Peter Spencer

University of York

Heslington

York, YO1 5DD

United Kingdom

SCHOLARLY PAPERS

12

DOWNLOADS

531

CITATIONS
Rank 45,357

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Top 45,357

in Total Papers Citations

3

Scholarly Papers (12)

1.

Dynamic Bond Portfolio Choice with Macroeconomic Information

EFA 2009 Bergen Meetings Paper
Number of pages: 61 Posted: 01 Feb 2009 Last Revised: 19 Aug 2009
Alexandros Kostakis and Peter Spencer
University of Manchester - Manchester Business School and University of York
Downloads 175 (137,412)

Abstract:

2.

Assessing the Relation between Equity Risk Premia and Macroeconomic Volatilities

Number of pages: 43 Posted: 19 Mar 2006
Renatas Kizys and Peter Spencer
University of York and University of York
Downloads 144 (164,074)
Citation 2

Abstract:

Asset pricing, Risk premium, Macroeconomic volatility, Stochastic discount factor model, Multivariate EGARCH-M model

3.

The Advantages of Using Excess Returns to Model the Term Structure

Journal of Financial Economics (JFE), Vol. 125, No. 1, 2017
Number of pages: 56 Posted: 07 Nov 2012 Last Revised: 27 Aug 2017
Adam Golinski and Peter Spencer
University of York and University of York
Downloads 19 (257,078)

Abstract:

term structure, excess return framework, long memory

4.

Overseas Unspanned Factors and Domestic Bond Returns

Bank of England Working Paper No. 618
Number of pages: 57 Posted: 21 Feb 2017
Andrew Meldrum, Marek Raczko and Peter Spencer
Independent, Bank of England and University of York
Downloads 15 (478,114)

Abstract:

return-forecasting regressions, dynamic term structure models

5.

Optimal Control of Heteroskedastic Macroeconomic Moldes

Number of pages: 59 Posted: 21 Aug 2014
Vito Polito and Peter Spencer
University of Bath and University of York
Downloads 15 (358,295)

Abstract:

Heteroscedasticity, Optimal Control, Macroeconomic Volatility, Optimal Monetery Policy.

6.

An Admissible Macro-Finance Model of the US Treasury Market

Multinational Finance Journal, Vol. 13, No. 1/2, p. 1-38, 2009
Number of pages: 38 Posted: 26 Jun 2015
Peter Spencer
University of York
Downloads 5 (518,558)
Citation 1
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Abstract:

7.

UK Macroeconomic Volatility and the Term Structure of Interest Rates

Oxford Bulletin of Economics and Statistics, Vol. 75, Issue 3, pp. 323-339, 2013
Number of pages: 17 Posted: 13 Apr 2013
Peter Spencer
University of York
Downloads 1 (554,729)
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Abstract:

8.

Estimating the Term Structure with Linear Regressions: Getting to the Roots of the Problem

Number of pages: 45 Posted: 30 Aug 2017
Adam Golinski and Peter Spencer
University of York and University of York
Downloads 0 (498,885)

Abstract:

term structure, linear regression estimators, self-consistent model, estimation methods, two-country model

9.

An Open-Economy Macro-Finance Model of International Interdependence: The OECD, US and the UK

Journal of Banking and Finance, Vol. 34, No. 2, 2010
Number of pages: 62 Posted: 07 Jun 2017
Zhuoshi Liu and Peter Spencer
Bank of England - Monetary Analysis and University of York
Downloads 0 (523,147)

Abstract:

Macro-finance, affine term structure model, spillover effects, global shocks

10.

Modelling Sovereign Credit Spreads with International Macro-Factors: The Case of Brazil 1998–2009

Journal of Banking and Finance, Vol. 37, No. 2, 2013
Number of pages: 45 Posted: 07 Jun 2017
Zhuoshi Liu and Peter Spencer
Bank of England - Monetary Analysis and University of York
Downloads 0 (527,691)

Abstract:

G12, F41, F34, E43

11.

US Bank Credit Spreads During the Financial Crisis

Journal of Banking and Finance, Vol. 71, No. 2, 2016
Number of pages: 45 Posted: 07 Jun 2017
Peter Spencer
University of York
Downloads 0 (472,880)

Abstract:

Asset pricing, Banking efficiency, Banking regulation, Bank solvency

12.
Downloads 0 (513,840)

Abstract:

Corporate bond pricing, First passage time, Mills Ratio inequalities, Comparative statics.