price formation in electricity forward markets and the relevance of systematic forecast errors since the liberalisation of the european electricity sector forward and futures contracts have gained significant interest of market participants due to risk management reasons for pricing of these contracts an important fact concerns the non storability of electricity in this case according to economic theory forward prices are related to the expected spot prices which are built on fundamental market expectations in the following article the crucial impact parameters of forward electricity prices and the relationship between forward and future spot prices will be assessed by an empirical analysis of electricity prices at the european energy exchange and the nord pool power exchange in fact price formation in the considered markets is influenced by historic spot market prices yielding a biased forecasting power of long term contracts although market and risk assessment measures of market participants and supply and demand shocks can partly explain the futures spot bias inefficiencies in the analysed forward markets cannot be ruled out

international trade as an integrated equilibrium new perspectives the integrated equilibrium is a paradigm that has played a central role in the field of international trade the concept originated with paul a samuelson 1949 was further developed by avinash k dixit and victor f norman 1980 and placed at the heart of international analysis by elhanan helpman and paul r krugman 1985 the central idea is that a world with imperfect mobility of productive factors across regions or countries may replicate the essential equilibrium of a fully integrated economy provided that goods are perfectly mobile the concept of the integrated equilibrium has proved to be exceptionally tractable and useful for analytic developments as for example in the work of gene m grossman and helpman 1992 we have found using elements of integrated equilibrium analysis useful in our own work e g davis et al 1997 the central figures in developing the theory of trade and growth within the integrated equilibrium framework have been quite aware of its limitations helpman and krugman 1985 include a section on the cases in which factor price equalization fpe breaks down grossman and helpman 1992 make the distinction between national and international spillovers a key element of their theory of trade and growth moreover the starting point of krugman s work in the past decade on economic geography has been precisely to deny that the world operates as if it were an integrated economy this notwithstanding we believe that the grip of integrated equilibrium analysis on the way that the economics profession conceives of world trade patterns remains very powerful and in important ways distorts one s view of trade relations particularly among the relatively rich countries of the oecd we do not propose to banish integrated equilibrium analysis we believe that it is useful in the proper context however we do propose that it is important to have a fuller appreciation of the limits of such analysis from an empirical standpoint and thus to have a richer view of the determinants of world trade patterns

market specific news and its impact on forward premia on electricity markets abstract this paper studies the impact of market specific news on the short term forward premia on the nordic electricity market i show that the short term premia between the day ahead and intra day electricity prices on the nordic market can be partly explained by the arrival of news specific to the power market by exploring the types of news i show that production failures are most important in shaping premia production disruptions in coal powered units are most frequent and have the greatest effect on the differences between the day ahead and intra day prices

time series forecasts of international travel demand for australia abstract this paper analyses stationary and non stationary international tourism time series data by formally testing for the presence of unit roots and seasonal unit roots prior to estimation model selection and forecasting various box jenkins autoregressive integrated moving average arima models are estimated over the period 1975 1 1989 4 for tourist arrivals to australia from hong kong malaysia and singapore the mean absolute percentage error and root mean squared error rmse are used as measures of forecast accuracy as the best fitting arima model is found to have the lowest rmse this model is used to obtain post sample forecasts tourist arrivals data for 1990 1 1996 4 are compared with the forecast performance of the arima model for each origin market the fitted arima model forecasts tourist arrivals from singapore for the period 1990 1 1996 4 very well although the arima model outperforms the seasonal arima models for hong kong and malaysia the forecasts of tourist arrivals are not as accurate as in the case of singapore

