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

• (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. 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: https://onlinelibrary.wiley.com/doi/10.1002/hec.4413
• (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.