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Peter Damian Spencer

Personal Details

First Name:Peter
Middle Name:Damian
Last Name:Spencer
Suffix:
RePEc Short-ID:psp109
[This author has chosen not to make the email address public]
http://www.york.ac.uk/economics/our-people/staff-profiles/peter-spencer/

Affiliation

(95%) Department of Economics and Related Studies
University of York

York, United Kingdom
http://www.york.ac.uk/economics/
RePEc:edi:deyoruk (more details at EDIRC)

(5%) Bank of England

London, United Kingdom
http://www.bankofengland.co.uk/
RePEc:edi:boegvuk (more details at EDIRC)

Research output

as
Jump to: Working papers Articles Chapters Books

Working papers

  1. Adam Golinski & Peter Spencer, 2020. "Coronametrics: The UK turns the corner," Discussion Papers 20/04, Department of Economics, University of York.
  2. Peter Spencer & Peter Smith & Paulo Santos Monteiro, 2020. "How to better align the U.K.’s corporate tax structure with national objectives," Discussion Papers 20/02, Department of Economics, University of York.
  3. Adam Golinski & Peter Spencer, 2020. "Modeling the Covid-19 Epidemic Using Time Series Econometrics," Discussion Papers 20/06, Department of Economics, University of York.
  4. Adam Golinski & Peter Spencer, 2019. "Estimating the term structure with linear regressions: Getting to the roots of the problem," Discussion Papers 19/05, Department of Economics, University of York.
  5. Meldrum, Andrew & Raczko, Marek & Spencer, Peter, 2018. "The information in the joint term structures of bond yields," Bank of England working papers 772, Bank of England.
  6. Meldrum, Andrew & Raczko, Marek & Spencer, Peter, 2016. "Overseas unspanned factors and domestic bond returns," Bank of England working papers 618, Bank of England.
  7. Peter Spencer, 2013. "Modeling US bank CDS spreads during the Global Financial Crisis with a deferred filtration pricing model," Discussion Papers 13/18, Department of Economics, University of York.
  8. Peter Spencer, 2013. "The US Economy, the Treasury Bond Market and the Specification of Macro-Finance Models," Discussion Papers 13/22, Department of Economics, University of York.
  9. Peter Spencer, 2013. "The behavior of the hazard rate in the Gaussian structural default model under asymmetric information," Discussion Papers 13/23, Department of Economics, University of York.
  10. Adam Golinski & Peter Spencer, 2012. "The Meiselman forward interest rate revision regression as an Affine Term Structure Model," Discussion Papers 12/27, Department of Economics, University of York.
  11. Polito, Vito & Spencer, Peter, 2011. "UK Macroeconomic Volatility and the Welfare Costs of Inflation," Cardiff Economics Working Papers E2011/23, Cardiff University, Cardiff Business School, Economics Section.
  12. Peter Spencer, 2007. "Stochastic Volatility in a Macro-Finance Model of the US Term Structure of Interest Rates 1961-2004," Discussion Papers 07/32, Department of Economics, University of York.
  13. Peter Spencer, 2007. "Macro volatility in a model of the UK Gilt edged bond market," Money Macro and Finance (MMF) Research Group Conference 2006 73, Money Macro and Finance Research Group.
  14. Renatas Kizys & Peter Spencer, 2007. "Assessing the Relation between Equity Risk Premium and Macroeconomic Volatilities in the UK," Discussion Papers 07/13, Department of Economics, University of York.
  15. Renatas Kizys & Peter Spencer, 2007. "Assessing the Relation between Equity Risk Premia and Macroeconomic Volatilities," Money Macro and Finance (MMF) Research Group Conference 2006 140, Money Macro and Finance Research Group.
  16. Peter Spencer, 2004. "Affine Macroeconomic Models of the Term Structure of Interest Rates: The US Treasury Market 1961-99," Discussion Papers 04/16, Department of Economics, University of York, revised Jan 2006.
  17. Peter Spencer, 1996. "Intertemporal Substitution, Time Preference and Portfolio Hedging Behavior in a Continuous Time Stochastic Model of the Economy," Archive Working Papers 014, Birkbeck, Department of Economics, Mathematics & Statistics.
  18. Peter Spencer, "undated". "UK macroeconomic volatility and the term structure of interest rates," Discussion Papers 11/28, Department of Economics, University of York.
  19. Peter D Spencer, "undated". "Coupon Bond Valuation with a Non-Affine Discount Yield Model," Discussion Papers 03/16, Department of Economics, University of York.
  20. Peter Spencer & Zhuoshi Liu, "undated". "An Open-Economy Macro-Finance Model of Internatinal Interdependence: The OECD, US and the UK," Discussion Papers 09/16, Department of Economics, University of York.

