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Peter Damian Spencer

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Personal Details

First Name: Peter
Middle Name: Damian
Last Name: Spencer
Suffix:

RePEc Short-ID: psp109

Email:
Homepage: http://www.york.ac.uk/economics/our-people/staff-profiles/peter-spencer/
Postal Address:
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Affiliation

Department of Economics and Related Studies
University of York
Location: York, United Kingdom
Homepage: http://www.york.ac.uk/economics/
Email:
Phone: (0)1904 323776
Fax: (0)1904 323759
Postal: York YO10 5DD
Handle: RePEc:edi:deyoruk (more details at EDIRC)

Works

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Working papers

  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 US Economy, the Treasury Bond Market and the Specification of Macro-Finance Models," Discussion Papers 13/22, Department of Economics, University of York.
  3. 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.
  4. 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.
  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.
  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.
  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.
  8. 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.
  9. 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.
  10. 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.
  11. 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.
  12. Peter D Spencer, . "Coupon Bond Valuation with a Non-Affine Discount Yield Model," Discussion Papers 03/16, Department of Economics, University of York.
  13. Peter Spencer, . "UK macroeconomic volatility and the term structure of interest rates," Discussion Papers 11/28, Department of Economics, University of York.
  14. Peter Spencer & Zhuoshi Liu, . "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. 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.
  2. 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, 06.
  3. 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.
  4. 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, 09.
  5. 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, 09.
  6. 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-, August.
  7. Spencer, Peter, 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(0), pages 107-26, Supplemen.
  8. Peter Spencer, 2001. "E-money: Will it Take Off?," World Economics, World Economics, Economic & Financial Publishing, 1 Ivory Square, Plantation Wharf, London, United Kingdom, SW11 3UE, vol. 2(1), pages 121-136, January.
  9. Spencer, Peter D, 1999. "An Arbitrage-Free Model of the Yield Gap," Manchester School, University of Manchester, vol. 67(0), pages 116-33, Supplemen.
  10. Spencer, Peter, 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 257-59, May.
  11. 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.
  12. 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 125-50, June.
  13. 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.
  14. 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.
  15. 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 233-35, February.
  16. 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 153-57, March.
  17. 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.
  18. Spencer, Peter D, 1985. "Official Intervention in the Foreign Exchange Market," Journal of Political Economy, University of Chicago Press, vol. 93(5), pages 1019-24, October.
  19. 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 633-44, September.
  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 554-68, September.
  21. 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.
  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 938-60, 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.

Books

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

NEP Fields

10 papers by this author were announced in NEP, and specifically in the following field reports (number of papers):
  1. NEP-BAN: Banking (1) 2013-07-28
  2. NEP-CBA: Central Banking (1) 2011-11-07
  3. NEP-CTA: Contract Theory & Applications (1) 2013-09-06
  4. NEP-FIN: Finance (1) 2003-11-09
  5. NEP-FMK: Financial Markets (3) 2003-11-09 2004-09-12 2013-09-06. Author is listed
  6. NEP-MAC: Macroeconomics (6) 2004-09-12 2007-04-09 2007-04-09 2007-06-30 2007-11-17 2011-11-07. Author is listed
  7. NEP-MON: Monetary Economics (1) 2011-11-07
  8. NEP-RMG: Risk Management (2) 2003-11-09 2007-04-09
  9. NEP-UPT: Utility Models & Prospect Theory (2) 2007-04-09 2007-06-30

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