People

Professor Simon Price

Professor
EBS - Finance
Professor Simon Price
  • Email

  • Telephone

    +44 (0) 1206 873843

  • Location

    EBS.3.14, Colchester Campus

  • Academic support hours

    You can find details of Academic Support hours on the EBS UG and PG information page on Moodle or by calling EBS Student Services on 01206873911

Profile

Biography

I joined EBS in January 2016. Prior to that, I was a Senior Technical Advisor with special responsibility for coordinating research activities in Monetary Analysis at the Bank of England and an honorary Professor at City University, London. I am a member of the Money Macro and Finance Research Group committee and a Research Associate at the Centre for Macroeconomics (London) and the Centre for Applied Macroeconomic Research (ANU). Before I joined the Bank in 2001, I had a full time chair at City. I have worked mainly in universities, including posts at Essex (Economics) where I gained my PhD and Bristol, but spent two years at HMT. I have worked as a consultant on a range of issues, for example for Oxford Economic Forecasting and NERA. I have published in a variety of policy-related, finance and macroeconomic areas. Examples include papers on aggregate and firm level investment behaviour, price setting, predictability of asset returns, but most recently I have concentrated on point and density forecasting. For several years I worked on elections and voting behaviour, sometimes in collaboration with political scientists, although not since joining the Bank. My current research focus is predominantly on forecasting, most recently on forecasting in the presence of structural change and forecast density combination. Most of my work has had some form of policy focus. This became more oriented towards macroeconomics after I spent two years at HMT in the late 1980s, where I was first the inflation forecaster and then a model developer. Subsequently I was a regular presenter at the annual Warwick Macroeconomic Modelling Bureau Seminar, the meeting place of the UK macroeconometric modelling community, and had a long-running relationship with Oxford Economic Forecasting. In the 1990s I began working with political scientists. My recent work has been focussed primarily on forecasting in the presence of structural change and forecast combination, especially of densities.

Qualifications

  • BSc Economics Bristol

  • MSc Economics LSE

  • PhD Economics Essex

Research and professional activities

Research interests

forecasting methods

forecasting in the presence of structural change

density forecasts

long-horizon predictability

drivers of commodity prices

empirical macroeconomics

applications to dynamic 'macro' panel datasets

Current research

Forecast density combination

Financial conditions indices

Long-horizon predictability of commodity prices

Eurozone Phillips curves

Teaching and supervision

Current teaching responsibilities

  • Financial Modelling (BE356)

  • In-Site Workshop Series (BE961)

Publications

Journal articles (35)

Kapetanios, G., Price, SG. and Young, G., (2017). A UK financial conditions index using targeted data reduction: forecasting and structural identification. Econometrics and Statistics (699)

Kapetanios, G., Price, S. and Theodoridis, K., (2015). A new approach to multi-step forecasting using dynamic stochastic general equilibrium models. Economics Letters. 136 (C), 237-242

Kapetanios, G., Mitchell, J., Price, S. and Fawcett, N., (2015). Generalised density forecast combinations. Journal of Econometrics. 188 (1), 150-165

Giraitis, L., Kapetanios, G. and Price, S., (2014). Adaptive forecasting in the presence of recent and ongoing structural change. CAMA Working Paper (14)

Giraitis, L., Kapetanios, G. and Price, S., (2014). Adaptive Forecasting in the Presence of Recent and Ongoing Structural Change. Bank of England Working Paper (490)

Fawcett, N., Kapetanios, G., Mitchell, J. and Price, S., (2014). Generalised density forecast combinations. CAMA Working Paper (24)

Eklund, J., Kapetanios, G. and Price, S., (2013). Robust Forecast Methods and Monitoring during Structural Change. The Manchester School. 81, 3-27

Eklund, J., Kapetanios, G. and Price, S., (2011). Forecasting in the Presence of Recent Structural Change. Australian National University – Centre for Applied Macroeconomic Analysis (CAMA) Working Paper (23)

Benito, A., Neiss, K., Price, S. and Rachel, L., (2010). The impact of the financial crisis on supply. Bank of England Quarterly Bulletin. 50 (2), 104-114

Eklund, J., Kapetanios, G. and Price, S., (2010). Forecasting in the presence of recent structural change. Bank of England Working Paper (406)

Groen, JJJ., Kapetanios, G. and Price, S., (2009). Multivariate Methods for Monitoring Structural Change

Price, S., (2008). Discussion of House Prices, Money, Credit, and the Macroeconomy by Charles Goodhart and Boris Hofmann. Oxford Review of Economic Policy. 24 (1), 206-209

Barnes, S., Price, S. and Sebastia Barriel, M., (2008). The elasticity of substitution: evidence from a UK firm-level data set. Bank of England Working Paper (348)

Kapetanios, G., Labhard, V. and Price, S., (2007). Forecast Combination and the Bank of England's Suite of Statistical Forecasting Models. Bank of England Working Paper (323)