Articles

  1. Adam Goliński & Peter Spencer, 2024. "Unconventional Monetary Policies and the Yield Curve: Estimating Non-Affine Term Structure Models with Unspanned Macro Risk by Factor Extraction," The Review of Asset Pricing Studies, Society for Financial Studies, vol. 14(1), pages 119-152.
  2. Haicheng Shu & Peter Spencer, 2023. "Oil prices in the real economy," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 38(6), pages 878-897, September.
  3. Meldrum, Andrew & Raczko, Marek & Spencer, Peter, 2023. "The information in joint term structures of bond yields," Journal of International Money and Finance, Elsevier, vol. 134(C).
  4. Adam Goliński & Peter Spencer, 2021. "Estimating the Term Structure with Linear Regressions: Getting to the Roots of the Problem [Term Structure Persistence]," Journal of Financial Econometrics, Oxford University Press, vol. 19(5), pages 960-984.
  5. Adam Goliński & Peter Spencer, 2021. "Modeling the Covid‐19 epidemic using time series econometrics," Health Economics, John Wiley & Sons, Ltd., vol. 30(11), pages 2808-2828, November.
  6. Goliński, Adam & Spencer, Peter, 2017. "The advantages of using excess returns to model the term structure," Journal of Financial Economics, Elsevier, vol. 125(1), pages 163-181.
  7. Vito Polito & Peter Spencer, 2016. "Optimal Control of Heteroscedastic Macroeconomic Models," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 31(7), pages 1430-1444, November.
  8. Spencer, Peter, 2016. "US bank credit spreads during the financial crisis," Journal of Banking & Finance, Elsevier, vol. 71(C), pages 168-182.
  9. Spencer, Peter, 2014. "The Mills Ratio and the behavior of redeemable bond prices in the Gaussian structural model of corporate default," Finance Research Letters, Elsevier, vol. 11(1), pages 8-15.
  10. Peter Spencer, 2013. "UK Macroeconomic Volatility and the Term Structure of Interest Rates," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 75(3), pages 323-339, June.
  11. Liu, Zhuoshi & Spencer, Peter, 2013. "Modelling sovereign credit spreads with international macro-factors: The case of Brazil 1998–2009," Journal of Banking & Finance, Elsevier, vol. 37(2), pages 241-256.
  12. Spencer, Peter & Liu, Zhuoshi, 2010. "An open-economy macro-finance model of international interdependence: The OECD, US and the UK," Journal of Banking & Finance, Elsevier, vol. 34(3), pages 667-680, March.
  13. Zhuoshi Liu & Peter Spencer, 2009. "An Admissible Term Structure Model Of Sovereign Yield Spreads With Macro Factors: The Case Of Brazilian Global Bonds," Manchester School, University of Manchester, vol. 77(s1), pages 108-125, September.
  14. Peter Spencer, 2009. "An Admissible Macro-Finance Model of the US Treasury Market," Multinational Finance Journal, Multinational Finance Journal, vol. 13(1-2), pages 1-38, March-Jun.
  15. Peter D. Spencer, 2008. "Stochastic Volatility in a Macro-Finance Model of the U.S. Term Structure of Interest Rates 1961-2004," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 40(6), pages 1177-1215, September.
  16. Peter Spencer, 2002. "Can National Banking Systems Compete?. A Comment on the Paper by Hans-Werner Sinn," FinanzArchiv: Public Finance Analysis, Mohr Siebeck, Tübingen, vol. 59(3), pages 336-339, August.
  17. Peter Spencer, 2002. "The Impact of Information and Communications Technology Investment on UK Productive Potential 1986–2000: New Statistical Methods and Tests," Manchester School, University of Manchester, vol. 70(S1), pages 107-126.
  18. Peter Spencer, 2001. "E-money: Will it Take Off?," World Economics, World Economics, 1 Ivory Square, Plantation Wharf, London, United Kingdom, SW11 3UE, vol. 2(1), pages 121-136, January.
  19. Peter D. Spencer, 1999. "An Arbitrage‐free Model of the Yield Gap," Manchester School, University of Manchester, vol. 67(s1), pages 116-133.
  20. Peter Spencer, 1998. "Financial Innovation and Divisia Monetary Aggregates: Comment on Ford, Peng, Mullineux (1992)," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 60(2), pages 257-259, May.
  21. Spencer, Peter, 1997. "Monetary integration and currency substitution in the EMS: The case for a European monetary aggregate," European Economic Review, Elsevier, vol. 41(7), pages 1403-1419, July.
  22. Spencer, Peter, 1994. "Portfolio Disequilibrium: Implications for the Divisia Approach to Monetary Aggregation," The Manchester School of Economic & Social Studies, University of Manchester, vol. 62(2), pages 125-150, June.
  23. Gerald Holtham & Giles Keating & Peter Spencer, 1990. "The demand for liquid assets in Germany and the United Kingdom," Proceedings, Board of Governors of the Federal Reserve System (U.S.), pages 207-271.
  24. Spencer, P. D., 1989. "Speculative and precautionary balances as complements in the portfolio : The case of the U.K. banking sector 1972-1980," Journal of Banking & Finance, Elsevier, vol. 13(6), pages 811-830, December.
  25. Spencer, Peter D, 1989. "How to Make the Central Bank Look Good: A Reply," Journal of Political Economy, University of Chicago Press, vol. 97(1), pages 233-235, February.
  26. Spencer, Peter D, 1989. "Housing, Wages and UK Labour Markets: Comments," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 51(2), pages 153-157, March.
  27. Spencer, Peter D, 1985. "Bounded Shooting: A Method for Solving Large Non-Linear Econometric Models under the Assumption of Consistent Expectations," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 47(1), pages 79-82, February.
  28. Spencer, Peter D, 1985. "Official Intervention in the Foreign Exchange Market," Journal of Political Economy, University of Chicago Press, vol. 93(5), pages 1019-1024, October.
  29. Spencer, Peter D, 1984. "Precautionary and Speculative Aspects of the Behaviour of Banks in the United Kingdom under Competition and Credit Control, 1972-1980," Economic Journal, Royal Economic Society, vol. 94(375), pages 554-568, September.
  30. Spencer, Peter D, 1984. "The Effect of Oil Discoveries on the British Economy-Theoretical Ambiguities and the Consistent Expectations Simulation Approach," Economic Journal, Royal Economic Society, vol. 94(375), pages 633-644, September.
  31. Spencer, P D, 1982. "Bank Regulation, Credit Rationing and the Determination of Money Market Interest Rates," The Manchester School of Economic & Social Studies, University of Manchester, vol. 50(1), pages 41-60, March.
  32. Spencer, Peter D, 1981. "A Model of the Demand for British Government Stocks by Non-Bank Residents, 1967-77," Economic Journal, Royal Economic Society, vol. 91(364), pages 938-960, December.

Chapters

  1. Peter Spencer, 2001. "Regulation of the payments market and the prospect for digital money," BIS Papers chapters, in: Bank for International Settlements (ed.), Electronic finance: a new perspective and challenges, volume 7, pages 69-79, Bank for International Settlements.
  2. Peter Spencer, 1994. "Open-Economy Macroeconomics: Theory without Evidence," International Economic Association Series, in: Edmar L. Bacha (ed.), Economics in a Changing World, chapter 4, pages 79-97, Palgrave Macmillan.
  3. Andrew Britton & Peter Spencer, 1982. "Exchange Rates, Interest Rates and the Mobility of Capital," Palgrave Macmillan Books, in: Roy A. Batchelor & Geoffrey E. Wood (ed.), Exchange Rate Policy, chapter 6, pages 195-236, Palgrave Macmillan.

