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 research at the Bank was predominantly on forecasting, most recently on forecasting in the presence of structural change and forecast density combination. Currently I am working on predictability of returns, time-varying cointegration, modelling economic expectations and estimation of state-level Phillips curves in the U.S. 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. I am currently supervising one PhD on forecasting commodity prices. I welcome inquiries from potential PhD students on a variety of topics, including but not exclusively * Forecasting * Predictability and forecasting of returns * Commodity prices * Topics involving macroeconomic (long T) panel data sets * House prices

Qualifications

  • BSc Economics Bristol

  • MSc Economics LSE

  • PhD Economics Essex

Appointments

Other academic

  • Professor, Economics, City University, London (1995 - 2001)

Research and professional activities

Research interests

forecasting methods

Point and density forecasting, especially in the presence of structural change

Key words: forecasting
Open to supervise

forecasting in the presence of structural change

Open to supervise

density forecasts

Open to supervise

long-horizon predictability

Predictability of returns allowing for breaks in predictors

Key words: returns
Open to supervise

drivers of commodity prices

Open to supervise

empirical macroeconomics

applications to dynamic 'macro' panel datasets

Open to supervise

Current research

Forecast density combination

Time varying cointegration and the UK Great Ratios

We re-examine the great ratios associated with balanced growth models and ask whether they have remained constant over time. Having first looked at whether Kaldor's stylised facts still apply to the UK data, we employ a nonparametric methodology that allows for slowly varying coefficients to estimate trends over time. We formally test for stable relationships in the great ratios with a new statistical test based on these nonparametric estimators designed to detect time varying cointegrating relationships. Small sample properties of the test are explored in a small Monte Carlo exercise. Generally, we find little evidence for cointegration when parameters are constant, but strong evidence when allowing for time variation. The implications are that in macroeconometric models (including DSGE models), provision should be made to explicitely facilitate such shifting long-run relationships.

Stock returns predictability with unstable predictors

We re-examine predictability of US stock returns. Theoretically well-founded models predict that stationary combinations of I(1) variables such as the dividend or earnings to price ratio or the consumption/asset/income relationship better known as CAY may predict returns. However, there is evidence that these relationships are unstable, and that allowing for discrete shifts in the unconditional mean (location shifts) can lead to greater predictability. But it is unclear why there should be a small number of discrete shifts. We allow for more general instability in the predictors that is characterised by smooth variation and provide a test of the null hypothesis cointegration (a stationary predictor). We apply this methodology to the three predictors specified above and find that modelling smooth instability improves predictability and tends to outperform discrete mean shifts.

US state-level Phillips curves

In this project we estimate reduced-form versions of New Keynesian wage Phillips curves using state-level data and appropriate techniques allowing for heterogeneity and common correlated effects, an exercise which has not been previously undertaken. Moreover, we estimate relationships that are firmly rooted in the modern macroeconomic theory of price and wage adjustment, the New Keynesian Phillips Curve (NKPC). State-level data offers a rich dataset that may make it possible to improve our understanding relative to aggregate data, even if it is solely the aggregate relationship which we are interested in. There has been previous research on state-level labour markets and wage determination, but these have all been conducted using methods that may be subject to biases. This is potentially important, as it is well known that aggregation can seriously distort estimates of dynamic processes such as wage adjustment and may lead to misleading inferences that affect how macroeconomic policymakers (eg the FRB) respond to shocks. This is also problematic from the point of view of those wishing to understand local labour markets. We find that when we use appropriate techniques, the results are substantially different from those obtained using conventional methods. The results clearly favour one specification due to Gali (2011).

Teaching and supervision

Current teaching responsibilities

  • Financial Modelling (BE356)

  • In-Site Workshop Series (BE961)

Publications

Journal articles (36)

Kapetanios, G., Millard, S., Petrova, K. and Price, S., (2019). Time-varying Cointegration and the UK Great Ratios. Bank of England Working Paper (789)

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

More about me
My RePEc page, containing most of my publications: https://ideas.repec.org/e/ppr75.html