Details about Peter Damian Spencer

Access statistics for papers by Peter Damian Spencer.

Last updated 2024-10-08. Update your information in the RePEc Author Service.

Short-id: psp109

Working Papers

2020

1. Coronametrics: The UK turns the corner
   Discussion Papers, Department of Economics, University of York
2. How to better align the U.K.’s corporate tax structure with national objectives
   Discussion Papers, Department of Economics, University of York
3. Modeling the Covid-19 Epidemic Using Time Series Econometrics
   Discussion Papers, Department of Economics, University of York View citations (1)
   See also Journal Article Modeling the Covid‐19 epidemic using time series econometrics, Health Economics, John Wiley & Sons, Ltd. (2021) View citations (1) (2021)

2019

4. Estimating the term structure with linear regressions: Getting to the roots of the problem
   Discussion Papers, Department of Economics, University of York View citations (4)
   See also Journal Article Estimating the Term Structure with Linear Regressions: Getting to the Roots of the Problem, Journal of Financial Econometrics, Oxford University Press (2021) View citations (1) (2021)

2018

5. The information in the joint term structures of bond yields
   Bank of England working papers, Bank of England
   See also Journal Article The information in joint term structures of bond yields, Journal of International Money and Finance, Elsevier (2023) View citations (1) (2023)

2016

6. Overseas unspanned factors and domestic bond returns
   Bank of England working papers, Bank of England View citations (2)

2013

7. Modeling US bank CDS spreads during the Global Financial Crisis with a deferred filtration pricing model
   Discussion Papers, Department of Economics, University of York
8. The US Economy, the Treasury Bond Market and the Specification of Macro-Finance Models
   Discussion Papers, Department of Economics, University of York
9. The behavior of the hazard rate in the Gaussian structural default model under asymmetric information
   Discussion Papers, Department of Economics, University of York

2012

10. The Meiselman forward interest rate revision regression as an Affine Term Structure Model
    Discussion Papers, Department of Economics, University of York

2011

11. UK Macroeconomic Volatility and the Welfare Costs of Inflation
    Cardiff Economics Working Papers, Cardiff University, Cardiff Business School, Economics Section
    Also in Discussion Papers, Department of Economics, University of York View citations (1)

2007

12. Assessing the Relation between Equity Risk Premia and Macroeconomic Volatilities
    Money Macro and Finance (MMF) Research Group Conference 2006, Money Macro and Finance Research Group
13. Assessing the Relation between Equity Risk Premium and Macroeconomic Volatilities in the UK
    Discussion Papers, Department of Economics, University of York View citations (5)
14. Macro volatility in a model of the UK Gilt edged bond market
    Money Macro and Finance (MMF) Research Group Conference 2006, Money Macro and Finance Research Group
15. Stochastic Volatility in a Macro-Finance Model of the US Term Structure of Interest Rates 1961-2004
    Discussion Papers, Department of Economics, University of York
    See also Journal Article 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 (2008) View citations (11) (2008)

2006

16. Affine Macroeconomic Models of the Term Structure of Interest Rates: The US Treasury Market 1961-99
    Discussion Papers, Department of Economics, University of York View citations (4)

1996

17. Intertemporal Substitution, Time Preference and Portfolio Hedging Behavior in a Continuous Time Stochastic Model of the Economy
    Archive Working Papers, Birkbeck, Department of Economics, Mathematics & Statistics

Undated

18. An Open-Economy Macro-Finance Model of Internatinal Interdependence: The OECD, US and the UK
    Discussion Papers, Department of Economics, University of York View citations (9)
    See also Journal Article An open-economy macro-finance model of international interdependence: The OECD, US and the UK, Journal of Banking & Finance, Elsevier (2010) View citations (11) (2010)
19. Coupon Bond Valuation with a Non-Affine Discount Yield Model
    Discussion Papers, Department of Economics, University of York View citations (3)
20. UK macroeconomic volatility and the term structure of interest rates
    Discussion Papers, Department of Economics, University of York View citations (1)
    See also Journal Article UK Macroeconomic Volatility and the Term Structure of Interest Rates, Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford (2013) (2013)

Journal Articles

2024

1. 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, 2024, 14, (1), 119-152

2023

2. Oil prices in the real economy
   Journal of Applied Econometrics, 2023, 38, (6), 878-897
3. The information in joint term structures of bond yields
   Journal of International Money and Finance, 2023, 134, (C) View citations (1)
   See also Working Paper The information in the joint term structures of bond yields, Bank of England working papers (2018) (2018)

2021

4. Estimating the Term Structure with Linear Regressions: Getting to the Roots of the Problem
   (Term Structure Persistence)
   Journal of Financial Econometrics, 2021, 19, (5), 960-984 View citations (1)
   See also Working Paper Estimating the term structure with linear regressions: Getting to the roots of the problem, Discussion Papers (2019) View citations (4) (2019)
5. Modeling the Covid‐19 epidemic using time series econometrics
   Health Economics, 2021, 30, (11), 2808-2828 View citations (1)
   See also Working Paper Modeling the Covid-19 Epidemic Using Time Series Econometrics, Discussion Papers (2020) View citations (1) (2020)

2017

6. The advantages of using excess returns to model the term structure
   Journal of Financial Economics, 2017, 125, (1), 163-181 View citations (8)

2016

7. Optimal Control of Heteroscedastic Macroeconomic Models
   Journal of Applied Econometrics, 2016, 31, (7), 1430-1444 View citations (1)
8. US bank credit spreads during the financial crisis
   Journal of Banking & Finance, 2016, 71, (C), 168-182 View citations (1)