Books

  1. Spencer, Peter D., 2000. "The Structure and Regulation of Financial Markets," OUP Catalogue, Oxford University Press, number 9780198776109.

Citations

Many of the citations below have been collected in an experimental project, CitEc, where a more detailed citation analysis can be found. These are citations from works listed in RePEc that could be analyzed mechanically. So far, only a minority of all works could be analyzed. See under "Corrections" how you can help improve the citation analysis.

RePEc Biblio mentions

As found on the RePEc Biblio, the curated bibliography of Economics:
  1. Adam Golinski & Peter Spencer, 2020. "Modeling the Covid-19 Epidemic Using Time Series Econometrics," Discussion Papers 20/06, Department of Economics, University of York.

    Mentioned in:

    1. > Economics of Welfare > Health Economics > Economics of Pandemics > Specific pandemics > Covid-19 > Modelling > Statistical Modelling

Working papers

  1. Adam Golinski & Peter Spencer, 2020. "Modeling the Covid-19 Epidemic Using Time Series Econometrics," Discussion Papers 20/06, Department of Economics, University of York.

    Cited by:

    1. Chénangnon Frédéric Tovissodé & Bruno Enagnon Lokonon & Romain Glèlè Kakaï, 2020. "On the use of growth models to understand epidemic outbreaks with application to COVID-19 data," PLOS ONE, Public Library of Science, vol. 15(10), pages 1-14, October.
    2. Girardi, Alessandro & Ventura, Marco, 2023. "The cost of waiting and the death toll in Italy during the first wave of the covid-19 pandemic," Health Policy, Elsevier, vol. 134(C).

  2. Adam Golinski & Peter Spencer, 2019. "Estimating the term structure with linear regressions: Getting to the roots of the problem," Discussion Papers 19/05, Department of Economics, University of York.

    Cited by:

    1. Januj Amar Juneja, 2021. "How do invariant transformations affect the calibration and optimization of the Kalman filtering algorithm used in the estimation of continuous-time affine term structure models?," Computational Management Science, Springer, vol. 18(1), pages 73-97, January.
    2. Januj Amar Juneja, 2022. "A Computational Analysis of the Tradeoff in the Estimation of Different State Space Specifications of Continuous Time Affine Term Structure Models," Computational Economics, Springer;Society for Computational Economics, vol. 60(1), pages 173-220, June.
    3. Meldrum, Andrew & Raczko, Marek & Spencer, Peter, 2023. "The information in joint term structures of bond yields," Journal of International Money and Finance, Elsevier, vol. 134(C).
    4. Antonio Diez de los Rios, 2017. "Optimal Estimation of Multi-Country Gaussian Dynamic Term Structure Models Using Linear Regressions," Staff Working Papers 17-33, Bank of Canada.

  3. Meldrum, Andrew & Raczko, Marek & Spencer, Peter, 2018. "The information in the joint term structures of bond yields," Bank of England working papers 772, Bank of England.

    Cited by:

    1. Munch Grønlund, Asger & Jørgensen, Kasper & Schupp, Fabian, 2024. "Measuring market-based core inflation expectations," Working Paper Series 2908, European Central Bank.

  4. Meldrum, Andrew & Raczko, Marek & Spencer, Peter, 2016. "Overseas unspanned factors and domestic bond returns," Bank of England working papers 618, Bank of England.

    Cited by:

    1. Adam Golinski & Peter Spencer, 2019. "Estimating the term structure with linear regressions: Getting to the roots of the problem," Discussion Papers 19/05, Department of Economics, University of York.
    2. Antonio Diez de los Rios, 2017. "Optimal Estimation of Multi-Country Gaussian Dynamic Term Structure Models Using Linear Regressions," Staff Working Papers 17-33, Bank of Canada.

  5. Polito, Vito & Spencer, Peter, 2011. "UK Macroeconomic Volatility and the Welfare Costs of Inflation," Cardiff Economics Working Papers E2011/23, Cardiff University, Cardiff Business School, Economics Section.

    Cited by:

    1. Peter Spencer & Zhuoshi Liu, "undated". "An Open-Economy Macro-Finance Model of Internatinal Interdependence: The OECD, US and the UK," Discussion Papers 09/16, Department of Economics, University of York.

  6. Peter Spencer, 2007. "Stochastic Volatility in a Macro-Finance Model of the US Term Structure of Interest Rates 1961-2004," Discussion Papers 07/32, Department of Economics, University of York.

    Cited by:

    1. Zhuoshi Liu & Peter Spencer, 2009. "An Admissible Term Structure Model Of Sovereign Yield Spreads With Macro Factors: The Case Of Brazilian Global Bonds," Manchester School, University of Manchester, vol. 77(s1), pages 108-125, September.
    2. Keshab Bhattarai, 2015. "Financial deepening and economic growth," Applied Economics, Taylor & Francis Journals, vol. 47(11), pages 1133-1150, March.
    3. Massimo Guidolin & Daniel L. Thornton, 2010. "Predictions of short-term rates and the expectations hypothesis," Working Papers 2010-013, Federal Reserve Bank of St. Louis.
    4. Ireland, Peter N., 2015. "Monetary policy, bond risk premia, and the economy," Journal of Monetary Economics, Elsevier, vol. 76(C), pages 124-140.
    5. Peter Spencer & Zhuoshi Liu, "undated". "An Open-Economy Macro-Finance Model of Internatinal Interdependence: The OECD, US and the UK," Discussion Papers 09/16, Department of Economics, University of York.
    6. Bhattarai, Keshab, 2014. "Money and economic growth," The Journal of Economic Asymmetries, Elsevier, vol. 11(C), pages 8-18.
    7. Matsumura, Marco S. & Vicente, José Valentim Machado, 2010. "The role of macroeconomic variables in sovereign risk," Emerging Markets Review, Elsevier, vol. 11(3), pages 229-249, September.
    8. Keshab Bhattarai, 2015. "Financial Deepening and Economic Growth in Advanced and Emerging Economies," Review of Development Economics, Wiley Blackwell, vol. 19(1), pages 178-195, February.

