David A. Peel

Lancaster University - Management School

Bailrigg

Lancaster, LA1 4YX

United Kingdom

http://www.lancs.ac.uk/staff/peeld/

SCHOLARLY PAPERS

27

DOWNLOADS
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613

CITATIONS
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Top 8,074

in Total Papers Citations

57

Scholarly Papers (27)

1.

Some Implications of a Quartic Loss Function

Economics Bulletin, Vol. 7, No. 13, pp. 1-7
Number of pages: 13 Posted: 21 Nov 2006 Last Revised: 22 Apr 2008
Kevin Aretz and David A. Peel
Manchester Business School and Lancaster University - Management School
Downloads 72 (247,420)

Abstract:

Inflation Target Zone, Symmetric Loss, Expected Inflation

2.

Spreads versus Professional Forecasters as Predictors of Future Output Change

Journal of Forecasting, Forthcoming
Number of pages: 11 Posted: 23 Apr 2008 Last Revised: 20 Apr 2009
Kevin Aretz and David A. Peel
Manchester Business School and Lancaster University - Management School
Downloads 54 (294,775)

Abstract:

Real GDP growth, Survey of Professional Forecasters, term structure

3.

Monitoring Housing Markets for Episodes of Exuberance: An Application of the Phillips Et Al. (2012, 2013) GSADF Test on the Dallas Fed International House Price Database

Federal Reserve Bank of Dallas Globalization and Monetary Policy Institute Working Paper No. 165
Number of pages: 28 Posted: 14 Jan 2014
Lancaster University - Department of Economics, Lancaster University - Management School, Lancaster University - Management School, Lancaster University - Management School, Federal Reserve Bank of Dallas - Research Department, Federal Reserve Banks - Federal Reserve Bank of Dallas and Federal Reserve Banks - Federal Reserve Bank of Dallas
Downloads 42 (197,732)

Abstract:

House Prices; Unit-root Tests; Exuberance.

4.

The Favourite-Longshot Bias, Bookmaker Margins and Insider Trading in a Variety of Betting Markets

Bulletin of Economic Research, Vol. 55, pp. 263-273, July 2003
Number of pages: 12 Posted: 28 Sep 2003
Michael Cain, David Law and David A. Peel
University of Wales, Bangor - School for Business and Regional Development, University of Wales, Aberystwyth and Lancaster University - Management School
Downloads 38 (352,986)
Citation 5
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5.

Insider Trading, Herding Behaviour and Market Plungers in the British Horse-race Betting Market

Economica, Vol. 69, pp. 327-338, 2002
Number of pages: 12 Posted: 27 Dec 2002
David Law and David A. Peel
University of Wales, Aberystwyth and Lancaster University - Management School
Downloads 35 (363,506)
Citation 7
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6.

The Time Series Properties of Financial Ratios: Lev Revisited

Journal of Business Finance & Accounting, Vol. 30, pp. 699-714, June 2003
Number of pages: 16 Posted: 24 Sep 2003
Christos Ioannidis, David A. Peel and Michael J. Peel
University of Bath-Department of Economics, Lancaster University - Management School and Cardiff University - Cardiff Business School
Downloads 33 (370,854)
Citation 2
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7.

Modelling Business Cycle Nonlinearity in Conditional Mean and Conditional Variance: Some International and Sectoral Evidence

Economica, Vol. 65, pp. 211-229, May 1998
Number of pages: 19 Posted: 13 Oct 2003
David A. Peel and Alan E.H. Speight
Lancaster University - Management School and University of Wales, Swansea
Downloads 27 (395,615)
Citation 2
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8.

On the Equality of Real Interest Rates across Borders in Integrated Capital Markets

CEPR Discussion Paper No. 5611
Number of pages: 11 Posted: 05 Jul 2006
Patrick Minford and David A. Peel
Cardiff University Business School and Lancaster University - Management School
Downloads 22 (419,761)
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Abstract:

Real interest rates, real exchange rates, roll

9.

