Professor Ivan Paya
Personal Chair
Department
Economics
Office Hours
Wednesday 10.00-11.00
Professional Role
Director MSc Money, Banking and Finance
Current Teaching
Undergraduate: Econ103 (Quantitative Methods for Economics), Econ222 (Macroeconomic Principles), Econ324 (Advanced Macroeconomics)
Postgraduate: Econ420 (Time Series), AcF651 (Advanced Research Methods)
Research Interests
My research interests lie in the areas of macroeconomics, finance and time series econometrics. I have examined the exchange rate and its parity conditions. In particular, I have analysed the existence of time-varying equilibrium real exchange rates, its historical perspective, and the effects of time-varying trade costs on the persistence and adjustment process of the exchange rate. Within this area of economics but contributing to nonlinear time series econometrics I have investigated the effects of temporal aggregation on the estimated statistics, the structure of the impulse response functions for nonlinear models, the selection procedure and linearity testing under conditional heteroskedasticity, and the power of linearity and unit root tests. Work in progress include a methodology for testing hypotheses of linearity and unit roots against alternatives such as non-linear model with multiple equilibria, and explosive processes.
This line of research about parity conditions has been complemented by looking at the empirical evidence of the Efficient Market Hypothesis (EMH). In this area I have worked on the uncovered interest parity and the forward premium puzzle in the interwar period. In addition, I have re-examined the predictive power of the term structure of interest rates on real economic growth using nonlinear models for the inter-war as well as post-war periods. I have also expanded this area of my research by providing new insights into the performance of forecast evaluation measures when one of the alternative (nesting) models is nonlinear. I am currently working on intrinsic rational bubbles, the detection of rational bubbles in different asset prices and spillover effects on stock returns.
Another research line studies the persistence of inflation series and monetary policy rules. In particular, the determination of the time series properties and forecastability of the US inflation series, the effect of temporal aggregation on measures of persistence, new evidence of the determinants of monetary policy reaction functions, and the forecasting of interest rates.
Journal article (27)
Conference contribution (5)
Working paper (14)
Selected publications (7)
View all publications (51)
Publications
- Paya Ivan, Nobay A and Peel D, 2010, 'Inflation dynamics in the US: global but not local mean reversion', Journal of Money, Credit and Banking, vol 42, no. 1, pp. 135-150.
View details - Pavlidis Efthymios, Paya Ivan and Peel D, 2009, 'The econometrics of exchange rates', in The Handbook of Econometrics Vol. 2, Palgrave, London, pp. 1025-1083, ISBN: 9781403917997
View details - Paya Ivan, Duarte A and Holden K, 2007, 'On the relationship between inflation persistence and temporal aggregation', Journal of Money, Credit and Banking, vol 39, no. 6, pp. 1521-1531.
View details - Venetis I A, Paya Ivan and Peel D A, 2007, 'Deterministic impulse response in a nonlinear model: an analytical expression', Economics Letters, vol 95, no. 3, pp. 315-319.
View details - Paya Ivan and Peel D, 2006, 'Temporal aggregation of an ESTAR process: some implications for purchasing power parity adjustment', Journal of Applied Econometrics, vol 21, no. 5, pp. 655-668.
View details - Peel D and Paya Ivan, 2006, 'A new analysis of the determinants of the real dollar-sterling exchange rate: 1871-1994', Journal of Money, Credit and Banking, vol 38, no. 8, pp. 1971-1990.
View details - Duarte A, Venetis I A and Paya Ivan, 2005, 'Predicting real growth and the probability of recession in the Euro-area using the yield spread', International Journal of Forecasting, vol 21, no. 2, pp. 261-277.
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