Professor Ivan Paya
Professor, Head of Department
Economics
The Management SchoolLancaster University
Bailrigg
Lancaster
LA1 4YX
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.
Professional Role
Head of Department of Economics
Office Hours
Wednesday 10.00-11.00Research 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.
Web Links
Personal webpage: http://www.lancs.ac.uk/staff/paya/
Selected publications
- 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 - 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 - 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.
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