the factor content of foreign trade in the factor proportions trade theory the heckscher ohlin theory the factor content of the pattern of trade plays a major role both in theoretical and in empirical investigations it is therefore valuable to identify restrictions on permissible vectors of the factor content of trade which necessarily hold in equilibrium if certain restrictions are empirically testable they can be used for preliminary testing of the theory before a more thorough examination is undertaken or they can be used to reject the theory it is my intention to develop in this paper a set of restrictions on the vectors of the factor content of trade which can be used for these purposes it is well known that autarky commodity prices impose restrictions on possible patterns of trade these restrictions provide a precise prediction of the pattern of trade for a two country two commodity world in the sense that the exporter of a good is readily identifiable from autarky price data as the country with the lower relative price of the good i will start by showing that in the presence of factor price equalisation autarky factor rewards impose restrictions on the factor content of trade patterns which are completely analogous to the restrictions imposed by autarky commodity prices on the commodity patterns of trade this result is in line with the view that in the factor proportions model trade in commodities represents indirect trade in factor services unfortunately these restrictions rely on autarky information and they are therefore not very useful for empirical work in order to overcome this difficulty i explore an alternative approach i argue that common predictions of the factor content of trade flows which are based on post trade observable data the data relevant for empirical studies rely on unnecessarily restrictive assumptions i e the assumption that preferences are homothetic and identical across countries and the assumption of factor price equalisation the assumption of identical homothetic preferences seems to be necessary when factor price equalisation is assumed because in this case there is an indeterminancy in the pattern of production nevertheless the two assumptions taken together imply the same factor content of a country s net import vector from the rest of the world for every equilibrium production pattern however in a many country world the factor content of bilateral trade flows depends on the realised production patterns and they cannot therefore be predicted i will show that in the absence of factor price equalisation which many

measuring persistence in croatian tourism evidence from the adriatic region this study examines the degree of persistence in foreign tourist arrivals and overnight stays for seven croatian coastal counties over the period january 1998 to december 2013 using fractional integration techniques our findings reveal that the respective regional tourism indicators exhibit seasonal unit roots which require seasonal first differences to render the respective time series stationary with respect to the long run evolution of the respective time series both the parametric and semi parametric fractional integration approaches show the degree of persistence is greater than zero but significantly less than one for the majority of the coastal counties impulse response analysis reveals indeed shocks to the deseasonalized time series either foreign tourist arrivals or foreign tourist overnight stays appear short lived with the exception of istria and primorje gorski kotar counties policy implications of the results are also discussed

a piecewise linear approach to modeling and forecasting demand for macau tourism abstract in this paper we construct and use a piecewise linear method to model and forecast on a monthly basis the demand for macau tourism data over the period january 1991 december 2005 and a seasonally adjusted series for tourism demand are used the study examines 4 forecasting horizons ranging from 6 to 24 months in advance mean absolute percentage errors and root mean square errors are adopted as criteria for evaluating the accuracy of the forecasting exercises finally the forecasts of piecewise linear model are compared with those of autoregressive trend model seasonal autoregressive integrated moving average and its arch rival fractionally integrated autoregressive moving average models the piecewise linear model is more accurate than the three benchmark models tested and the improvement is practically significant

robust estimation and forecasting of the long term seasonal component of electricity spot prices when building stochastic models for electricity spot prices the problem of uttermost importance is the estimation and consequent forecasting of a component to deal with trends and seasonality in the data while the short term seasonal components daily weekly are more regular and less important for valuation of typical power derivatives the l ong term seasonal components ltsc seasonal annual are much more diffi cult to tackle surprisingly in many academic papers dealing with electricity spot price modeling the importance of the seasonal decomposition is neglected and the problem of forecasting it is not considered with this paper we want to fill the gap and present a thorough study on estimation and forecasting of the ltsc of electricity spot prices we consider a battery of models based on fourier or wavelet decomposition combined with linear or exponential decay we find that all considered wavelet base d models are significantly better in terms of forecasting spot prices up to a year ahead than all considered sine based models this result questions the validity and usefulness of stochastic models of spot electricity prices built on sinusoidal long term seasonal components

modeling and forecasting tourism demand for arrivals with stochastic nonstationary seasonality and intervention abstract this paper presents the use of time series sarima and marima with interventions in forecasting tourism demand using ten arrival series for hong kong augmented dickey fuller tests indicated that all the series were seasonal nonstationary significant interventions such as relaxation of the issuance of out bound visitors visas the asian financial crisis the handover and the bird flu epidemic were all empirically identified with significant test results and expected signs the forecasts obtained using models that capture stochastic nonstationary seasonality and interventions sarima and marima with intervention analysis are compared with other eight time series models and were found to have the highest accuracy