  7. Renatas Kizys & Peter Spencer, 2007. "Assessing the Relation between Equity Risk Premium and Macroeconomic Volatilities in the UK," Discussion Papers 07/13, Department of Economics, University of York.

    Cited by:

    1. Marie Brière & Ombretta Signori, 2011. "Inflation hedging portfolios in different regimes," BIS Papers chapters, in: Bank for International Settlements (ed.), Portfolio and risk management for central banks and sovereign wealth funds, volume 58, pages 139-163, Bank for International Settlements.
    2. Marie Brière & Ombretta Signori, 2012. "Inflation-Hedging Portfolios : Economic Regimes Matter," Post-Print hal-01494498, HAL.

  8. Peter Spencer, 2004. "Affine Macroeconomic Models of the Term Structure of Interest Rates: The US Treasury Market 1961-99," Discussion Papers 04/16, Department of Economics, University of York, revised Jan 2006.

    Cited by:

    1. Renatas Kizys & Peter Spencer, 2007. "Assessing the Relation between Equity Risk Premia and Macroeconomic Volatilities," Money Macro and Finance (MMF) Research Group Conference 2006 140, Money Macro and Finance Research Group.
    2. Somvang PHIMMAVONG & Ian FERGUSON & Barbara OZARSKA, 2010. "Economy-Wide Impact of Forest Plantation Development in Laos Using a Dynamic General Equilibrium Approach," EcoMod2010 259600131, EcoMod.

  9. Peter Spencer, "undated". "UK macroeconomic volatility and the term structure of interest rates," Discussion Papers 11/28, Department of Economics, University of York.

    Cited by:

    1. Peter Spencer & Zhuoshi Liu, "undated". "An Open-Economy Macro-Finance Model of Internatinal Interdependence: The OECD, US and the UK," Discussion Papers 09/16, Department of Economics, University of York.

  10. Peter D Spencer, "undated". "Coupon Bond Valuation with a Non-Affine Discount Yield Model," Discussion Papers 03/16, Department of Economics, University of York.

    Cited by:

    1. Peter Carr & Jian Sun, 2007. "A new approach for option pricing under stochastic volatility," Review of Derivatives Research, Springer, vol. 10(2), pages 87-150, May.
    2. Baldeaux, Jan & Grasselli, Martino & Platen, Eckhard, 2015. "Pricing currency derivatives under the benchmark approach," Journal of Banking & Finance, Elsevier, vol. 53(C), pages 34-48.
    3. Leunglung Chan & Eckhard Platen, 2010. "Exact Pricing and Hedging Formulas of Long Dated Variance Swaps under a $3/2$ Volatility Model," Papers 1007.2968, arXiv.org, revised Jan 2011.

  11. Peter Spencer & Zhuoshi Liu, "undated". "An Open-Economy Macro-Finance Model of Internatinal Interdependence: The OECD, US and the UK," Discussion Papers 09/16, Department of Economics, University of York.

    Cited by:

    1. Mirko Abbritti & Salvatore Dell’Erba & Antonio Moreno & Sergio Sola, 2018. "Global Factors in the Term Structure of Interest Rates," International Journal of Central Banking, International Journal of Central Banking, vol. 14(2), pages 301-340, March.
    2. Finlay, Richard & Jääskelä, Jarkko P., 2014. "Credit supply shocks and the global financial crisis in three small open economies," Journal of Macroeconomics, Elsevier, vol. 40(C), pages 270-276.
    3. Liu, Zhuoshi & Spencer, Peter, 2013. "Modelling sovereign credit spreads with international macro-factors: The case of Brazil 1998–2009," Journal of Banking & Finance, Elsevier, vol. 37(2), pages 241-256.
    4. Richard Finlay & David Olivan, 2012. "Extracting Information from Financial Market Instruments," RBA Bulletin (Print copy discontinued), Reserve Bank of Australia, pages 45-54, March.
    5. Abad, Pilar & Chuliá, Helena & Gómez-Puig, Marta, 2009. "EMU and European government bond market integration," Working Paper Series 1079, European Central Bank.
    6. Seth Armitage & Janusz Brzeszczynski, 2010. "Forecasting UK Inflation: An Empirical AnalysisÂ," CFI Discussion Papers 1002, Centre for Finance and Investment, Heriot Watt University.
    7. Adam Traczyk, 2013. "Financial integration and the term structure of interest rates," Empirical Economics, Springer, vol. 45(3), pages 1267-1305, December.
    8. Peter Spencer & Zhuoshi Liu, "undated". "An Open-Economy Macro-Finance Model of Internatinal Interdependence: The OECD, US and the UK," Discussion Papers 09/16, Department of Economics, University of York.
    9. Fan, Longzhen & Johansson, Anders C., 2010. "China's official rates and bond yields," Journal of Banking & Finance, Elsevier, vol. 34(5), pages 996-1007, May.
    10. Mun, Kyung-Chun, 2012. "The joint response of stock and foreign exchange markets to macroeconomic surprises: Using US and Japanese data," Journal of Banking & Finance, Elsevier, vol. 36(2), pages 383-394.

Articles

  1. Meldrum, Andrew & Raczko, Marek & Spencer, Peter, 2023. "The information in joint term structures of bond yields," Journal of International Money and Finance, Elsevier, vol. 134(C).
    See citations under working paper version above.
  2. Adam Goliński & Peter Spencer, 2021. "Estimating the Term Structure with Linear Regressions: Getting to the Roots of the Problem [Term Structure Persistence]," Journal of Financial Econometrics, Oxford University Press, vol. 19(5), pages 960-984.
    See citations under working paper version above.
  3. Adam Goliński & Peter Spencer, 2021. "Modeling the Covid‐19 epidemic using time series econometrics," Health Economics, John Wiley & Sons, Ltd., vol. 30(11), pages 2808-2828, November.
    See citations under working paper version above.
  4. Goliński, Adam & Spencer, Peter, 2017. "The advantages of using excess returns to model the term structure," Journal of Financial Economics, Elsevier, vol. 125(1), pages 163-181.

