Accessibility statement

Professor Peter Spencer
Professor of Economics and Finance



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



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


Selected publications

 Full details of publications can be found at RePEc

  • (with Adam Golinski) “The Advantages of using Excess Returns to model the Term Structure”, Journal of Financial Economics 2017,  125, pp 163–181.
  • "US Bank Credit Spreads during the Financial Crisis", Journal of Banking & Finance 71 (2016) 168–182.
  • (with Adam Golinski) "Modelling the Covid-19 Epidemic using Time Series Econometrics", 2022, Journal of Health Economics:
  • (with Andrew Meldrum and Marek Raczko) "The Information in Joint Term Structures of Bond Yields", Journal of International Money and Finance, forthcoming, 2023.
  • (with Haicheng Shu) "The Oil Price in the Real Economy", The Journal of Applied Econometrics, forthcoming, 2023.

Peter Spencer

Peter Spencer
Emeritus Professor
Department of Economics

Peter Spencer CV