

Nonlinear purchasing power parity under the gold standard
Peel, D., Paya, I. 2004 In: Southern Economic Journal. 71, 2, p. 302-313. 12 p.
Journal article

Asymmetry in the link between the yield spread and industrial production: threshold effects and forecasting
Paya, I., Peel, D. 2004 In: Journal of Forecasting. 23, 5, p. 373-384. 12 p.
Journal article

Further Evidence on PPP Adjustment Speeds: the Case of Effective Real Exchange Rates and the EMS
Paya, I., Venetis, I., Peel, D. 09/2003 In: Oxford Bulletin of Economics and Statistics. 65, 4, p. 421-437. 17 p.
Journal article

PPP adjustment speeds in high frequency data when equilibrium real exchange rates is proxied by a time trend
Peel, D., Paya, I. 2003 In: Manchester School. 71, p. 39-53. 15 p.
Journal article

On public investment, the real exchange and growth: some empirical evidence from the UK and the US
Mourmouras, I.A., Gosh, S., Pal, S., Paya, I. 2003 In: Manchester School. 71, 3, p. 242-264. 23 p.
Journal article

On the equilibrium value of the Peseta
Duarte, A., Holden, K., Paya, I. 2003 In: Applied Financial Economics. 13, 5, p. 317-335. 19 p.
Journal article

Re-examination of the predictability of economic activity using the yield spread: a nonlinear approach
Venetis, I.A., Paya, I., Peel, D.A. 2003 In: International Review of Economics and Finance. 12, 2, p. 187-206. 20 p.
Journal article