Higher-Order Risk Preferences, Constant Relative Risk Aversion and the Optimal Portfolio Allocation

Banco de Espana Working Paper No. 1520
Number of pages: 32 Posted: 21 Jul 2015
Westminster Business School, University of Westminster, Lancaster University - Management School, Lancaster University - Management School and University of Salamanca
Downloads 21 (297,319)

Abstract:

decision analysis, risk management, higher-order moments and preferences, portfolio choice, weighted generalized beta two distribution.

10.

Purchasing Power Parity Adjustment Speeds in High Frequency Data when the Equilibrium Real Exchange Rate is Proxied by a Deterministic Trend

Manchester School, Vol. 71, pp. 39-53, September 2003
Number of pages: 15 Posted: 03 Oct 2003
Ivan Paya and David A. Peel
Cardiff University - Cardiff Business School and Lancaster University - Management School
Downloads 20 (429,985)
Citation 2
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11.

Optimal Discretionary Monetary Policy in a Model of Asymmetric Central Bank Preferences

Economic Journal, Vol. 113, pp. 657-665, July 2003
Number of pages: 9 Posted: 13 Jul 2003
A. Robert Nobay and David A. Peel
London School of Economics and Lancaster University - Management School
Downloads 20 (429,985)
Citation 22
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12.

Simulating Stock Returns under Switching Regimes - A New Test of Market Efficiency

CEPR Discussion Paper No. 5614
Number of pages: 17 Posted: 05 Jul 2006
David Meenagh, Patrick Minford and David A. Peel
Cardiff University Business School, Cardiff University Business School and Lancaster University - Management School
Downloads 19 (435,283)
Citation 1
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Abstract:

Regime switching, stock returns, efficient markets, rational expectations

13.

Further Evidence on PPP Adjustment Speeds: the Case of Effective Real Exchange Rates and the EMS

Oxford Bulletin of Economics and Statistics, Vol. 65, pp. 421-437, September 2003
Number of pages: 17 Posted: 11 Jul 2003
Ivan Paya, Ioannis A. Venetis and David A. Peel
Cardiff University - Cardiff Business School, University of Patras, Department of Economics and Lancaster University - Management School
Downloads 19 (435,283)
Citation 3
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14.

Non-Linear Equilibrium Correction in US Real Money Balances, 1869-1997

CEPR Discussion Paper No. 3249
Number of pages: 31 Posted: 09 Apr 2002
David A. Peel, Lucio Sarno and Mark P. Taylor
Lancaster University - Management School, City University London - Sir John Cass Business School and University of Warwick - Department of Economics
Downloads 19 (435,283)
Citation 2
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Abstract:

Demand for money, adjustment costs, equilibrium correction, non-linear dynamics

15.

Calvo Contracts: A Critique

CEPR Discussion Paper No. 4288
Number of pages: 17 Posted: 07 Apr 2004
Patrick Minford and David A. Peel
Cardiff University Business School and Lancaster University - Management School
Downloads 16 (450,400)
Citation 2
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Abstract:

Price stickiness, indexing, rational expectations, Phillips curve, new-Keynesian synthesis

16.

Smooth Transition Models and Arbitrage Consistency

Economica, Vol. 72, No. 287, pp. 413-430, August 2005
Number of pages: 18 Posted: 28 Jul 2005
David A. Peel and Ioannis A. Venetis
Lancaster University - Management School and University of Patras, Department of Economics
Downloads 14 (460,719)
Citation 4
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17.

Exploitability as a Specification Test of the Phillips Curve

CEPR Discussion Paper No. 3612
Number of pages: 9 Posted: 29 Nov 2002
Patrick Minford and David A. Peel
Cardiff University Business School and Lancaster University - Management School
Downloads 14 (460,719)
Citation 3
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Abstract:

Phillips Curve, Calvo contract, overlapping wages

18.

The Economics of Exchange Rates

Economic Journal, Vol. 114, No. 499, pp. F551-F552, November 2004
Number of pages: 2 Posted: 26 Oct 2004
David A. Peel
Lancaster University - Management School
Downloads 6 (500,105)
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Abstract:

19.

