Peter Damian Spencer : Citation Profile


Are you Peter Damian Spencer?

University of York (95% share)
Bank of England (5% share)

5

H index

3

i10 index

106

Citations

RESEARCH PRODUCTION:

27

Articles

21

Papers

1

Books

1

Chapters

RESEARCH ACTIVITY:

   39 years (1981 - 2020). See details.
   Cites by year: 2
   Journals where Peter Damian Spencer has often published
   Relations with other researchers
   Recent citing documents: 5.    Total self citations: 10 (8.62 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/psp109
   Updated: 2020-10-24    RAS profile: 2020-09-01    
   Missing citations? Add them    Incorrect content? Let us know

Relations with other researchers


Works with:

Authors registered in RePEc who have co-authored more than one work in the last five years with Peter Damian Spencer.

Is cited by:

de Freitas, Miguel (5)

Bhattarai, Keshab (4)

Barnett, William (4)

Moreno, Antonio (3)

Ireland, Peter (3)

Abbritti, Mirko (3)

Hamori, Shigeyuki (2)

BABALOS, VASSILIOS (2)

KOSTAKIS, ALEXANDROS (2)

Finlay, Richard (2)

Platen, Eckhard (2)

Cites to:

Singleton, Kenneth (25)

Campbell, John (17)

Wu, Jing Cynthia (15)

Hamilton, James (15)

Rudebusch, Glenn (13)

Piazzesi, Monika (13)

Duffie, Darrell (13)

Dewachter, Hans (12)

Ang, Andrew (12)

Leland, Hayne (11)

Ludvigson, Sydney (11)

Main data


Where Peter Damian Spencer has published?


Journals with more than one article published# docs
Oxford Bulletin of Economics and Statistics4
Journal of Banking & Finance4
Economic Journal3
Manchester School3
Journal of Political Economy2
The Manchester School of Economic & Social Studies2

Working Papers Series with more than one paper published# docs
Money Macro and Finance (MMF) Research Group Conference 2006 / Money Macro and Finance Research Group2

Recent works citing Peter Damian Spencer (2020 and 2019)


YearTitle of citing document
2019Approximate Factor Models with Strongly Correlated Idiosyncratic Errors. (2019). Michailidis, George ; Lin, Jiahe. In: Papers. RePEc:arx:papers:1912.04123.

Full description at Econpapers || Download paper

2020Nonlinear Business Cycle and Optimal Policy: A VSTAR Perspective. (2020). Polito, Vito. In: CESifo Working Paper Series. RePEc:ces:ceswps:_8060.

Full description at Econpapers || Download paper

2019Economic complexity and sovereign risk premia. (2019). Ozmen, Utku. In: Economics Bulletin. RePEc:ebl:ecbull:eb-18-00975.

Full description at Econpapers || Download paper

2020On the term structure of liquidity in the European sovereign bond market. (2020). Papavassiliou, Vassilios ; Osullivan, Conall. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:114:y:2020:i:c:s0378426620300455.

Full description at Econpapers || Download paper

2019An asset pricing approach to testing general term structure models. (2019). van der Wel, Michel ; Christensen, Bent Jesper. In: Journal of Financial Economics. RePEc:eee:jfinec:v:134:y:2019:i:1:p:165-191.

Full description at Econpapers || Download paper

Works by Peter Damian Spencer:


YearTitleTypeCited
1996Intertemporal Substitution, Time Preference and Portfolio Hedging Behavior in a Continuous Time Stochastic Model of the Economy In: Archive Working Papers.
[Citation analysis]
paper0
2001Regulation of the payments market and the prospect for digital money In: BIS Papers chapters.
[Full Text][Citation analysis]
chapter1
1982Bank Regulation, Credit Rationing and the Determination of Money Market Interest Rates. In: The Manchester School of Economic & Social Studies.
[Citation analysis]
article0
1994Portfolio Disequilibrium: Implications for the Divisia Approach to Monetary Aggregation. In: The Manchester School of Economic & Social Studies.
[Citation analysis]
article2
1999An Arbitrage-Free Model of the Yield Gap. In: Manchester School.
[Full Text][Citation analysis]
article1
2002The Impact of Information and Communications Technology Investment on UK Productive Potential 1986-2000: New Statistical Methods and Tests. In: Manchester School.
[Full Text][Citation analysis]
article2
2009AN ADMISSIBLE TERM STRUCTURE MODEL OF SOVEREIGN YIELD SPREADS WITH MACRO FACTORS: THE CASE OF BRAZILIAN GLOBAL BONDS In: Manchester School.
[Full Text][Citation analysis]
article0
1985Bounded Shooting: A Method for Solving Large Non-Linear Econometric Models under the Assumption of Consistent Expectations. In: Oxford Bulletin of Economics and Statistics.
[Citation analysis]
article0
1989Housing, Wages and UK Labour Markets: Comments. In: Oxford Bulletin of Economics and Statistics.
[Citation analysis]
article0
1998Financial Innovation and Divisia Monetary Aggregates: Comment on Ford, Peng, Mullineux (1992). In: Oxford Bulletin of Economics and Statistics.
[Citation analysis]
article0
2013UK Macroeconomic Volatility and the Term Structure of Interest Rates In: Oxford Bulletin of Economics and Statistics.
[Full Text][Citation analysis]
article0
UK macroeconomic volatility and the term structure of interest rates..() In: Discussion Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 0
paper
2016Overseas unspanned factors and domestic bond returns In: Bank of England working papers.
[Full Text][Citation analysis]
paper1
2018The information in the joint term structures of bond yields In: Bank of England working papers.
[Full Text][Citation analysis]
paper0
2011UK Macroeconomic Volatility and the Welfare Costs of Inflation In: Cardiff Economics Working Papers.
[Full Text][Citation analysis]
paper0
UK Macroeconomic Volatility and the Welfare Costs of Inflation.() In: Discussion Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 0
paper
1981A Model of the Demand for British Government Stocks by Non-Bank Residents, 1967-77. In: Economic Journal.
[Full Text][Citation analysis]
article1
1984Precautionary and Speculative Aspects of the Behaviour of Banks in the United Kingdom under Competition and Credit Control, 1972-1980. In: Economic Journal.
[Full Text][Citation analysis]
article2
1984The Effect of Oil Discoveries on the British Economy-Theoretical Ambiguities and the Consistent Expectations Simulation Approach. In: Economic Journal.
[Full Text][Citation analysis]
article1
1997Monetary integration and currency substitution in the EMS: The case for a European monetary aggregate In: European Economic Review.
[Full Text][Citation analysis]
article29
2014The Mills Ratio and the behavior of redeemable bond prices in the Gaussian structural model of corporate default In: Finance Research Letters.
[Full Text][Citation analysis]
article0
1989Speculative and precautionary balances as complements in the portfolio : The case of the U.K. banking sector 1972-1980 In: Journal of Banking & Finance.
[Full Text][Citation analysis]
article0
2010An open-economy macro-finance model of international interdependence: The OECD, US and the UK In: Journal of Banking & Finance.
[Full Text][Citation analysis]
article10
An Open-Economy Macro-Finance Model of Internatinal Interdependence: The OECD, US and the UK..() In: Discussion Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 10
paper
2013Modelling sovereign credit spreads with international macro-factors: The case of Brazil 1998–2009 In: Journal of Banking & Finance.
[Full Text][Citation analysis]
article5
2016US bank credit spreads during the financial crisis In: Journal of Banking & Finance.
[Full Text][Citation analysis]
article1
2017The advantages of using excess returns to model the term structure In: Journal of Financial Economics.
[Full Text][Citation analysis]
article3
1990The demand for liquid assets in Germany and the United Kingdom In: Proceedings.
[Citation analysis]
article1
2008Stochastic Volatility in a Macro-Finance Model of the U.S. Term Structure of Interest Rates 1961-2004 In: Journal of Money, Credit and Banking.
[Citation analysis]
article7
2007Stochastic Volatility in a Macro-Finance Model of the US Term Structure of Interest Rates 1961-2004..(2007) In: Discussion Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 7
paper
2009An Admissible Macro-Finance Model of the US Treasury Market. In: Multinational Finance Journal.
[Full Text][Citation analysis]
article0
2002Can National Banking Systems Compete?. A Comment on the Paper by Hans-Werner Sinn In: FinanzArchiv: Public Finance Analysis.
[Full Text][Citation analysis]
article1
2007Assessing the Relation between Equity Risk Premia and Macroeconomic Volatilities In: Money Macro and Finance (MMF) Research Group Conference 2006.
[Full Text][Citation analysis]
paper0
2007Macro volatility in a model of the UK Gilt edged bond market In: Money Macro and Finance (MMF) Research Group Conference 2006.
[Full Text][Citation analysis]
paper0
2000The Structure and Regulation of Financial Markets In: OUP Catalogue.
[Citation analysis]
book10
1985Official Intervention in the Foreign Exchange Market. In: Journal of Political Economy.
[Full Text][Citation analysis]
article5
1989How to Make the Central Bank Look Good: A Reply. In: Journal of Political Economy.
[Full Text][Citation analysis]
article4
2001E-money: Will it Take Off? In: World Economics.
[Full Text][Citation analysis]
article6
2016Optimal Control of Heteroscedastic Macroeconomic Models In: Journal of Applied Econometrics.
[Full Text][Citation analysis]
article1
Coupon Bond Valuation with a Non-Affine Discount Yield Model In: Discussion Papers.
[Full Text][Citation analysis]
paper3
2006Affine Macroeconomic Models of the Term Structure of Interest Rates: The US Treasury Market 1961-99 In: Discussion Papers.
[Full Text][Citation analysis]
paper3
2007Assessing the Relation between Equity Risk Premium and Macroeconomic Volatilities in the UK In: Discussion Papers.
[Full Text][Citation analysis]
paper5
2012The Meiselman forward interest rate revision regression as an Affine Term Structure Model In: Discussion Papers.
[Full Text][Citation analysis]
paper0
2013Modeling US bank CDS spreads during the Global Financial Crisis with a deferred filtration pricing model In: Discussion Papers.
[Full Text][Citation analysis]
paper0
2013The US Economy, the Treasury Bond Market and the Specification of Macro-Finance Models In: Discussion Papers.
[Full Text][Citation analysis]
paper0
2013The behavior of the hazard rate in the Gaussian structural default model under asymmetric information In: Discussion Papers.
[Full Text][Citation analysis]
paper0
2019Estimating the term structure with linear regressions: Getting to the roots of the problem In: Discussion Papers.
[Full Text][Citation analysis]
paper1
2020How to better align the U.K.’s corporate tax structure with national objectives In: Discussion Papers.
[Full Text][Citation analysis]
paper0
2020Coronametrics: The UK turns the corner In: Discussion Papers.
[Full Text][Citation analysis]
paper0
2020Modeling the Covid-19 Epidemic Using Time Series Econometrics In: Discussion Papers.
[Full Text][Citation analysis]
paper0

CitEc is a RePEc service, providing citation data for Economics since 2001. Sponsored by INOMICS. Last updated October, 6 2020. Contact: CitEc Team