Professor Peter Spencer
Professor of Economics and Finance

Profile

Biography

• BSc, MSc(London)
• Member of the Office for Budget Responsibility (OBR) Advisory Panel

Research

Overview

My main research interest is in arbitrage-free asset pricing models and I have recently been using these to model long term consumption and 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

Publications

Selected publications

 

Full details of publications can be found at RePEc

• "The Mills Ratio and the behaviour of redeemable bond prices in the Gaussian structural model of corporate default" Finance Research Letters, 2014, 11, pp 8–15,  DOI 0.1016/j.frl.2013.05.006,
• (with Adam Golinski) “The Advantages of using Excess Returns to model the Term Structure”, Journal of Financial Economics 2017,  125, pp 163–181.
• (with Vito Polito) “The Optimal Control of Heteroscedastic Macroeconomic Models”,  The Journal of Applied Econometrics, 2015,Volume 31, Issue 7 November 2016, pp 1430–1444 http://dx.doi.org/10.1002/jae.2488
• "US Bank Credit Spreads during the Financial Crisis", Journal of Banking & Finance 71 (2016) 168–182. http://dx.doi.org/10.1016/j.jbankfin.2016.04.015
• (with Adam Golinski) 'Modelling the Covid-19 Epidemic using Time Series Econometrics', 2022, Journal of Health Economics: http://doi
  org/10.1002/hec.4413