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Purchasing Power Parity Adjustment Speeds in High Frequency Data When the Equilibrium Real Exchange Rate is Proxied by a Deterministic Trend

Paya, Ivan; Peel, David A. - 2003

Rogoff suggested in 1996 that the dollar-yen real exchange rate represented a 'canonical' case of a trend in the equilibrium real exchange rate. The implied speed of adjustment of the dollar-yen real exchange rate is found to be substantially faster, with half-life shocks of less than 2 years,...

Persistent link: https://www.econbiz.de/10014075718

Inflation dynamics in the US : a nonlinear perspective

Nobay, Bob (contributor); Payá, Ivan (contributor); … - 2007

Persistent link: https://www.econbiz.de/10003616108

Inflation dynamics in the US : global but not local mean reversion

Nobay, Bob; Payá, Ivan; Peel, David - In: Journal of money, credit and banking : JMCB 42 (2010) 1, pp. 135-150

Persistent link: https://www.econbiz.de/10003922519

Nonlinear dynamics in economics and finance and unit root testing

Pavlidis, Efthymios G.; Payá, Ivan; Peel, David; … - In: The European journal of finance 19 (2013) 5/6, pp. 572-588

Persistent link: https://www.econbiz.de/10010243592

ESTAR model with multiple fixed points : testing and estimation

Venetis, Ioannis A. (contributor); Payá, Ivan (contributor) - 2009

Persistent link: https://www.econbiz.de/10003817115

Do real exchange rates "mean revert" to productivity? A nonliner approach

Venetis, I. A.; Payá, Ivan; Peel, David - 2005

Persistent link: https://www.econbiz.de/10002884308

Nonlinear mean-reversion in real exchange rates : toward a solution to the purchasing power parity puzzles

Taylor, Mark P.; Peel, David; Sarno, Lucio - In: International economic review 42 (2001) 4, pp. 1015-1042

Persistent link: https://www.econbiz.de/10001624480

Further empirical analysis of the time series properties of financial ratios based on a panel data approach

Peel, David; Peel, Michael J.; Venetis, Ioannis A. - In: Applied financial economics 14 (2004) 3, pp. 155-163

Persistent link: https://www.econbiz.de/10001915446

Testing for speculative bubbles using spot and forward prices

Pavlidis, Efthymios G.; Payá, Ivan; Peel, David - In: International economic review 58 (2017) 4, pp. 1191-1226

Persistent link: https://www.econbiz.de/10011860373

Episodes of exuberance in housing markets : in search of the smoking gun

Pavlidis, Efthymios; Yusupova, Alisa; Payá, Ivan; … - 2014

Persistent link: https://www.econbiz.de/10012171436

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