    Cited by:

    1. Christensen, Bent Jesper & van der Wel, Michel, 2019. "An asset pricing approach to testing general term structure models," Journal of Financial Economics, Elsevier, vol. 134(1), pages 165-191.
    2. O’Sullivan, Conall & Papavassiliou, Vassilios G., 2020. "On the term structure of liquidity in the European sovereign bond market," Journal of Banking & Finance, Elsevier, vol. 114(C).
    3. Elias, Nikolaos & Smyrnakis, Dimitris & Tzavalis, Elias, 2022. "Predicting future exchange rate changes based on interest rates and holding-period returns differentials net of the forward risk premium effects," International Review of Economics & Finance, Elsevier, vol. 79(C), pages 694-715.
    4. Januj Juneja, 2018. "Empirical performance of Gaussian affine dynamic term structure models in the presence of autocorrelation misspecification bias," Review of Quantitative Finance and Accounting, Springer, vol. 50(3), pages 695-715, April.
    5. Halberstadt, Arne, 2023. "Decomposing the yield curve with linear regressions and survey information," The Quarterly Review of Economics and Finance, Elsevier, vol. 91(C), pages 25-39.
    6. Adam Golinski & Peter Spencer, 2019. "Estimating the term structure with linear regressions: Getting to the roots of the problem," Discussion Papers 19/05, Department of Economics, University of York.
    7. Konstantinos Bisiotis & Stelios Psarakis & Athanasios N. Yannacopoulos, 2022. "Affine Term Structure Models: Applications in Portfolio Optimization and Change Point Detection," Mathematics, MDPI, vol. 10(21), pages 1-33, November.
    8. Paseda, Oluseun & Olowe, Rufus, 2018. "The Debt Maturity Structure of Nigerian Quoted Firms," MPRA Paper 117061, University Library of Munich, Germany, revised 30 Jun 2018.

  5. Vito Polito & Peter Spencer, 2016. "Optimal Control of Heteroscedastic Macroeconomic Models," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 31(7), pages 1430-1444, November.

    Cited by:

    1. Vito Polito, 2020. "Nonlinear Business Cycle and Optimal Policy: A VSTAR Perspective," CESifo Working Paper Series 8060, CESifo.

  6. Spencer, Peter, 2016. "US bank credit spreads during the financial crisis," Journal of Banking & Finance, Elsevier, vol. 71(C), pages 168-182.

    Cited by:

    1. Kunihiro Hanabusa, 2018. "Policy announcement and credit risk: zero interest rate policy and quantitative monetary easing policy," Economics Bulletin, AccessEcon, vol. 38(1), pages 201-210.

  7. Spencer, Peter, 2014. "The Mills Ratio and the behavior of redeemable bond prices in the Gaussian structural model of corporate default," Finance Research Letters, Elsevier, vol. 11(1), pages 8-15.

    Cited by:

    1. Peter Spencer, 2013. "Modeling US bank CDS spreads during the Global Financial Crisis with a deferred filtration pricing model," Discussion Papers 13/18, Department of Economics, University of York.
    2. Peter Spencer, 2013. "The behavior of the hazard rate in the Gaussian structural default model under asymmetric information," Discussion Papers 13/23, Department of Economics, University of York.
    3. Spencer, Peter, 2016. "US bank credit spreads during the financial crisis," Journal of Banking & Finance, Elsevier, vol. 71(C), pages 168-182.
    4. Wang, Hui & Li, Jiarui & Luo, Yixuan, 2024. "Bond yield effects of corporate bond default: Evidence from bond default events of 2014–2022," Finance Research Letters, Elsevier, vol. 60(C).

  8. Peter Spencer, 2013. "UK Macroeconomic Volatility and the Term Structure of Interest Rates," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 75(3), pages 323-339, June.
    See citations under working paper version above.
  9. Liu, Zhuoshi & Spencer, Peter, 2013. "Modelling sovereign credit spreads with international macro-factors: The case of Brazil 1998–2009," Journal of Banking & Finance, Elsevier, vol. 37(2), pages 241-256.

    Cited by:

    1. Patricia Crifo & Marc-Arthur Diaye & Rim Oueghlissi, 2017. "The effect of countries’ ESG ratings on their sovereign borrowing costs," Post-Print hal-03897987, HAL.
    2. Jeanneret, Alexandre & Souissi, Slim, 2016. "Sovereign defaults by currency denomination," Journal of International Money and Finance, Elsevier, vol. 60(C), pages 197-222.
    3. Gomez-Gonzalez, Jose E. & Uribe, Jorge M. & Valencia, Oscar, 2024. "Sovereign Risk and Economic Complexity," IDB Publications (Working Papers) 13393, Inter-American Development Bank.
    4. Patricia Crifo & Marc-Arthur Diaye & Rim Oueghlissi, 2017. "Measuring the effect of government ESG performance on sovereign borrowing cost," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) hal-01549820, HAL.
    5. Jose E. Gomez-Gonzalez & Jorge M. Uribe & Oscar M. Valencia, 2024. "Asymmetric Sovereign Risk: Implications for Climate Change Preparation," IREA Working Papers 202401, University of Barcelona, Research Institute of Applied Economics, revised Jan 2024.
    6. Jiahe Lin & George Michailidis, 2019. "Approximate Factor Models with Strongly Correlated Idiosyncratic Errors," Papers 1912.04123, arXiv.org.
    7. Jose E. Gomez-Gonzalez & Jorge M. Uribe & Oscar M. Valencia, 2023. "Sovereign Risk and Economic Complexity: Machine Learning Insights on Causality and Prediction," IREA Working Papers 202315, University of Barcelona, Research Institute of Applied Economics, revised Nov 2023.
    8. Gomez-Gonzalez, Jose E. & Uribe, Jorge M. & Valencia, Oscar, 2022. "Risk Spillovers between Global Corporations and Latin American Sovereigns: Global Factors Matter," IDB Publications (Working Papers) 12236, Inter-American Development Bank.
    9. M. Utku Özmen, 2019. "Economic complexity and sovereign risk premia," Economics Bulletin, AccessEcon, vol. 39(3), pages 1714-1726.

