Peter Damian Spencer
Names
| first: |
Peter |
| middle: |
Damian |
| last: |
Spencer |
Identifer
Contact
Affiliations
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University of York
/ Department of Economics and Related Studies (weight: 95%)
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Bank of England (weight: 5%)
Research profile
author of:
- Intertemporal Substitution, Time Preference and Portfolio Hedging Behavior in a Continuous Time Stochastic Model of the Economy (RePEc:bbk:bbkifr:014)
by Peter Spencer - Regulation of the payments market and the prospect for digital money (RePEc:bis:bisbpc:07-07)
by Peter Spencer - Bank Regulation, Credit Rationing and the Determination of Money Market Interest Rates (RePEc:bla:manch2:v:50:y:1982:i:1:p:41-60)
by Spencer, P D - Portfolio Disequilibrium: Implications for the Divisia Approach to Monetary Aggregation (RePEc:bla:manch2:v:62:y:1994:i:2:p:125-50)
by Spencer, Peter - An Arbitrage‐free Model of the Yield Gap (RePEc:bla:manchs:v:67:y:1999:i:s1:p:116-133)
by Peter D. Spencer - The Impact of Information and Communications Technology Investment on UK Productive Potential 1986–2000: New Statistical Methods and Tests (RePEc:bla:manchs:v:70:y:2002:i:s1:p:107-126)
by Peter Spencer - An Admissible Term Structure Model Of Sovereign Yield Spreads With Macro Factors: The Case Of Brazilian Global Bonds (RePEc:bla:manchs:v:77:y:2009:i:s1:p:108-125)
by Zhuoshi Liu & Peter Spencer - Bounded Shooting: A Method for Solving Large Non-Linear Econometric Models under the Assumption of Consistent Expectations (RePEc:bla:obuest:v:47:y:1985:i:1:p:79-82)
by Spencer, Peter D - Housing, Wages and UK Labour Markets: Comments (RePEc:bla:obuest:v:51:y:1989:i:2:p:153-57)
by Spencer, Peter D - Financial Innovation and Divisia Monetary Aggregates: Comment on Ford, Peng, Mullineux (1992) (RePEc:bla:obuest:v:60:y:1998:i:2:p:257-259)
by Peter Spencer - Financial Innovation and Divisia Monetary Aggregates: Comment on Ford, Peng, Mullineux (1992) (RePEc:bla:obuest:v:60:y:1998:i:2:p:257-59)
by Spencer, Peter - UK Macroeconomic Volatility and the Term Structure of Interest Rates (RePEc:bla:obuest:v:75:y:2013:i:3:p:323-339)
by Peter Spencer - Overseas unspanned factors and domestic bond returns (RePEc:boe:boeewp:0618)
by Meldrum, Andrew & Raczko, Marek & Spencer, Peter - The information in the joint term structures of bond yields (RePEc:boe:boeewp:0772)
by Meldrum, Andrew & Raczko, Marek & Spencer, Peter - UK Macroeconomic Volatility and the Welfare Costs of Inflation (RePEc:cdf:wpaper:2011/23)
by Polito, Vito & Spencer, Peter - A Model of the Demand for British Government Stocks by Non-Bank Residents, 1967-77 (RePEc:ecj:econjl:v:91:y:1981:i:364:p:938-60)
by Spencer, Peter D - Precautionary and Speculative Aspects of the Behaviour of Banks in the United Kingdom under Competition and Credit Control, 1972-1980 (RePEc:ecj:econjl:v:94:y:1984:i:375:p:554-68)
by Spencer, Peter D - The Effect of Oil Discoveries on the British Economy-Theoretical Ambiguities and the Consistent Expectations Simulation Approach (RePEc:ecj:econjl:v:94:y:1984:i:375:p:633-44)
by Spencer, Peter D - Monetary integration and currency substitution in the EMS: The case for a European monetary aggregate (RePEc:eee:eecrev:v:41:y:1997:i:7:p:1403-1419)
by Spencer, Peter - The Mills Ratio and the behavior of redeemable bond prices in the Gaussian structural model of corporate default (RePEc:eee:finlet:v:11:y:2014:i:1:p:8-15)
by Spencer, Peter - Speculative and precautionary balances as complements in the portfolio : The case of the U.K. banking sector 1972-1980 (RePEc:eee:jbfina:v:13:y:1989:i:6:p:811-830)
by Spencer, P. D. - An open-economy macro-finance model of international interdependence: The OECD, US and the UK (RePEc:eee:jbfina:v:34:y:2010:i:3:p:667-680)
by Spencer, Peter & Liu, Zhuoshi - Modelling sovereign credit spreads with international macro-factors: The case of Brazil 1998–2009 (RePEc:eee:jbfina:v:37:y:2013:i:2:p:241-256)
by Liu, Zhuoshi & Spencer, Peter - US bank credit spreads during the financial crisis (RePEc:eee:jbfina:v:71:y:2016:i:c:p:168-182)
by Spencer, Peter - The advantages of using excess returns to model the term structure (RePEc:eee:jfinec:v:125:y:2017:i:1:p:163-181)
by Goliński, Adam & Spencer, Peter - The information in joint term structures of bond yields (RePEc:eee:jimfin:v:134:y:2023:i:c:s0261560623000293)
by Meldrum, Andrew & Raczko, Marek & Spencer, Peter - The demand for liquid assets in Germany and the United Kingdom (RePEc:fip:fedgpr:y:1990:p:207-271)
by Gerald Holtham & Giles Keating & Peter Spencer - Stochastic Volatility in a Macro-Finance Model of the U.S. Term Structure of Interest Rates 1961-2004 (RePEc:mcb:jmoncb:v:40:y:2008:i:6:p:1177-1215)
by Peter D. Spencer - An Admissible Macro-Finance Model of the US Treasury Market (RePEc:mfj:journl:v:13:y:2009:i:1-2:p:1-38)
by Peter Spencer - Can National Banking Systems Compete?. A Comment on the Paper by Hans-Werner Sinn (RePEc:mhr:finarc:urn:sici:0015-2218(2002/200308)59:3_336:cnbsc_2.0.tx_2-c)
by Peter Spencer - Assessing the Relation between Equity Risk Premia and Macroeconomic Volatilities (RePEc:mmf:mmfc06:140)
by Renatas Kizys & Peter Spencer - Macro volatility in a model of the UK Gilt edged bond market (RePEc:mmf:mmfc06:73)
by Peter Spencer - Estimating the Term Structure with Linear Regressions: Getting to the Roots of the Problem
[Term Structure Persistence] (RePEc:oup:jfinec:v:19:y:2021:i:5:p:960-984.)
