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Peter Damian Spencer

Global rank #1932 97%

Institution: University of York

Primary Field: Finance (weighted toward more recent publications)

Homepage: http://www.york.ac.uk/economics/our-people/staff-profiles/peter-spencer/

First Publication: 1985

Most Recent: 2024

RePEc ID: psp109 ↗

Publication Scores

Scores use coauthorship adjustment: α/n credit per paper, where n = number of authors. α = 2.01: calibrated so average adjusted count equals average raw count (a zero-sum adjustment).

Period S (4x) A (2x) B (1x) C (½x) Total
Last 5 Years 0.00 0.00 3.69 0.00 3.69
Last 10 Years 0.00 1.01 6.70 0.00 8.71
All Time 4.02 1.01 24.80 0.00 42.90

Publication Statistics

Raw Publications 19
Coauthorship-Adjusted Count 29.96

Publications (19)

Year Article Journal Tier Authors
2024 Unconventional Monetary Policies and the Yield Curve: Estimating Non-Affine Term Structure Models with Unspanned Macro Risk by Factor Extraction Review of Asset Pricing Studies B 2
2023 The information in joint term structures of bond yields Journal of International Money and Finance B 3
2023 Oil prices in the real economy Journal of Applied Econometrics B 2
2021 Modeling the Covid‐19 epidemic using time series econometrics Health Economics B 2
2017 The advantages of using excess returns to model the term structure Journal of Financial Economics A 2
2016 Optimal Control of Heteroscedastic Macroeconomic Models Journal of Applied Econometrics B 2
2016 US bank credit spreads during the financial crisis Journal of Banking & Finance B 1
2013 Modelling sovereign credit spreads with international macro-factors: The case of Brazil 1998–2009 Journal of Banking & Finance B 2
2013 UK Macroeconomic Volatility and the Term Structure of Interest Rates Oxford Bulletin of Economics and Statistics B 1
2010 An open-economy macro-finance model of international interdependence: The OECD, US and the UK Journal of Banking & Finance B 2
2008 Stochastic Volatility in a Macro‐Finance Model of the U.S. Term Structure of Interest Rates 1961–2004 Journal of Money, Credit, and Banking B 1
1998 Financial Innovation and Divisia Monetary Aggregates: Comment on Ford, Peng, Mullineux (1992) Oxford Bulletin of Economics and Statistics B 1
1998 Financial Innovation and Divisia Monetary Aggregates: Comment on Ford, Peng, Mullineux (1992). Oxford Bulletin of Economics and Statistics B 1
1997 Monetary integration and currency substitution in the EMS: The case for a European monetary aggregate European Economic Review B 1
1989 Housing, Wages and UK Labour Markets: Comments. Oxford Bulletin of Economics and Statistics B 1
1989 Speculative and precautionary balances as complements in the portfolio : The case of the U.K. banking sector 1972-1980 Journal of Banking & Finance B 1
1989 How to Make the Central Bank Look Good: A Reply. Journal of Political Economy S 1
1985 Bounded Shooting: A Method for Solving Large Non-Linear Econometric Models under the Assumption of Consistent Expectations. Oxford Bulletin of Economics and Statistics B 1
1985 Official Intervention in the Foreign Exchange Market. Journal of Political Economy S 1