  10. Spencer, Peter & Liu, Zhuoshi, 2010. "An open-economy macro-finance model of international interdependence: The OECD, US and the UK," Journal of Banking & Finance, Elsevier, vol. 34(3), pages 667-680, March.
    See citations under working paper version above.
  11. Peter D. Spencer, 2008. "Stochastic Volatility in a Macro-Finance Model of the U.S. Term Structure of Interest Rates 1961-2004," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 40(6), pages 1177-1215, September.
    See citations under working paper version above.
  12. Peter Spencer, 2002. "Can National Banking Systems Compete?. A Comment on the Paper by Hans-Werner Sinn," FinanzArchiv: Public Finance Analysis, Mohr Siebeck, Tübingen, vol. 59(3), pages 336-339, August.

    Cited by:

    1. Viktor. J. Vanberg & Heiner Flassbeck & Friederike Spiecker & Wernhard Möschel & Peter Hampe & Hans-Werner Sinn, 2010. "Ordnungstheorie – Ordnungspolitik: Was ist Neoliberalismus?," ifo Schnelldienst, ifo Institute - Leibniz Institute for Economic Research at the University of Munich, vol. 63(09), pages 03-20, May.

  13. Peter Spencer, 2002. "The Impact of Information and Communications Technology Investment on UK Productive Potential 1986–2000: New Statistical Methods and Tests," Manchester School, University of Manchester, vol. 70(S1), pages 107-126.

    Cited by:

    1. Cherchye, Laurens & Demuynck, Thomas & De Rock, Bram & Hjertstrand, Per, 2015. "Revealed preference tests for weak separability: An integer programming approach," Journal of Econometrics, Elsevier, vol. 186(1), pages 129-141.

  14. Peter Spencer, 2001. "E-money: Will it Take Off?," World Economics, World Economics, 1 Ivory Square, Plantation Wharf, London, United Kingdom, SW11 3UE, vol. 2(1), pages 121-136, January.

    Cited by:

    1. Fertig, Michael, 2003. "The Impact of Economic Integration on Employment - An Assessment in the Context of EU-Enlargement," RWI Discussion Papers 7, RWI - Leibniz-Institut für Wirtschaftsforschung.
    2. Renzo Orsi & Katarzyna Zukrowska, 2004. "Policy Advice: Markets and Policies," Eastward Enlargement of the Euro-zone Working Papers wp20, Free University Berlin, Jean Monnet Centre of Excellence, revised 01 Feb 2004.
    3. Niebuhr, Annekatrin & Stiller, Silvia, 2004. "Integration and Labour Markets in European Border Regions," HWWA Discussion Papers 284, Hamburg Institute of International Economics (HWWA).
    4. Michael Bolle & José Caétano & Jaakko Kiander & Vladimir Lavrac & Renzo Orsi & Tiiu Paas & Katarzyna Zukrowska, 2002. "The Eastward Enlargement of the Eurozone - State of the Art Report," Eastward Enlargement of the Euro-zone Working Papers wp02, Free University Berlin, Jean Monnet Centre of Excellence, revised 01 Jan 2002.
    5. Winkelmann, Rainer, 2001. "Why Do Firms Recruit Internationally? Results from the IZA International Employer Survey 2000," IZA Discussion Papers 331, Institute of Labor Economics (IZA).
    6. de Melo, Jaime & Müller, Tobias & Miguet, Florence, 2002. "The Political Economy of EU Enlargement: Lessons from Switzerland," CEPR Discussion Papers 3449, C.E.P.R. Discussion Papers.

  15. Spencer, Peter, 1997. "Monetary integration and currency substitution in the EMS: The case for a European monetary aggregate," European Economic Review, Elsevier, vol. 41(7), pages 1403-1419, July.

    Cited by:

