Peter Dunne is currently employed by the Irish Central Bank as a Research Economist. He has an association with Queen's University as a Visiting Research Fellow and was formerly a Senior Lecturer in Finance at Queen's. Peter has Primary and Masters degrees in economics from University College Dublin, a Masters degree in economics from Warwick University and a Ph.D. in Finance from Queen's University. He came to Queen's in 1990 following lectureship experience at UCD and with employment experience in a firm of stockbrokers and economic consultants. Peter has recently collaborated on projects relating to liquidity, transparency, efficiency, 'price-discovery' and the effects of macroeconomic ‘order-flows’ in foreign exchange and fixed-income asset markets. He has recently completed a report, commissioned from the CEPR, on the potential effects of extending the MiFID proposals of the European Commission's 'Financial Services Action Plan' to the sovereign bond markets and is currently researching the effects of the recent financial crisis on bond and repo markets. Peter has also worked on projects relating to auditor reputation and accounting information-quality. He is a recent recipient of research grants from the ESRC and EIF for projects relating to the effects of technology in a market microstructure context.

Recent Publications

• The Market Response to Information Quality Shocks: The Case of Enron (PDF 139 KB)
  Applied Financial Economics - Forthcoming (2007)
• Transparency Proposals for European Sovereign Bond Markets (PDF 85 KB)
  Journal of Financial Regulation & Compliance Forthcoming (2007)
• Benchmark Status in Fixed-Income Asset Markets (PDF 198 KB)
  Journal of Business Finance & Accounting (OnlineEarly June 2007) (2007)
• European Government Bond Markets: Transparency, Liquidity, Efficiency (2006)
  http://www.icmagroup.org/market_practice/Advocacy/bond_market_transparency.Par.0003.ParDownLoadFile.tmp/TT%20GovernmentFULL.pdf (2006)
• A Generalised Bayesian Model of Market Microstructure Behaviour Applied to the Market in Irish Government Securities. 2000
  International Review of Financial Analysis. (2000)
• Size and Book-to-Market Factors in a Multivariate GARCH-in-mean Asset Pricing Application. 1999
  International Review of Financial Analysis. (1999)
• An Analysis of the Microstructure of the Irish Gilt Market in Two Trading Regimes. 1999
  Irish Accounting Review (1999)
• An Econometric Assesment of the Change in Quality of the Irish Gilt Market Since the Introduction of Market Making. 1996
  Economic Social Review (1996)
• The Implicit Cost of Trading in a Jointly Listed Irish Equity. 1994
  Economic Social Review (1994)
• Market Making When the Order-Arrival Process is the Result of Positive Feedback Trading. 1994
  The Manchester School (1994)

Working Papers

• Transparency Proposals for European Sovereign Bond Markets
• International Order Flows: Explaining Equity and Exchange Rate Returns
• Price Discovery and Benchmark Status in Fixed Income Asset Markets
• An Empirical Analysis of Transparency-Related Characteristics of European and US Sovereign Bond Markets

Documents - Publications

  empirical analysis of transparency related characteristics of european and us sovereign bond markets.pdf (PDF 199kb)