Professor Efthymios Pavlidis
ProfessorCurrent Teaching
ECON801: Research Skills for Economists
Web Links
Personal Webpage: https://sites.google.com/view/etpavlidis/
Research Overview
My main research interests are macroeconomics, international finance, and time series econometrics. I am involved in two projects on monitoring housing markets. The first project, which is in collaboration with the Globalization & Monetary Policy Institute of the Federal Reserve Bank of Dallas, is the International Housing Observatory. The second project is the UK Housing Observatory of Lancaster University.
Qualifications
Fellow of the Higher Education Academy
PhD Supervision Interests
I am happy to supervise PhD students working in the area of applied time series econometrics. I have a particular interest on applications related to modelling speculative dynamics in financial markets, modelling and forecasting real estate prices, and testing parity conditions.
Selected Publications
Dynamic linear models with adaptive discounting
Yusupova, A., Pavlidis, N., Pavlidis, E. 31/10/2023 In: International Journal of Forecasting. 39, 4, p. 1925-1944. 20 p.
Journal article
exuber: Recursive Right-Tailed Unit Root Testing with R
Vasilopoulos, K., Pavlidis, E., Martínez-García, E. 14/12/2021 In: Journal of Statistical Software.
Journal article
Speculative Bubbles in Segmented Markets: Evidence from Chinese Cross-Listed Stocks
Pavlidis, E., Vasilopoulos, K. 1/12/2020 In: Journal of International Money and Finance. 109, 21 p.
Journal article
Using Market Expectations to Test for Speculative Bubbles in the Crude Oil Market
Pavlidis, E., Paya, I., Peel, D.A. 1/08/2018 In: Journal of Money, Credit and Banking. 50, 5, p. 833-856. 24 p.
Journal article
Testing for speculative bubbles using spot and forward prices
Pavlidis, E., Paya, I., Peel, D.A. 28/11/2017 In: International Economic Review. 58, 4, p. 1191-1226. 36 p.
Journal article
A nonlinear analysis of the real exchange rate-consumption relationship
Pavlidis, E., Paya, I., Peel, D.A. 10/2018 In: Macroeconomic Dynamics. 22, 7, p. 1825-1843. 19 p.
Journal article
Episodes of exuberance in housing markets: in search of the smoking gun
Pavlidis, E., Yusupova, A., Paya, I., Peel, D., Martínez-García, E., Mack, A., Grossman, V. 11/2016 In: Journal of Real Estate Finance and Economics. 53, 4, p. 419-449. 31 p.
Journal article
Testing for linear and nonlinear Granger Causality in the real exchange rate-consumption relation
Pavlidis, E., Paya, I., Peel, D. 07/2015 In: Economics Letters. 132, p. 13-17. 5 p.
Journal article
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
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
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
All Publications
PhD Summer School on Macroeconometrics/Time Series
01/09/2019 → 01/01/2020
Research
Society for Nonlinear Dynamics and Econometrics, 21st Annual Symposium
Participation in conference -Mixed Audience
Lancaster Economics Seminar
Participation in workshop, seminar, course
Catholic University of Milan
Participation in workshop, seminar, course
Royal Economic Society Annual Conference
Participation in conference -Mixed Audience
NWDTC PhD Conference
Participation in conference -Mixed Audience
ESRC North West Doctoral Training Centre (External organisation)
Membership of committee
Lancaster Centre for Forecasting, March, 2011.
Participation in workshop, seminar, course
10/12/2010
Participation in conference -Mixed Audience
ESRC North West Doctoral Training Centre (External organisation)
Membership of committee
Royal Economic Society Annual Conference
Participation in conference -Mixed Audience
25th Annual Congress of the European Economic Association
Participation in conference -Mixed Audience
4th International conference on Computational and Financial Econometrics
Participation in conference -Mixed Audience
Scottish Economic Society Annual Conference 2009
Participation in conference -Mixed Audience
13th Annual International Conference on Macroeconomic Analysis and International Finance
Participation in conference -Mixed Audience
5th Conference on Growth and Business Cycles in Theory and Practice, Manchester
Participation in conference -Mixed Audience
64th European Meeting of the Econometric Society
Participation in conference -Mixed Audience
3rd International Conference on Computational and Financial Econometrics
Participation in conference -Mixed Audience
- Centre for Financial Econometrics, Asset Markets and Macroeconomic Policy
- Economics Research Group
- Macroeconomics and Financial Markets