I. Paya

Deterministic impulse response in a nonlinear model: an analytical expression. (2007)

Peel, DA, Paya, I, Venetis, IA

On the relationship between nominal exchange rates and domestic and foreign prices. (2007)

Peel, DA, Paya, I

On the relationship between inflation persistence and temporal aggregation. (2007)

Paya, I, Holden, K, Duarte, A

Estimating Argentina''s imports elasticities. (2007)

Duarte, A, Nicolini-Llosa, JL, Paya, I

The aim of this paper is to provide new estimates of the income and price elasticities of the demand for imports in Argentina. Given the non-stationary nature of the data and to avoid problems of...

Temporal aggregation of an ESTAR process: some implications for purchasing power parity adjustment. (2006)

Paya, I, Peel, D

A new analysis of the determinants of the real dollar-sterling exchange rate: 1871-1994. (2006)

Peel, D, Paya, I

On the speed of adjustment in ESTAR models when allowance is made for bias in estimation. (2006)

Paya, I, Peel, D

The long memory story of real interest rates. Can it be supported? (2006)

Venetis, IA, Duarte, A, Paya, I

This papers finds evidence of fractional integration for a number of monthly ex post real interest rate series using the GPH semiparametric estimator on data from fourteen European countries and the...

On the relationship between inflation persistence and temporal aggregation. (2006)

Paya, I, Duarte, A, Holden, K

This paper examines the impact of temporal aggregation on alternative definitions of inflation persistence. Using the CPI and the core PCE deflator of the US, our results show that temporal...

On the relationship between Nominal Exchange Rates and domestic and foreign prices. (2006)

Paya, I, Peel, D

A number of authors have found significant cointegrating relationships between spot exchange rates and domestic and foreign price levels for the major currencies where the magnitude of the...

The process followed by PPP data: on the properties of linearity tests. (2005)

Paya, I, Peel, D

Predicting real growth and the probability of recession in the Euro-area using the yield spread. (2005)

Duarte, A, Venetis, IA, Paya, I

The term spread and real economic activity in the US inter-war period. (2005)

Paya, I, Matthews, K, Peel, D

A new analysis of the determinants of the real dollar-sterling exchange rate: 1871-1994. (2005)

Paya, I, Peel, D

Nonlinear models of deviations from PPP have recently provided an important, theoretically well motivated, contribution to the PPP puzzle. In recent work the equilibrium level has been modelled...

Temporal aggregation of an ESTAR process: some implications for purchasing power parity adjustment. (2005)

Paya, I, Peel, D

Nonlinear models of deviations from PPP have recently provided an important, theoretically well motivated, contribution to the PPP puzzle. Most of these studies use temporally aggregated data to...

Ex ante real returns in forward market speculation in the interwar period: evidence and prediction. (2005)

Paya, I, Peel, D

Testing for market efficiency in gambling markets: some observations and new statistical tests based on a bootstrap method. (2005)

Paya, I, Peel, D, Law, D, Peirson, J

Estimates of US monetary policy rules with allowance for changes in the output gap. (2004)

Peel, D, Paya, I, Venetis, IA

The term spread and real economic activity in Korea: was the crisis predictable? (2004)

Paya, I, Matthews, K

Asymmetry in the link between the yield spread and industrial production: threshold effects and forecasting. (2004)

Peel, D, Paya, I

Nonlinear purchasing power parity under the gold standard. (2004)

Peel, D, Paya, I

Alan Walters and the demand for money: an empirical retrospective. (2004)

Matthews, K, Peel, D, Paya, I

On the equilibrium value of the Peseta. (2003)

Paya, I, Holden, K, Duarte, A

Further evidence of PPP adjustment speeds: the case of real effective exchange rates in the EMS. (2003)

Paya, I, Venetis, IA, Peel, D

On public investment, the real exchange and growth: some empirical evidence from the UK and the US. (2003)

Paya, I, Gosh, S, Mourmouras, IA, Pal, S

PPP adjustment speeds in high frequency data when equilibrium real exchange rates is proxied by a time trend. (2003)

Peel, D, Paya, I

Re-examination of the predictability of economic activity using the yield spread: a nonlinear approach. (2003)

Venetis, IA, Paya, I, Peel, DA

Estimates of US monetary policy rules with allowance for changes in the output gap

D. A. Peel, I. Paya, I. Venetis

This article estimates a reduced form Taylor rule for the Pre-Volcker and Volcker-Greenspan periods. A novelty is that it follows a suggestion of Walsh and includes changes in the output gap as an...

On the equilibrium value of the peseta

I. Paya, A. Duarte, K. Holden

This paper empirically analyses the equilibrium value of the peseta in the light of recent contributions in this field of study. Following MacDonald ( IMF Working Paper 97/21, 1997), the approach...