the factor content of international trade without factor price equalization abstract within the basic two factor multi commodity model of a two country world the present paper shows that international factor price equalization is unnecessary for deriving the heckscher ohlin theorem in its factor content version according to which the bundle of goods exported by the capital abundant country will use more capital and less labour than the bundle exported from the labour abundant country the factor content version remains valid when the model is generalized to include trade impediments intermediate goods or additional countries except perhaps if the first of these extensions is combined with either of the other two

tourism demand modelling and forecasting a review of recent research abstract this paper reviews the published studies on tourism demand modelling and forecasting since 2000 one of the key findings of this review is that the methods used in analysing and forecasting the demand for tourism have been more diverse than those identified by other review articles in addition to the most popular time series and econometric models a number of new techniques have emerged in the literature however as far as the forecasting accuracy is concerned the study shows that there is no single model that consistently outperforms other models in all situations furthermore this study identifies some new research directions which include improving the forecasting accuracy through forecast combination integrating both qualitative and quantitative forecasting approaches tourism cycles and seasonality analysis events impact assessment and risk forecasting

long memory in foreign exchange rates using the geweke porter hudak test we find evidence of long memory in exchange rate data this implies that the empirical evidence of unit roots in exchange rates may not be robust to long memory alternatives fractionally integrated autoregressive moving average arfima models are estimated by both the time domain exact maximum likelihood ml method and the frequency domain approximate ml method impulse response functions and forecasts based on these estimated arfima models are evaluated to gain insight into the long memory characteristics of exchange rates some tentative explanations of the long memory found in the exchange rates are discussed

a test of the factor endowments model of trade in a rapidly industrializing country the case of the authors perform a fully specified test of the heckscher ohlin vanek hov multifactor content theorem of international trade in the context of a rapidly industrializing economy the republic of korea in 1970 and 1980 the test involves a comparison of independent measures of relative factor endowments with endowment rankings revealed by korea s international trade and total factor intensities interest arises in this effort because korea s industrialization presents a new set of circumstances in which to test the heckscher ohlin vanek theorem the results strongly suggest that the revealed factor endowments departed significantly from actual factor supplies the authors discuss potential reasons for this divergence copyright 1993 by mit press

electricity futures prices indirect storability expectations and risk premiums the goal of this paper is to examine to what extent electricity futures prices contain expected risk premiums or have power to forecast spot prices and whether this might be dependent on the type of electricity supply we analyse futures prices from the dutch market a market in which power is produced with storable fossil fuels and futures prices from the nordpool market where electricity is mostly produced by hydropower we show that futures prices from markets in which electricity is predominantly produced by imperfectly storable fuels such as hydro wind and solar contain information about expected changes in the spot price of electricity whereas futures prices from markets in which electricity is predominantly produced with perfectly storable fuels contain information about both expected price changes and time varying risk premiums these findings provide insight in the applicability of forward price models one cannot apply the same model to all electricity markets forward models for markets with imperfect indirect storability should depend heavily on price expectations and models should include time varying risk premiums for markets with perfect indirect storability

income risk of eu coal fired power plants after kyoto coal fired power plants enjoy a significant advantage relative to gas plants in terms of cheaper fuel cost this advantage may erode or turn into disadvantage depending on co2 emission allowance price financial risks are further reinforced when the price of electricity is determined by natural gas fired plants marginal costs we aim to empirically assess the risks in eu coal plants margins up to the year 2020 parameter values are derived from actual market data monte carlo simulation allows compute the expected value and risk profile of coal plants earnings future allowance prices may spell significant risks on utilities balance sheets

forecasting international tourist flows to macau abstract the vector autoregressive var modelling technique is used to forecast tourist flows to macau from eight major origin countries regions over the period 2003 2008 the existing literature shows that the var model is capable of producing accurate medium to long term forecasts and also separate forecasts of the explanatory variables are not required a further justification for using the var technique is that it permits an impulse response analysis to be performed in order to examine the ways in which the demand for macau tourism responds to the shocks in the economic variables within the var system the implications of this analysis are discussed the forecasts generated by the var models suggest that macau will face increasing tourism demand by residents from mainland china since the needs of chinese tourists tend to be different from those from other origin countries regions especially western countries the business sectors in macau need to pay considerable attention to catering for the needs of chinese tourists