2014

9. The Mills Ratio and the behavior of redeemable bond prices in the Gaussian structural model of corporate default
   Finance Research Letters, 2014, 11, (1), 8-15 View citations (4)

2013

10. Modelling sovereign credit spreads with international macro-factors: The case of Brazil 1998–2009
    Journal of Banking & Finance, 2013, 37, (2), 241-256 View citations (11)
11. UK Macroeconomic Volatility and the Term Structure of Interest Rates
    Oxford Bulletin of Economics and Statistics, 2013, 75, (3), 323-339
    See also Working Paper UK macroeconomic volatility and the term structure of interest rates, Discussion Papers View citations (1)

2010

12. An open-economy macro-finance model of international interdependence: The OECD, US and the UK
    Journal of Banking & Finance, 2010, 34, (3), 667-680 View citations (11)
    See also Working Paper An Open-Economy Macro-Finance Model of Internatinal Interdependence: The OECD, US and the UK, Discussion Papers View citations (9)

2009

13. AN ADMISSIBLE TERM STRUCTURE MODEL OF SOVEREIGN YIELD SPREADS WITH MACRO FACTORS: THE CASE OF BRAZILIAN GLOBAL BONDS
    Manchester School, 2009, 77, (s1), 108-125
14. An Admissible Macro-Finance Model of the US Treasury Market
    Multinational Finance Journal, 2009, 13, (1-2), 1-38

2008

15. Stochastic Volatility in a Macro-Finance Model of the U.S. Term Structure of Interest Rates 1961-2004
    Journal of Money, Credit and Banking, 2008, 40, (6), 1177-1215 View citations (11)
    Also in Journal of Money, Credit and Banking, 2008, 40, (6), 1177-1215 (2008)
    See also Working Paper Stochastic Volatility in a Macro-Finance Model of the US Term Structure of Interest Rates 1961-2004, Discussion Papers (2007) (2007)

2002

16. Can National Banking Systems Compete?. A Comment on the Paper by Hans-Werner Sinn
    FinanzArchiv: Public Finance Analysis, 2002, 59, (3), 336-339 View citations (1)
17. The Impact of Information and Communications Technology Investment on UK Productive Potential 1986–2000: New Statistical Methods and Tests
    Manchester School, 2002, 70, (S1), 107-126 View citations (2)

2001

18. E-money: Will it Take Off?
    World Economics, 2001, 2, (1), 121-136 View citations (6)

1999

19. An Arbitrage‐free Model of the Yield Gap
    Manchester School, 1999, 67, (s1), 116-133

1998

20. Financial Innovation and Divisia Monetary Aggregates: Comment on Ford, Peng, Mullineux (1992)
    Oxford Bulletin of Economics and Statistics, 1998, 60, (2), 257-59
    Also in Oxford Bulletin of Economics and Statistics, 1998, 60, (2), 257-259 (1998)

1997

21. Monetary integration and currency substitution in the EMS: The case for a European monetary aggregate
    European Economic Review, 1997, 41, (7), 1403-1419 View citations (32)

1994

22. Portfolio Disequilibrium: Implications for the Divisia Approach to Monetary Aggregation
    The Manchester School of Economic & Social Studies, 1994, 62, (2), 125-50 View citations (3)

1990

23. The demand for liquid assets in Germany and the United Kingdom
    Proceedings, 1990, 207-271 View citations (1)

1989

24. Housing, Wages and UK Labour Markets: Comments
    Oxford Bulletin of Economics and Statistics, 1989, 51, (2), 153-57
25. How to Make the Central Bank Look Good: A Reply
    Journal of Political Economy, 1989, 97, (1), 233-35 View citations (4)
26. Speculative and precautionary balances as complements in the portfolio: The case of the U.K. banking sector 1972-1980
    Journal of Banking & Finance, 1989, 13, (6), 811-830

1985

27. Bounded Shooting: A Method for Solving Large Non-Linear Econometric Models under the Assumption of Consistent Expectations
    Oxford Bulletin of Economics and Statistics, 1985, 47, (1), 79-82
28. Official Intervention in the Foreign Exchange Market
    Journal of Political Economy, 1985, 93, (5), 1019-24 View citations (5)

1984

29. Precautionary and Speculative Aspects of the Behaviour of Banks in the United Kingdom under Competition and Credit Control, 1972-1980
    Economic Journal, 1984, 94, (375), 554-68 View citations (2)
30. The Effect of Oil Discoveries on the British Economy-Theoretical Ambiguities and the Consistent Expectations Simulation Approach
    Economic Journal, 1984, 94, (375), 633-44 View citations (1)

1982

31. Bank Regulation, Credit Rationing and the Determination of Money Market Interest Rates
    The Manchester School of Economic & Social Studies, 1982, 50, (1), 41-60

1981

32. A Model of the Demand for British Government Stocks by Non-Bank Residents, 1967-77
    Economic Journal, 1981, 91, (364), 938-60 View citations (1)

Books

2000

1. The Structure and Regulation of Financial Markets
   OUP Catalogue, Oxford University Press View citations (11)

Chapters

2001

1. Regulation of the payments market and the prospect for digital money
   A chapter in Electronic finance: a new perspective and challenges, 2001, vol. 07, pp 69-79

1994

2. Open-Economy Macroeconomics: Theory without Evidence
   Palgrave Macmillan

1982

3. Exchange Rates, Interest Rates and the Mobility of Capital
   Palgrave Macmillan