Professor Peter Spencer
Professor of Economics and Finance

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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.