forward premia in electricity markets a replication study abstract motivated by mixed empirical evidence for the risk premium theory of bessembinder and lemmon 2002 i perform a replication study by rerunning simulations the risk premium theory links forward premia to the statistical properties of the anticipated distribution of spot power prices in an equilibrium approach my simulations closely following those run in the original paper support the first three hypotheses but not hypothesis 4 an increase in mean demand can thus result in a lower forward premium for some ranges of parameter values the replication results do not explain the mixed empirical support for the theory

a fractionally integrated autoregressive moving average approach to forecasting tourism demand the primary aim of this paper is to incorporate fractionally integrated arma p d q arfima models into tourism forecasting and to compare the accuracy of forecasts with those obtained by previous studies the models are estimated using the volume of monthly international tourist arrivals in singapore empirical findings demonstrate the evidence that the approach we propose generates relatively lower sample mean absolute percentage errors mapes this study also deals with the volatile data faced by a forecaster we use the asian financial crisis and the september 11 event as examples of economic and political shocks with respect to the objective of shaving the coefficient mape forecasts based on the selected arfima models dominate convincingly

reassessing the integration of european electricity markets a fractional cointegration analysis this study extends existing literature on the assessment of electricity market integration in europe by developing and testing hypotheses on the convergence of electricity wholesale prices and adopting a time varying fractional cointegration analysis in addition the potential impacts of some special events that may affect system capacity new interconnection market coupling increase in share of intermittent generation on spot and forward markets are considered and evaluated daily spot prices from february 2000 to march 2013 of nine european electricity spot markets apx uk apx nl belpex epex fr epex de ipex nordpool omel and ote and month ahead prices in four markets french british german and dutch from november 2007 to december 2012 are investigated results show that unit root tests which are generally used in the literature to test market integration are inadequate for assessing electricity spot market convergence because spot prices are found to be fractionally integrated and mean reverting time series furthermore spot price behaviour and their association with different markets change over time reflecting changes in the eu electrical system one month ahead prices by contrast were found to have become more resilient to shocks and to follow more stable trends

the gains from trade theorem with variable returns to scale in the presence of intermediate goods abstract this paper examines gains from trade theorems in the presence of intermediate goods produced under variable returns to scale vrs the theorems obtained in this paper are nice generalizations of the results obtained from the final good models where final goods are produced under vrs

an empirical study of the information premium on electricity markets abstract due to the non storability of electricity and the resulting lack of arbitrage based arguments to price electricity forward contracts a significant time varying risk premium is exhibited using eex data during the introduction of emission certificates and the german atom moratorium we show that a significant part of the risk premium in electricity forwards is due to different information sets in spot and forward markets in order to show the existence of the resulting information premium and to analyse its size we design an empirical method based on techniques relating to enlargement of filtrations and the structure of hilbert spaces

multiple cones factor price differences and the factor content of trade abstract this paper examines the theoretical predictions of the multi cone heckscher ohlin model and the empirical evidence for it i extend helpman 1984 by identifying additional restrictions that characterize the free trade equilibrium i illustrate that the complete set of restrictions are the building blocks of a multi cone factor content specification which is the factor content dual to alan deardorff s 1979 well known chain of comparative advantage goods prediction the theoretical analysis implies that the existing tests of helpman are incomplete applying the complete set of restrictions to choi and krishna s data set of 8 oecd countries i find limited empirical support this is compatible with previous studies suggesting that oecd countries do not occupy different cones

global production sharing and trade in the services of factors this article develops an approach to measuring the factor content of trade when intermediate inputs are traded and techniques differ for reasons such as factor price differences an empirical section documents the importance of intermediates and shows that they mitigate cross country differences in the factor content of finished goods the performance of recent models of factor service trade is also evaluated existing approaches impute the factor content of imported intermediates with domestic techniques and tend to overstate how well those models perform the framework developed here can help reconcile generalequilibrium trade models with actual patterns of trade d 2005 elsevier b v all rights reserved

