Email
s.g.price@essex.ac.ukTelephone
+44 (0) 1206 873843
Location
EBS.3.14, Colchester Campus
Academic support hours
I am not teaching in the Autumn Term and therefore have no academic support hours.
Biography
I am an Emeritus Professor in Finance. I have had a long relationship with Essex, first joining the Economics Department in 1981. I joined EBS in January 2016. Immediately 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 trustee of the Money Macro and Finance Research Group 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. Much of my work has had some form of policy focus. This became more oriented towards macroeconomics 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 have published in a variety of policy-related, finance and macroeconomic areas, and also in political science. Examples include papers on aggregate and firm level investment behaviour, elections and voting behaviour, price setting, predictability of asset returns, and point and density forecasting. My research at the BoE was predominantly on forecasting, especially in the presence of structural change and forecast density combination. Currently I am working on political perceptions of inflation with Shaun Bowler at UC Riverside. As an Emeritus Professor, I am not taking on PhD students.
Qualifications
BSc Economics Bristol
MSc Economics LSE
PhD Economics Essex
Appointments
Other academic
Professor, Economics, City University, London (1995 - 2001)
Research interests
forecasting methods
Point and density forecasting, especially in the presence of structural change
forecasting in the presence of structural change
density forecasts
long-horizon predictability
Predictability of returns allowing for breaks in predictors
drivers of commodity prices
empirical macroeconomics
applications to dynamic 'macro' panel datasets
Mapping economic outcomes onto perceptions of government competence and and approval
Current research
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. This paper was published in Economic Letters.
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. Work is ongoing.
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). The paper was published in Econometrics and Statistics.
Oil demand
The proposal is to revist unpublished work with Nicholas Fawcett and estimate demand for oil in a large panel of countries. The methodolgy is well established but work has not yet started.
Expert forecasters
The aim is to use data from the SPF to examine expert information in forecasts, and the value of "idiots". For the Philadelpia FRB data it is possible to see that when newcomers are making poor decisions. By clustering over types of newcomers - identifing outlier forecasters, new but herd like, and so on. Does this help us understand when it is hard to forecast or to identify an impending event> Project with Andy Blake, Bank of England. Not yet started.
CES production functions and the elasticty of substitution.
The aim is to use a Normalised CES production function to estimate the elsticity of substitution between capital and labouur. This may be done using firm-level, sectoral or National Accounts data. Joint work with Cristiano Cantore at the Bank of England. At scoping stage.
Sentiments.
The aim is to revist sentiments and predictability. At prent we are formulkating ideas. With Alex Kontonikas
Mapping economic outcomes onto perceptions of government competence and approval
Current teaching responsibilities
In-Site Workshop Series (BE961)
Previous supervision
Degree subject: Finance
Degree type: Doctor of Philosophy
Awarded date: 10/3/2025
Degree subject: Finance
Degree type: Doctor of Philosophy
Awarded date: 24/2/2025
Degree type: Master of Science
Awarded date: 5/10/2022
Degree subject: Finance
Degree type: Doctor of Philosophy
Awarded date: 1/10/2020
Degree type: Master of Science
Awarded date: 15/1/2020
Journal articles (58)
Kapetanios, G., Price, S., Tasiou, M. and Ventouri, A., State-level wage Phillips curves. Econometrics and Statistics
Kapetanios, G., Millard, S., Petrova, K. and Price, S., (2020). Time varying cointegration with an application to the UK Great Ratios. Economics Letters. 193, 109213-109213
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, S. and Young, G., (2018). A UK financial conditions index using targeted data reduction: forecasting and structural identification. Econometrics and Statistics. 7, 1-17
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. Bank of England Working Paper (490)
Fawcett, N., Kapetanios, G., Mitchell, J. and Price, S., (2014). Generalised density forecast combinations. CAMA Working Paper (24)
Giraitis, L., Kapetanios, G. and Price, S., (2013). Adaptive forecasting in the presence of recent and ongoing structural change. Journal of Econometrics. 177 (2), 153-170
Eklund, J., Kapetanios, G. and Price, S., (2013). Robust Forecast Methods and Monitoring during Structural Change. The Manchester School. 81 (S3), 3-27
Groen, JJJ., Kapetanios, G. and Price, S., (2013). MULTIVARIATE METHODS FOR MONITORING STRUCTURAL CHANGE. Journal of Applied Econometrics. 28 (2), 250-274
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)
Price, S., (2009). Mining the past to determine the future: Comments. International Journal of Forecasting. 25 (3), 452-455
Groen, JJJ., Kapetanios, G. and Price, S., (2009). A real time evaluation of Bank of England forecasts of inflation and growth. International Journal of Forecasting. 25 (1), 74-80
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