Price, S. and Schleicher, C., (2006). Returns to Equity, Investment and Q: Evidence from the United Kingdom. Bank of England Working Paper (310)

Kapetanios, G., Labhard, V. and Price, S., (2005). Forecasting using Bayesian and Information Theoretic Model Averaging: An Application to UK Inflation

Asteriou, D. and Price, S., (2005). Uncertainty, Investment and Economic Growth: Evidence from a Dynamic Panel. Review of Development Economics. 9 (2), 277-288

Price, S. and Schleicher, C., (2005). Returns to Equity, Investment and Q: Evidence from the UK. Manchester School. 73 (S1), 32-57

Ellis, C. and Price, S., (2004). UK Business Investment and the User Cost of Capital. Manchester School. 72 (S1), 72-93

Ellis, C. and Price, S., (2003). The Impact of Price Competitiveness on UK Producer Price Behaviour

Ellis, C. and Price, S., (2003). UK Business Investment: Long-Run Elasticities and Short-Run Dynamics

Herzberg, V., Kapetanios, G. and Price, S., (2003). Import Prices and Exchange Rate Pass-Through: Theory and Evidence from the United Kingdom

Corugedo, EF., Price, S. and Blake, AP., (2003). The Dynamics of Consumers' Expenditure: The UK Consumption ECM Redux

Corugedo, EF. and Price, S., (2002). Financial Liberalisation and Consumers' Expenditure: 'FLIB' Re-examined

Economides, G., Philippopoulos, A. and Price, S., (2002). Elections, Fiscal Policy and Growth: Revisiting the Mechanism

Asteriou, D. and Price, S., (2000). Financial Development and Economic Growth: Time Series Evidence for the case of UK. Ekonomia. 4 (2), 122-141

Price, S. and Sanders, D., (1998). By-elections, changing fortunes, uncertainty and the mid-term blues. Public Choice. 95 (1/2), 131-148

Price, S. and Sanders, D., (1997). Pooling Cross-Sections: A Response to Macdonald and Heath. Political Studies. 45 (5), 942-946

Price, S. and Sanders, D., (1995). Economic Expectations and Voting Intentions in the UK, 1979–87: A Pooled Cross-section Approach. Political Studies. 43 (3), 451-471

PRICE, SIMON. and SANDERS, DAVID., (1994). ECONOMIC COMPETENCE, RATIONAL EXPECTATIONS AND GOVERNMENT POPULARITY IN POST-WAR BRITAIN. The Manchester School. 62 (3), 296-312

Sanders, D. and Price, S., (1994). Party support and economic perceptions in the UK, 1979–87: A two‐level approach. British Elections and Parties Yearbook. 4 (1), 45-72

Price, S. and Hobbs, P., (1994). [Introduction]. The Economic Journal. 104 (425), 983-983

Price, S. and Sanders, D., (1993). Modeling Government Popularity in Postwar Britain: A Methodological Example. American Journal of Political Science. 37 (1), 317-317

Price, S. and Weil, D., (1992). Macrobytes.. The Economic Journal. 102 (415), 1586-1586

Price, S., (1992). Forward Looking Price Setting in UK Manufacturing. The Economic Journal. 102 (412), 497-497

Book chapters (1)

Price, S., (2010). Discussion of Determinants of Agricultural and Mineral Commodity Prices. Editors: Fry, R., Jones, C. and Kent, C., . 978-0-9807068-0-2

Scholarly Editions (9)

Kapetanios, G., Labhard, V. and Price, S., Forecasting Using Predictive Likelihood Model Averaging

Price, S., UK investment and the return to equity: Q redux

Price, S., Asteriou, D., Lukacs, P. and Pain, N., Manufacturing price determination in OECD countries; markups, demand and uncertainty in a dynamic heterogeneous panel

Kapetanios, G. and Price, S., Estimation and Inference in a Non-Linear State Space Model: Durable Consumption

Giraitis, L., Kapetanios, G. and Price, S., (2012). Adaptive Forecasting in the Presence of Recent and Ongoing Structural Change

Groen, JJJ., Kapetanios, G. and Price, S., (2010). Multivariate Methods for Monitoring Structural Change

Groen, JJJ., Kapetanios, G. and Price, S., (2009). Multivariate methods for monitoring structural change

Kapetanios, G., Labhard, V. and Price, S., (2006). Forecasting Using Predictive Likelihood Model Averaging

Kapetanios, G., Labhard, V. and Price, S., (2006). Forecasting using Bayesian and Information Theoretic Model Averaging: An Application to UK Inflation

Other (1)

Price, S., Understanding Investment Better: Insights from Recent Research

Contact

s.g.price@essex.ac.uk
+44 (0) 1206 873843

Location:

EBS.3.14, Colchester Campus

Academic support hours:

You can find details of Academic Support hours on the EBS UG and PG information page on Moodle or by calling EBS Student Services on 01206873911