    1. Ivo Arnold, 2003. "A Regional Analysis of German Money Demand Around Reunification with Implications for EMU," Empirica, Springer;Austrian Institute for Economic Research;Austrian Economic Association, vol. 30(1), pages 63-80, March.
    2. LEBRE DE FREITAS Miguel, 2010. "Currency Substitution and Money Demand in Euroland," EcoMod2003 330700087, EcoMod.
    3. Shigeyuki Hamori, 2008. "Empirical Analysis of the Money Demand Function in Sub-Saharan Africa," Economics Bulletin, AccessEcon, vol. 15(4), pages 1-15.
    4. Moschini, Giancarlo, 2001. "A Flexible Multistage Demand System Based on Indirect Separability," ISU General Staff Papers 200107010700001289, Iowa State University, Department of Economics.
    5. Hayo, Bernd, 1998. "Estimating a European demand for money," ZEI Working Papers B 05-1998, University of Bonn, ZEI - Center for European Integration Studies.
    6. Leong, Choi-Meng & Puah, Chin-Hong & Abu Mansor, Shazali & Evan, Lau, 2008. "Testing the Effectiveness of Monetary Policy in Malaysia Using Alternative Monetary Aggregation," MPRA Paper 10568, University Library of Munich, Germany.
    7. William A. Barnett, 2003. "Aggregation-Theoretic Monetary Aggregation over the Euro Area, when Countries are Heterogeneous," Macroeconomics 0309018, University Library of Munich, Germany.
    8. Arnold, Ivo J. M. & de Vries, Casper G., 2000. "Endogeneity in European money demand," European Journal of Political Economy, Elsevier, vol. 16(4), pages 587-609, November.
    9. James L Swofford, 2000. "Microeconomic foundations of an optimal currency area," Review of Financial Economics, John Wiley & Sons, vol. 9(2), pages 121-128, December.
    10. Miguel Lebre de Freitas, 2006. "Eu-Wide Money And Currency Substitution," The IUP Journal of Monetary Economics, IUP Publications, vol. 0(4), pages 48-63, November.
    11. Barnett, William A., 2007. "Multilateral aggregation-theoretic monetary aggregation over heterogeneous countries," Journal of Econometrics, Elsevier, vol. 136(2), pages 457-482, February.
    12. Lecarpentier-Moyal, Sylvie & Renou-Maissant, Patricia, 2007. "Analyse dynamique de la convergence des comportements de demande de monnaie en Europe," L'Actualité Economique, Société Canadienne de Science Economique, vol. 83(3), pages 321-357, septembre.
    13. Bagnai, Alberto & Carlucci, Francesco, 2003. "An aggregate model for the European Union," Economic Modelling, Elsevier, vol. 20(3), pages 623-649, May.
    14. Hamori, Shigeyuki & Hamori, Naoko, 2008. "Demand for money in the Euro area," Economic Systems, Elsevier, vol. 32(3), pages 274-284, September.
    15. Sylvie Lecarpentier-Moyal & Patricia Renou-Maissant, 2007. "Analyse dynamique de la convergence des comportements de demande de monnaie en Europe," Post-Print halshs-00256488, HAL.
    16. Swofford, James L., 2000. "Microeconomic foundations of an optimal currency area," Review of Financial Economics, Elsevier, vol. 9(2), pages 121-128, December.
    17. Shigeyuki Hamori & Naoko Hamori, 2009. "Introduction of the Euro and the Monetary Policy of the European Central Bank," World Scientific Books, World Scientific Publishing Co. Pte. Ltd., number 7169, August.
    18. Binner, Jane M. & Bissoondeeal, Rakesh K. & Elger, C. Thomas & Jones, Barry E. & Mullineux, Andrew W., 2009. "Admissible monetary aggregates for the euro area," Journal of International Money and Finance, Elsevier, vol. 28(1), pages 99-114, February.
    19. Jones, Barry E. & Stracca, Livio, 2006. "Are money and consumption additively separable in the euro area? A non-parametric approach," Working Paper Series 704, European Central Bank.
    20. Roberto Golinelli & Sergio Pastorello, 2002. "Modelling the demand for M3 in the Euro area," The European Journal of Finance, Taylor & Francis Journals, vol. 8(4), pages 371-401.
    21. Binner, Jane M. & Chaudhry, Sajid & Kelly, Logan & Swofford, James L., 2018. "“Risky” monetary aggregates for the UK and US," Journal of International Money and Finance, Elsevier, vol. 89(C), pages 127-138.
    22. Binner, Jane & Elger, Thomas & de Peretti, Philipe, 2002. "Is UK Risky Money Weakly Separable? A Stochastic Approach," Working Papers 2002:13, Lund University, Department of Economics.
    23. James L. Swofford, 2005. "Tests of microeconomic foundations of a North American common currency area," Canadian Journal of Economics/Revue canadienne d'économique, John Wiley & Sons, vol. 38(2), pages 420-429, May.

  16. Spencer, Peter, 1994. "Portfolio Disequilibrium: Implications for the Divisia Approach to Monetary Aggregation," The Manchester School of Economic & Social Studies, University of Manchester, vol. 62(2), pages 125-150, June.

    Cited by:

    1. C. Hueng, 2000. "The impact of foreign variables on domestic money demand: Evidence from the United Kingdom," Journal of Economics and Finance, Springer;Academy of Economics and Finance, vol. 24(2), pages 97-109, June.
    2. Dahalan, Jauhari & Sharma, Subhash C. & Sylwester, Kevin, 2005. "Divisia monetary aggregates and money demand for Malaysia," Journal of Asian Economics, Elsevier, vol. 15(6), pages 1137-1153, January.
    3. Spencer, Peter, 1997. "Monetary integration and currency substitution in the EMS: The case for a European monetary aggregate," European Economic Review, Elsevier, vol. 41(7), pages 1403-1419, July.

  17. Gerald Holtham & Giles Keating & Peter Spencer, 1990. "The demand for liquid assets in Germany and the United Kingdom," Proceedings, Board of Governors of the Federal Reserve System (U.S.), pages 207-271.

    Cited by:

    1. Goodhart, Charles, 1989. "The Conduct of Monetary Policy," Economic Journal, Royal Economic Society, vol. 99(396), pages 293-346, June.

  18. Spencer, Peter D, 1989. "How to Make the Central Bank Look Good: A Reply," Journal of Political Economy, University of Chicago Press, vol. 97(1), pages 233-235, February.

    Cited by:

    1. Sweeney, R. J., 2000. "Does the Fed beat the foreign-exchange market?," Journal of Banking & Finance, Elsevier, vol. 24(5), pages 665-694, May.
    2. Sweeney, Richard J., 1997. "Do central banks lose on foreign-exchange intervention? A review article," Journal of Banking & Finance, Elsevier, vol. 21(11-12), pages 1667-1684, December.
    3. Simatele, Munacinga & Sjö, Bo & Sweeny, Richard, 2016. "Do Developing Countries Lose Money on Central Bank Intervention? The Case of Zambia in Copper-Market Boom and Bust," LiU Working Papers in Economics 2, Linköping University, Division of Economics, Department of Management and Engineering.
    4. Sjoo, Boo & Sweeney, Richard J., 2000. "Time-varying foreign-exchange risk and central bank intervention: estimating profits from intervention and speculation," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 10(3-4), pages 275-286, December.

  19. Spencer, Peter D, 1985. "Official Intervention in the Foreign Exchange Market," Journal of Political Economy, University of Chicago Press, vol. 93(5), pages 1019-1024, October.

    Cited by:

    1. Sweeney, R. J., 2000. "Does the Fed beat the foreign-exchange market?," Journal of Banking & Finance, Elsevier, vol. 24(5), pages 665-694, May.
    2. Sweeney, Richard J., 1997. "Do central banks lose on foreign-exchange intervention? A review article," Journal of Banking & Finance, Elsevier, vol. 21(11-12), pages 1667-1684, December.
    3. Simatele, Munacinga & Sjö, Bo & Sweeny, Richard, 2016. "Do Developing Countries Lose Money on Central Bank Intervention? The Case of Zambia in Copper-Market Boom and Bust," LiU Working Papers in Economics 2, Linköping University, Division of Economics, Department of Management and Engineering.
    4. Robert Andrew & John Broadbent, 1994. "Reserve Bank Operations in the Foreign Exchange Market: Effectiveness and Profitability," RBA Research Discussion Papers rdp9406, Reserve Bank of Australia.
    5. Sjoo, Boo & Sweeney, Richard J., 2000. "Time-varying foreign-exchange risk and central bank intervention: estimating profits from intervention and speculation," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 10(3-4), pages 275-286, December.