A More General Non-Expected Utility Model as an Explanation of Gambling Outcomes for Individuals and Markets

Economica, Vol. 76, No. 302, pp. 251-263, April 2009
Number of pages: 13 Posted: 27 Apr 2009
David A. Peel and David Law
Lancaster University - Management School and University of Wales, Aberystwyth
Downloads 3 (513,045)
Citation 1
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20.

The Decisions of the Shadow Monetary Policy Committee and Monetary Policy Committee Since 2002

Economic Affairs, Vol. 32, Issue 2, pp. 91-93, 2012
Number of pages: 3 Posted: 09 Jun 2012
Jahyun Koo, Ivan Paya and David A. Peel
affiliation not provided to SSRN, Cardiff University - Cardiff Business School and Lancaster University - Management School
Downloads 1 (526,563)
Citation 1
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Abstract:

Monetary Policy Committee, Shadow Monetary Policy Committee, governance, interest rate smoothing

21.

On the Persistence and Dynamics of Big 4 Real Audit Fees: Evidence from the UK

Posted: 29 Dec 2016
University of Leeds - Credit Management Research Centre (CMRC), Lancaster University - Management School, Cardiff University - Cardiff Business School and University of Leeds - Credit Management Research Centre

Abstract:

real audit fees, big 4, partial adjustment, persistence, adjustment speed, dynamic panel estimates, listed and unlisted companies

22.

Episodes of Exuberance in Housing Markets: In Search of the Smoking Gun

Journal of Real Estate Finance and Economics, Vol. 53, No. 4, 2016
Posted: 01 Oct 2016
Federal Reserve Bank of Dallas - Research Department, Lancaster University - Department of Economics, Lancaster University - Management School, Lancaster University - Management School, Lancaster University - Management School, Federal Reserve Banks - Federal Reserve Bank of Dallas and Federal Reserve Banks - Federal Reserve Bank of Dallas

Abstract:

House prices; Mildly explosive time series; Sup ADF test; Generalized Sup ADF test; Panel GSADF; Probit model

23.

An Example of an Optimal Forecast Exhibiting Decreasing Bias with Increasing Forecast Horizon

Bulletin of Economic Research, Vol. 65, Issue 4, pp. 362-371, 2013
Number of pages: 10 Posted: 10 Sep 2013
Kevin Aretz and David A. Peel
Manchester Business School and Lancaster University - Management School
Downloads 0 (536,664)
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Abstract:

efficient markets, forecast evaluation, loss function, rationality

24.

Are Analysts' Loss Functions Asymmetric?

Journal of Forecasting, November 2011
Posted: 16 Jan 2006 Last Revised: 04 Jun 2012
Mark Clatworthy, David A. Peel and Peter F. Pope
University of Bristol, Department of Accounting and Finance, Lancaster University - Management School and London School of Economics

Abstract:

asymmetric loss functions, earnings forecast bias, financial analysts, Linex

25.

Non-Linear Dynamics of Inflation in High Inflation Economies

Manchester School, Vol. 68, No. 5
Posted: 07 Jun 2001
J.D. Byers and David A. Peel
Cardiff University - Cardiff Business School and Lancaster University - Management School

Abstract:

26.

The Favourite-Longshot Bias and Market Efficiency in UK Football Betting

Scottish Journal of Political Economy, Vol. 47, Issue 1, February 2000
Posted: 21 Nov 2000
David A. Peel, David Law and Michael Cain
Lancaster University - Management School, University of Wales, Aberystwyth and University of Wales, Bangor - School for Business and Regional Development

Abstract:

27.

Transactions Costs and Nonlinear Adjustment in Real Exchange Rates: An Empirical Investigation

JOURNAL OF POLITICAL ECONOMY, Vol. 105, No. 4, August 1997
Posted: 11 Sep 1997
Panos Michael, A. Robert Nobay and David A. Peel
University of Liverpool, London School of Economics and Lancaster University - Management School

Abstract: