Peter Damian Spencer : Citation Profile


Are you Peter Damian Spencer?

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

7

H index

3

i10 index

122

Citations

RESEARCH PRODUCTION:

29

Articles

21

Papers

1

Books

3

Chapters

RESEARCH ACTIVITY:

   39 years (1981 - 2020). See details.
   Cites by year: 3
   Journals where Peter Damian Spencer has often published
   Relations with other researchers
   Recent citing documents: 4.    Total self citations: 11 (8.27 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/psp109
   Updated: 2024-01-16    RAS profile: 2021-08-13    
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Relations with other researchers


Works with:

Golinski, Adam (3)

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 (5)

Barnett, William (4)

Ireland, Peter (3)

Moschini, GianCarlo (3)

Moreno, Antonio (3)

Abbritti, Mirko (3)

Sola, Sergio (3)

Hamori, Shigeyuki (2)

Cherchye, Laurens (2)

Diez de los Rios, Antonio (2)

Cites to:

Singleton, Kenneth (27)

Campbell, John (17)

Leland, Hayne (15)

Hamilton, James (15)

Wu, Jing Cynthia (15)

Duffie, Darrell (14)

Dewachter, Hans (14)

Piazzesi, Monika (14)

Duffee, Greg (14)

Rudebusch, Glenn (13)

Ang, Andrew (12)

Main data


Where Peter Damian Spencer has published?


Journals with more than one article published# docs
Oxford Bulletin of Economics and Statistics5
Journal of Banking & Finance4
Economic Journal3
Manchester School3
The Manchester School of Economic & Social Studies2
Journal of Political Economy2

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 (2024 and 2023)


YearTitle of citing document
2023The cost of waiting and the death toll in Italy during the first wave of the covid-19 pandemic. (2023). Ventura, Marco ; Girardi, Alessandro. In: Health Policy. RePEc:eee:hepoli:v:134:y:2023:i:c:s0168851023001446.

Full description at Econpapers || Download paper

2023The information in joint term structures of bond yields. (2023). Spencer, Peter ; Raczko, Marek ; Meldrum, Andrew. In: Journal of International Money and Finance. RePEc:eee:jimfin:v:134:y:2023:i:c:s0261560623000293.

Full description at Econpapers || Download paper

2023Decomposing the yield curve with linear regressions and survey information. (2023). Halberstadt, Arne. In: The Quarterly Review of Economics and Finance. RePEc:eee:quaeco:v:91:y:2023:i:c:p:25-39.

Full description at Econpapers || Download paper

2023Sovereign Risk and Economic Complexity: Machine Learning Insights on Causality and Prediction. (2023). Valencia, Oscar ; Uribe, Jorge ; Gomez-Gonzalez, Jose. In: IREA Working Papers. RePEc:ira:wpaper:202315.

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.
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chapter0
1982Bank Regulation, Credit Rationing and the Determination of Money Market Interest Rates. In: The Manchester School of Economic & Social Studies.
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article0
1994Portfolio Disequilibrium: Implications for the Divisia Approach to Monetary Aggregation. In: The Manchester School of Economic & Social Studies.
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article2
1999An Arbitrage?free Model of the Yield Gap In: Manchester School.
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article0
2002The Impact of Information and Communications Technology Investment on UK Productive Potential 1986–2000: New Statistical Methods and Tests In: Manchester School.
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article2
2009AN ADMISSIBLE TERM STRUCTURE MODEL OF SOVEREIGN YIELD SPREADS WITH MACRO FACTORS: THE CASE OF BRAZILIAN GLOBAL BONDS In: Manchester School.
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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.
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article0
1989Housing, Wages and UK Labour Markets: Comments. In: Oxford Bulletin of Economics and Statistics.
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article0
1998Financial Innovation and Divisia Monetary Aggregates: Comment on Ford, Peng, Mullineux (1992) In: Oxford Bulletin of Economics and Statistics.
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article0
1998Financial Innovation and Divisia Monetary Aggregates: Comment on Ford, Peng, Mullineux (1992)..(1998) In: Oxford Bulletin of Economics and Statistics.
[Citation analysis]
This paper has nother version. Agregated cites: 0
article
2013UK Macroeconomic Volatility and the Term Structure of Interest Rates In: Oxford Bulletin of Economics and Statistics.
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article0
UK macroeconomic volatility and the term structure of interest rates..() In: Discussion Papers.
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This paper has nother version. Agregated cites: 0
paper
2016Overseas unspanned factors and domestic bond returns In: Bank of England working papers.
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paper1
2018The information in the joint term structures of bond yields In: Bank of England working papers.
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paper0
2011UK Macroeconomic Volatility and the Welfare Costs of Inflation In: Cardiff Economics Working Papers.
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UK Macroeconomic Volatility and the Welfare Costs of Inflation.() In: Discussion Papers.
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paper
1981A Model of the Demand for British Government Stocks by Non-Bank Residents, 1967-77. In: Economic Journal.
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article1
1984Precautionary and Speculative Aspects of the Behaviour of Banks in the United Kingdom under Competition and Credit Control, 1972-1980. In: Economic Journal.
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article2
1984The Effect of Oil Discoveries on the British Economy-Theoretical Ambiguities and the Consistent Expectations Simulation Approach. In: Economic Journal.
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article1
1997Monetary integration and currency substitution in the EMS: The case for a European monetary aggregate In: European Economic Review.
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article32
2014The Mills Ratio and the behavior of redeemable bond prices in the Gaussian structural model of corporate default In: Finance Research Letters.
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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.
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article0
2010An open-economy macro-finance model of international interdependence: The OECD, US and the UK In: Journal of Banking & Finance.
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article11
An Open-Economy Macro-Finance Model of Internatinal Interdependence: The OECD, US and the UK..() In: Discussion Papers.
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This paper has nother version. Agregated cites: 11
paper
2013Modelling sovereign credit spreads with international macro-factors: The case of Brazil 1998–2009 In: Journal of Banking & Finance.
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article7
2016US bank credit spreads during the financial crisis In: Journal of Banking & Finance.
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article1
2017The advantages of using excess returns to model the term structure In: Journal of Financial Economics.
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article7
1990The demand for liquid assets in Germany and the United Kingdom In: Proceedings.
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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.
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article8
2008Stochastic Volatility in a Macro?Finance Model of the U.S. Term Structure of Interest Rates 1961–2004.(2008) In: Journal of Money, Credit and Banking.
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This paper has nother version. Agregated cites: 8
article
2007Stochastic Volatility in a Macro-Finance Model of the US Term Structure of Interest Rates 1961-2004..(2007) In: Discussion Papers.
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This paper has nother version. Agregated cites: 8
paper
2009An Admissible Macro-Finance Model of the US Treasury Market. In: Multinational Finance Journal.
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article0
2002Can National Banking Systems Compete?. A Comment on the Paper by Hans-Werner Sinn In: FinanzArchiv: Public Finance Analysis.
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article1
2007Assessing the Relation between Equity Risk Premia and Macroeconomic Volatilities In: Money Macro and Finance (MMF) Research Group Conference 2006.
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paper0
2007Macro volatility in a model of the UK Gilt edged bond market In: Money Macro and Finance (MMF) Research Group Conference 2006.
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paper0
2000The Structure and Regulation of Financial Markets In: OUP Catalogue.
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book11
1994Open-Economy Macroeconomics: Theory without Evidence In: International Economic Association Series.
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chapter0
1982Exchange Rates, Interest Rates and the Mobility of Capital In: Palgrave Macmillan Books.
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chapter0
1985Official Intervention in the Foreign Exchange Market. In: Journal of Political Economy.
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article5
1989How to Make the Central Bank Look Good: A Reply. In: Journal of Political Economy.
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article4
2001E-money: Will it Take Off? In: World Economics.
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article7
2016Optimal Control of Heteroscedastic Macroeconomic Models In: Journal of Applied Econometrics.
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article1
Coupon Bond Valuation with a Non-Affine Discount Yield Model In: Discussion Papers.
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paper3
2006Affine Macroeconomic Models of the Term Structure of Interest Rates: The US Treasury Market 1961-99 In: Discussion Papers.
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paper3
2007Assessing the Relation between Equity Risk Premium and Macroeconomic Volatilities in the UK In: Discussion Papers.
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paper5
2012The Meiselman forward interest rate revision regression as an Affine Term Structure Model In: Discussion Papers.
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paper0
2013Modeling US bank CDS spreads during the Global Financial Crisis with a deferred filtration pricing model In: Discussion Papers.
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paper0
2013The US Economy, the Treasury Bond Market and the Specification of Macro-Finance Models In: Discussion Papers.
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paper0
2013The behavior of the hazard rate in the Gaussian structural default model under asymmetric information In: Discussion Papers.
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paper0
2019Estimating the term structure with linear regressions: Getting to the roots of the problem In: Discussion Papers.
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paper4
2020How to better align the U.K.’s corporate tax structure with national objectives In: Discussion Papers.
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paper0
2020Coronametrics: The UK turns the corner In: Discussion Papers.
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paper0
2020Modeling the Covid-19 Epidemic Using Time Series Econometrics In: Discussion Papers.
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paper2

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