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Details about Peter Damian Spencer

Homepage:http://www.york.ac.uk/economics/our-people/staff-profiles/peter-spencer/
Workplace:Department of Economics and Related Studies, University of York, (more information at EDIRC)
Bank of England, (more information at EDIRC)

Access statistics for papers by Peter Damian Spencer.

Last updated 2024-03-07. Update your information in the RePEc Author Service.

Short-id: psp109


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Working Papers

2020

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

2019

  1. Estimating the term structure with linear regressions: Getting to the roots of the problem
    Discussion Papers, Department of Economics, University of York Downloads 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) Downloads View citations (1) (2021)

2018

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

2016

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

2013

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

2012

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

2011

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

2007

  1. 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 Downloads
  2. Assessing the Relation between Equity Risk Premium and Macroeconomic Volatilities in the UK
    Discussion Papers, Department of Economics, University of York Downloads View citations (5)
  3. 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 Downloads
  4. 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 Downloads
    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

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

1996

  1. 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

  1. An Open-Economy Macro-Finance Model of Internatinal Interdependence: The OECD, US and the UK
    Discussion Papers, Department of Economics, University of York Downloads 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) Downloads View citations (11) (2010)
  2. Coupon Bond Valuation with a Non-Affine Discount Yield Model
    Discussion Papers, Department of Economics, University of York Downloads View citations (3)
  3. UK macroeconomic volatility and the term structure of interest rates
    Discussion Papers, Department of Economics, University of York Downloads 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) Downloads (2013)

Journal Articles

2023

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

2021

  1. 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 Downloads View citations (1)
    See also Working Paper Estimating the term structure with linear regressions: Getting to the roots of the problem, Discussion Papers (2019) Downloads View citations (4) (2019)
  2. Modeling the Covid‐19 epidemic using time series econometrics
    Health Economics, 2021, 30, (11), 2808-2828 Downloads View citations (1)
    See also Working Paper Modeling the Covid-19 Epidemic Using Time Series Econometrics, Discussion Papers (2020) Downloads View citations (1) (2020)

2017

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

2016

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

2014

  1. 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 Downloads View citations (3)

2013

  1. Modelling sovereign credit spreads with international macro-factors: The case of Brazil 1998–2009
    Journal of Banking & Finance, 2013, 37, (2), 241-256 Downloads View citations (9)
  2. UK Macroeconomic Volatility and the Term Structure of Interest Rates
    Oxford Bulletin of Economics and Statistics, 2013, 75, (3), 323-339 Downloads
    See also Working Paper UK macroeconomic volatility and the term structure of interest rates, Discussion Papers Downloads View citations (1)

2010

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

2009

  1. 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 Downloads
  2. An Admissible Macro-Finance Model of the US Treasury Market
    Multinational Finance Journal, 2009, 13, (1-2), 1-38 Downloads

2008

  1. 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) Downloads

    See also Working Paper Stochastic Volatility in a Macro-Finance Model of the US Term Structure of Interest Rates 1961-2004, Discussion Papers (2007) Downloads (2007)

2002

  1. Can National Banking Systems Compete?. A Comment on the Paper by Hans-Werner Sinn
    FinanzArchiv: Public Finance Analysis, 2002, 59, (3), 336-339 Downloads View citations (1)
  2. 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 Downloads View citations (2)

2001

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

1999

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

1998

  1. 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) Downloads

1997

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

1994

  1. 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

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

1989

  1. Housing, Wages and UK Labour Markets: Comments
    Oxford Bulletin of Economics and Statistics, 1989, 51, (2), 153-57
  2. How to Make the Central Bank Look Good: A Reply
    Journal of Political Economy, 1989, 97, (1), 233-35 Downloads View citations (4)
  3. 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 Downloads

1985

  1. 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
  2. Official Intervention in the Foreign Exchange Market
    Journal of Political Economy, 1985, 93, (5), 1019-24 Downloads View citations (5)

1984

  1. 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 Downloads View citations (2)
  2. The Effect of Oil Discoveries on the British Economy-Theoretical Ambiguities and the Consistent Expectations Simulation Approach
    Economic Journal, 1984, 94, (375), 633-44 Downloads View citations (1)

1982

  1. 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

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

1994

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

1982

  1. Exchange Rates, Interest Rates and the Mobility of Capital
    Palgrave Macmillan
 
Page updated 2024-06-16