Professor Ivan Paya


Research Grants

Co-Investigator, “Econometric Models: theoretical issues and applications in Microeconometrics and Financial Econometrics”, Ministry of Education and Science, Spain, SEJ2008-05721/ECON. Period 2008-2011, 105,000 euros.Co-Investigator, “Econometric Models. Theory and Applications in Economics and Finance”, Ministry of Education and Science, Spain, SEJ2005-02829/ECON. Period: 2005-2008, 102,000 euros.

Selected Publications Show all 44 publications

Wealth fluctuations and investment in risky assets: the UK micro evidence on households asset allocation
Paya, I., Wang, P. 09/2016 In: Journal of Empirical Finance. 38, Part A, p. 221-235. 15 p.
Journal article

Testing for speculative bubbles using spot and forward prices
Pavlidis, E., Paya, I., Peel, D.A. 6/06/2016 In: International Economic Review.
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

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

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

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 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.

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

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

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