Department of Economics and Related Studies
Professor Peter Spencer
BSc(Econ), MSc(Econ) London;
Professor of Economics and Finance
Economic Adviser, Ernst & Young ITEM Club.
Research interests
My main research interest is in arbitrage-free asset pricing models and I have recently been using these to model long term consumption & investment decisions and the valuation of distressed assets. I also work on issues in macro-finance, financial risk management and financial regulation. I am currently working on the following topics:
- Long-term consumption and investment optimisation
- Macro-finance models of international spillovers and the exchange rate
- Default risk in the inter-bank market.
Selected papers
“The Impact of ICT Investment on UK Productive Potential 1986-2000: New Statistical Methods and Tests” Manchester School; June 2002, Vol 70, pp 107-126.
“Assessing the Relation between Equity Risk Premium and Macroeconomic Volatilities in the UK” (with Renatas Kizys) Quantitative Research in the Social Sciences, Special issue: Exponential Stochastic Volatility Models, Volume 2, Issue 1, Spring 2008. pp. 50-77.
Paper
“Stochastic Volatility in a Macro-Finance Model of the US Term Structure of Interest Rates 1961-2004” Journal of Money Credit and Banking, Vol 40, No 6, September 2008, pp1177-1215.
Paper
(with Zhuoshi Liu): "An Admissible Term Structure Model of Sovereign Yield Spreads with Macro Factors: The Case of Brazilian Global Bonds", Manchester School, Vol 77, pp 108-125, June 2009.
Paper
(with Zhuoshi Liu): "An Open-Economy Macro-Finance Model of International Interdependence: The case of the OECD, US and the UK", Journal of Banking and Finance, forthcoming 2010.
Paper
Departmental Responsibilities
Member, Departmental Teaching Committee
Programme Director, MSc Finance
Programme Director, BSc Economics and Finance