  20. Spencer, Peter D, 1984. "Precautionary and Speculative Aspects of the Behaviour of Banks in the United Kingdom under Competition and Credit Control, 1972-1980," Economic Journal, Royal Economic Society, vol. 94(375), pages 554-568, September.

    Cited by:

    1. Keshab Bhattarai, 2015. "Financial deepening and economic growth," Applied Economics, Taylor & Francis Journals, vol. 47(11), pages 1133-1150, March.
    2. Keshab Bhattarai, 2015. "Financial Deepening and Economic Growth in Advanced and Emerging Economies," Review of Development Economics, Wiley Blackwell, vol. 19(1), pages 178-195, February.

  21. Spencer, Peter D, 1984. "The Effect of Oil Discoveries on the British Economy-Theoretical Ambiguities and the Consistent Expectations Simulation Approach," Economic Journal, Royal Economic Society, vol. 94(375), pages 633-644, September.

    Cited by:

    1. György Simon, Jr, 2007. "The Impact Of The British Model On Economic Growth," Economic Annals, Faculty of Economics and Business, University of Belgrade, vol. 52(174-175), pages 45-72, July - De.

  22. Spencer, Peter D, 1981. "A Model of the Demand for British Government Stocks by Non-Bank Residents, 1967-77," Economic Journal, Royal Economic Society, vol. 91(364), pages 938-960, December.

    Cited by:

    1. Bill Martin, 2009. "An Augmented UK Private Expenditure Function," Working Papers wp384, Centre for Business Research, University of Cambridge.

Chapters

    Sorry, no citations of chapters recorded.

Books

  1. Spencer, Peter D., 2000. "The Structure and Regulation of Financial Markets," OUP Catalogue, Oxford University Press, number 9780198776109.

    Cited by:

    1. Samih Azar, 2006. "Liquidity Cost Premia," International Advances in Economic Research, Springer;International Atlantic Economic Society, vol. 12(4), pages 461-467, November.
    2. Margaret Armstrong & Guillaume Cornut & Stéphane Delacôte & Marc Lenglet & Yuval Millo & Fabian Muniesa & Alexandre Pointier & Yamina Tadjeddine, 2012. "Towards a practical approach to responsible innovation in finance," Journal of Financial Regulation and Compliance, Emerald Group Publishing Limited, vol. 20(2), pages 147-168, May.
    3. Franz R. Hahn, 2001. "Macroprudential Financial Regulation and Monetary Policy," WIFO Working Papers 154, WIFO.
    4. Alexandros Kostakis, 2007. "Mind Coskewness: A Performance Measure for Prudent, Long-Term Investors," Discussion Papers 07/07, Department of Economics, University of York.
    5. Margaret Armstrong & Guillaume Cornut & Stéphane Delacôte & Marc Lenglet & Yuval Millo & Fabian Muniesa & Alexandre Pointier & Yamina Tadjeddine, 2011. "Towards a practical approach to responsible innovation in finance: New Product Committees revisited," Working Papers halshs-00699985, HAL.
    6. Mamatzakis, E & Babalos, Vassilios & filipas, n, 2013. "Fund Performance Evaluation in Greece Revisited: Evidence from the Impact of Operational Attributes," MPRA Paper 51640, University Library of Munich, Germany.
    7. Joseph G. Eisenhauer, 2004. "Risk Aversion and the Willingness to Pay for Insurance: A Cautionary Discussion of Adverse Selection," Risk Management and Insurance Review, American Risk and Insurance Association, vol. 7(2), pages 165-175, September.
    8. Vassilios Babalos & Guglielmo Maria Caporale & Alexandros Kostakis & Nikolaos Philippas, 2008. "Testing for persistence in mutual fund performance and the ex-post verification problem: evidence from the Greek market," The European Journal of Finance, Taylor & Francis Journals, vol. 14(8), pages 735-753.
    9. Samih Azar, 2011. "Retesting the CCAPM Euler equations," International Journal of Managerial Finance, Emerald Group Publishing Limited, vol. 7(4), pages 324-346, September.

More information

Research fields, statistics, top rankings, if available.

Statistics

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Rankings

This author is among the top 5% authors according to these criteria:
  1. Number of Journal Pages, Weighted by Number of Authors
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Co-authorship network on CollEc

NEP Fields

NEP is an announcement service for new working papers, with a weekly report in each of many fields. This author has had 14 papers announced in NEP. These are the fields, ordered by number of announcements, along with their dates. If the author is listed in the directory of specialists for this field, a link is also provided.
  1. NEP-MAC: Macroeconomics (7) 2004-09-12 2007-04-09 2007-04-09 2007-06-30 2007-11-17 2011-11-07 2017-03-05. Author is listed
  2. NEP-FMK: Financial Markets (3) 2003-11-09 2004-09-12 2013-09-06
  3. NEP-RMG: Risk Management (2) 2003-11-09 2007-04-09
  4. NEP-UPT: Utility Models and Prospect Theory (2) 2007-04-09 2007-06-30
  5. NEP-BAN: Banking (1) 2013-07-28
  6. NEP-CBA: Central Banking (1) 2011-11-07
  7. NEP-CTA: Contract Theory and Applications (1) 2013-09-06
  8. NEP-ECM: Econometrics (1) 2019-05-13
  9. NEP-ETS: Econometric Time Series (1) 2020-06-15
  10. NEP-FIN: Finance (1) 2003-11-09
  11. NEP-MON: Monetary Economics (1) 2011-11-07
  12. NEP-ORE: Operations Research (1) 2019-05-13
  13. NEP-PBE: Public Economics (1) 2020-03-16
  14. NEP-SBM: Small Business Management (1) 2020-03-16

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