Professor Ivan Paya

Professor

Research Overview

My research interests lie in the areas of Applied Macroeconomics, Financial Economics, and Time Series Econometrics. I am currently working on new tests to detect rational bubbles in asset prices, the behaviour of house prices, the effect of higher-order moments on decision theory, the effects of temporal aggregation on time series models, and forecasting.

I am a team member of the UK Housing Observatory

Selected Publications Show all 45 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. 28/11/2017 In: International Economic Review. 58, 4, p. 1191-1226. 36 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

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.
Chapter

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

Computational and Financial Econometrics (CFE) (External organisation)
Member of an organisation

Applied & Econometrics Workshop, Economics Department, University of Alicante
Invited talk

10th International Conference on Computational and Financial Econometrics
Participation in conference

The 9th International Conference on Computational and Financial Econometrics
Participation in conference

11th BMRC-DEMS Conference
Participation in conference

23rd Symposium of the Society for Nonlinear Dynamics and Econometrics
Participation in conference

10th BMRC-DEMS Conference
Participation in conference

22nd Symposium of the Society for Nonlinear Dynamics and Econometrics
Participation in conference

Seminar Economics at Cardiff Business School
Participation in workshop, seminar, course

17th Annual International Conference on Macroeconomic Analysis and International Finance
Participation in conference

Society for Nonlinear Dynamics and Econometrics, 21st Annual Symposium
Participation in conference

20th Annual Symposium Society for Nonlinear Dynamics and Econometrics
Participation in conference

Workshop on Recent Developments in Econometric Analysis
Participation in workshop, seminar, course

The Society for Nonlinear Dynamics and Econometrics (External organisation)
Member of an organisation

Applied Economics (Journal)
Editorial activity

Applied Financial Economics (Journal)
Editorial activity

18th Annual Symposium, Society for Nonlinear Dynamics and Econometrics
Participation in conference

17th Annual Symposium, Society for Nonlinear Dynamics and Econometrics
Participation in conference

University of Sussex (External organisation)
Membership of committee

Centre for Financial Econometrics, Asset Markets and Macroeconomic Policy, Macroeconomics and Financial Markets

  • Centre for Financial Econometrics, Asset Markets and Macroeconomic Policy
  • Economics Research Group
  • Macroeconomics and Financial Markets

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