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 have developed macro-finance models of the US & UK economies and their bond markets and am currently using these to model international spillovers and similar effects.
I have become very interested in bank behaviour and regulation over the last two years and would also be happy to take research students who were interested in that area.
Selected papers
1. “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
2. “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
3. (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
4. "An Admissible Macro-Finance Model of the US Treasury Market" Multinational Finance Journal, Vol 13, No 1, 2010, pp 1-38.
Paper
5. (with Zhuoshi Liu): "An Open-Economy Macro-Finance Model of International Interdependence: The OECD, US and the UK", Journal of Banking and Finance, Journal of Banking and Finance 34 (2010), pp. 667-680
Paper
Departmental Responsibilities
Chair, Board of Studies;
Chair, Strategy Committee (ex officio, Chair of
BoS); Part 1 Examinations Committee (ex officio, Chair of BoS).
Member, Departmental Teaching Committee
Programme Director, MSc Finance
Programme Director, BSc Economics and Finance