by Adam Goliński & Peter Spencer - Unconventional Monetary Policies and the Yield Curve: Estimating Non-Affine Term Structure Models with Unspanned Macro Risk by Factor Extraction (RePEc:oup:rasset:v:14:y:2024:i:1:p:119-152.)
by Adam Goliński & Peter Spencer - The Structure and Regulation of Financial Markets (RePEc:oxp:obooks:9780198776109)
by Spencer, Peter D. - Open-Economy Macroeconomics: Theory without Evidence (RePEc:pal:intecp:978-1-349-23458-5_4)
by Peter Spencer - Exchange Rates, Interest Rates and the Mobility of Capital (RePEc:pal:palchp:978-1-349-16863-7_7)
by Andrew Britton & Peter Spencer - Official Intervention in the Foreign Exchange Market (RePEc:ucp:jpolec:v:93:y:1985:i:5:p:1019-24)
by Spencer, Peter D - How to Make the Central Bank Look Good: A Reply (RePEc:ucp:jpolec:v:97:y:1989:i:1:p:233-35)
by Spencer, Peter D - E-money: Will it Take Off? (RePEc:wej:wldecn:49)
by Peter Spencer - Modeling the Covid‐19 epidemic using time series econometrics (RePEc:wly:hlthec:v:30:y:2021:i:11:p:2808-2828)
by Adam Goliński & Peter Spencer - Optimal Control of Heteroscedastic Macroeconomic Models (RePEc:wly:japmet:v:31:y:2016:i:7:p:1430-1444)
by Vito Polito & Peter Spencer - Oil prices in the real economy (RePEc:wly:japmet:v:38:y:2023:i:6:p:878-897)
by Haicheng Shu & Peter Spencer - Stochastic Volatility in a Macro‐Finance Model of the U.S. Term Structure of Interest Rates 1961–2004 (RePEc:wly:jmoncb:v:40:y:2008:i:6:p:1177-1215)
by Peter D. Spencer - Coupon Bond Valuation with a Non-Affine Discount Yield Model (RePEc:yor:yorken:03/16)
by Peter D Spencer - Affine Macroeconomic Models of the Term Structure of Interest Rates: The US Treasury Market 1961-99 (RePEc:yor:yorken:04/16)
by Peter Spencer - Assessing the Relation between Equity Risk Premium and Macroeconomic Volatilities in the UK (RePEc:yor:yorken:07/13)
by Renatas Kizys & Peter Spencer - Stochastic Volatility in a Macro-Finance Model of the US Term Structure of Interest Rates 1961-2004 (RePEc:yor:yorken:07/32)
by Peter Spencer - An Open-Economy Macro-Finance Model of Internatinal Interdependence: The OECD, US and the UK (RePEc:yor:yorken:09/16)
by Peter Spencer & Zhuoshi Liu - UK Macroeconomic Volatility and the Welfare Costs of Inflation (RePEc:yor:yorken:11/21)
by Vito Polito & Peter Spencer - UK macroeconomic volatility and the term structure of interest rates (RePEc:yor:yorken:11/28)
by Peter Spencer - The Meiselman forward interest rate revision regression as an Affine Term Structure Model (RePEc:yor:yorken:12/27)
by Adam Golinski & Peter Spencer - Modeling US bank CDS spreads during the Global Financial Crisis with a deferred filtration pricing model (RePEc:yor:yorken:13/18)
by Peter Spencer - The US Economy, the Treasury Bond Market and the Specification of Macro-Finance Models (RePEc:yor:yorken:13/22)
by Peter Spencer - The behavior of the hazard rate in the Gaussian structural default model under asymmetric information (RePEc:yor:yorken:13/23)
by Peter Spencer - Estimating the term structure with linear regressions: Getting to the roots of the problem (RePEc:yor:yorken:19/05)
by Adam Golinski & Peter Spencer - How to better align the U.K.’s corporate tax structure with national objectives (RePEc:yor:yorken:20/02)
by Peter Spencer & Peter Smith & Paulo Santos Monteiro - Coronametrics: The UK turns the corner (RePEc:yor:yorken:20/04)
by Adam Golinski & Peter Spencer - Modeling the Covid-19 Epidemic Using Time Series Econometrics (RePEc:yor:yorken:20/06)
by Adam Golinski & Peter Spencer