Kapetanios, G., Labhard, V. and Price, S., (2008). Forecast combination and the Bank of England's suite of statistical forecasting models. Economic Modelling. 25 (4), 772-792
Kapetanios, G., Labhard, V. and Price, S., (2008). Forecasting Using Bayesian and Information-Theoretic Model Averaging. Journal of Business & Economic Statistics. 26 (1), 33-41
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)
Fernandez-Corugedo, E., Price, S. and Blake, AP., (2007). The dynamics of aggregate UK consumers' non-durable expenditure. Economic Modelling. 24 (3), 453-469
Price, S. and Schleicher, C., (2006). Returns to Equity, Investment and Q: Evidence from the United Kingdom. Bank of England Working Paper (310)
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. SSRN Electronic Journal
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
Economides, G., Philippopoulos, A. and Price, S., (2003). How elections affect fiscal policy and growth: revisiting the mechanism. European Journal of Political Economy. 19 (4), 777-792
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., (2001). Political Instability and Economic Growth: UK Time Series Evidence. Scottish Journal of Political Economy. 48 (4), 383-399
Kasch-Haroutounian, M. and Price, S., (2001). Volatility in the transition markets of Central Europe. Applied Financial Economics. 11 (1), 93-105
Asteriou, D. and Price, S., (2000). Financial Development and Economic Growth: Time Series Evidence for the case of UK. Ekonomia. 4 (2), 122-141
Proce, S., (2000). Prudence and Pragmatism in the Fiscal Stance. Economic Outlook. 24 (2), 12-19
Price, S. and Nasim, A., (1999). Modelling inflation and the demand for money in Pakistan; cointegration and the causal structure. Economic Modelling. 16 (1), 87-103
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., (1998). Comment on ‘The Politics of the Political Business Cycle’. British Journal of Political Science. 28 (1), 185-222
Choi, SW. and Price, S., (1998). The variance of UK GDP: Reduced form estimates under fixed and floating exchange rate regimes. The Manchester School. 66 (4), 490-506
Price, S. and Sanders, D., (1997). Pooling Cross-Sections: A Response to Macdonald and Heath. Political Studies. 45 (5), 942-946
Price, S., (1997). The 1997 Election: Can an Improving Economy Secure a Fifth Tory Term?. Economic Outlook. 21 (2), 12-17
Price, S., (1997). Political business cycles and macroeconomic credibility: A survey. Public Choice. 92 (3/4), 407-427
Price, S., (1996). Aggregate uncertainty, investment and asymmetric adjustment in the UK manufacturing sector. Applied Economics. 28 (11), 1369-1379
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, S., (1995). Aggregate uncertainty, capacity utilization and manufacturing investment. Applied Economics. 27 (2), 147-154
PRICE, S. and SANDERS, D., (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., (1994). AGGREGATE UNCERTAINTY, FORWARD LOOKING BEHAVIOUR AND THE DEMAND FOR MANUFACTURING LABOUR IN THE UK. Oxford Bulletin of Economics and Statistics. 56 (3), 267-283
Price, S. and Insukindro, (1994). The demand for Indonesian narrow money: long-run equilibrium, error correction and forward-looking behaviour. The Journal of International Trade & Economic Development. 3 (2), 147-163
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
Price, S., (1992). HUMAN CAPITAL, HYSTERESIS AND UNEMPLOYMENT AMONG WORKERS WITH FINITE LIVES. Scottish Journal of Political Economy. 39 (2), 201-212
Price, S., (1991). Costs, prices and profitablity in UK manufacturing. Applied Economics. 23 (4), 839-850
CHATTERJI, M. and PRICE, S., (1988). UNIONS, DUTCH DISEASE AND UNEMPLOYMENT. Oxford Economic Papers. 40 (2), 302-321
Junankar, PN. and Price, S., (1984). The Dynamics of Unemployment: Structural Change and Unemployment Flows. The Economic Journal. 94 (Supplement), 158-158
Book chapters (2)
Giraitis, L., Kapetanios, G., Mansur, M. and Price, S., (2015). Forecasting Under Structural Change. In: Advanced Studies in Theoretical and Applied Econometrics. Springer International Publishing. 401- 419. 9783319031217
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
Conferences (1)
Ellis, C. and Price, S., (2004). UK Business Investment and the User Cost of Capital
Reports and Papers (7)
Calonaci, F., Kapetanios, G. and Price, S., (2022). Stock returns predictability with unstable predictors
Kapetanios, G., Millard, S., Price, S. and Petrova, K., (2018). Time varying cointegration and the UK Great Ratios
Kapetanios, G., Tasiou, M., Price, S. and Ventouri, A., (2018). State-level wage Phillips curves
Kapetanios, G., Price, SG. and Young, G., (2017). A UK financial conditions index using targeted data reduction: forecasting and structural identification
Price, S., (1993). Aggregate Uncertainty and Consumers' Expenditure in the UK.
Choi, SW. and Price, S., (1993). The Effectiveness of UK Stabilisation Policy Under Fixed and Floating Exchange Rate Regimes.
Price, S., (1993). The effect of aggregate uncertainty on the demand for manufacturing labour in the UK
Scholarly Editions (9)
Price, S., Asteriou, D., Lukacs, P. and Pain, N., Manufacturing price determination in OECD countries; markups, demand and uncertainty in a dynamic heterogeneous panel
Price, S., UK investment and the return to equity: Q redux
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
Kapetanios, G., Labhard, V. and Price, S., (2006). Forecasting Using Predictive Likelihood Model Averaging
Other (1)
Price, S., Understanding Investment Better: Insights from Recent Research
Academic support hours:
I am not teaching in the Autumn Term and therefore have no academic support hours.