revisiting the relationship between spot and futures prices in the nord pool electricity market abstract this work discusses potential pitfalls of applying linear regression models for explaining the relationship between spot and futures prices in electricity markets in particular the bias coming from the simultaneity problem the effect of correlated measurement errors and the impact of seasonality on the regression results studying a 13 year long 1998 2010 price series of spot and futures prices at nord pool and employing regression models with garch residuals we show that the impact of the water reservoir level on the risk premium is positive which is to be expected but contradicts the results of botterud et al 2010 we also show that after taking into account the seasonality of the water level the storage cost theory proposed by botterud et al 2010 to explain the behavior of convenience yield has only limited support in the data

storage and the electricity forward premium we develop and test a model describing the influence of natural gas storage inventories on the electricity forward premium the model is constructed by linking the effect of gas storage constraints on the higher moments of the distribution of electricity prices to an established model of the effect of those moments on the forward premium the model predicts a sharply negative effect of gas storage inventories on the electricity forward premium when demand for electricity is high and space heating demand for gas is low empirical results based on pjm data strongly support the model

measurement of the factor content of foreign trade with traded intermediate goods abstract in a recent article helpman 1984 develops readily testable bilateral restrictions in a model of international trade which preserves the spirit of heckscher ohlin trade theory important in any empirical exploration of the heckscher ohlin model is the decision of whether to employ direct or direct plus indirect calculations in determining the factor content of trade this paper extends helpman s analysis to a world of freely traded intermediate goods and shows that direct factor content calculations are the theoretically appropriate measure for use in evaluating these empirical implications of the heckscher ohlin model

tourism forecasting and the policymaker criteria of usefulness abstract this article is a sequel to one by the author in the september 1982 issue of tourism management in which the question of what futures research could contribute to tourism policy was raised here the subject is explored further and a comparison of various forecasting techniques is used to investigate how far forecasting is and could be useful in supporting tourism policies

quantifying multiscale inefficiency in electricity markets one of the basic features of efficient markets is the absence of correlations between price increments over any time scale leading to random walk type behavior of prices in this paper we propose a new approach for measuring deviations from the efficient market state based on an analysis of scale dependent fractal exponent characterizing correlations at different time scales the approach is applied to two electricity markets alberta and mid columbia mid c as well as to the aeco alberta natural gas market for purposes of providing a comparison between storable and non storable commodities we show that price fluctuations in all studied markets are not efficient with electricity prices exhibiting complex multiscale correlated behavior not captured by monofractal methods used in previous studies

modelling and forecasting australian domestic tourism abstract in this paper we model and forecast australian domestic tourism demand we use a regression framework to estimate important economic relationships for domestic tourism demand we also identify the impact of world events such as the 2000 sydney olympics and the 2002 bali bombings on australian domestic tourism to explore the time series nature of the data we use innovations state space models to forecast domestic tourism demand combining these two frameworks we build innovations state space models with exogenous variables these models are able to capture the time series dynamics in the data as well as economic and other relationships we show that these models outperform alternative approaches for short term forecasting and also produce sensible long term forecasts the forecasts are compared with the official australian government forecasts which are found to be more optimistic than our forecasts

labour skills and the uk s comparative advantage with its european union partners this paper assesses the extent and sources of the uk comparative advantage within the european union eu it finds that both inter industry and intra industry trade are important despite clear aggregation effects having established that there is a significant degree of inter industry specialization the sources of this are analysed using a factor content approach results are reported for aggregate factors of production and in the case of labour by disaggregated skill categories a key finding is that the uk s net trade with the eu is driven more by a specialization in specific types of skill than by an overall endowment of human capital the results also suggest that the inter industry specialization cannot be explained by comparative advantage alone

composition of trade flows and the effectiveness of fiscal devaluation we empirically explore whether the magnitude of the effects of fiscal devaluation which consists of reducing the employers social security contribution rate and increasing the value added tax rate depends on the composition of trade flows our sample comprises data on bilateral balances of trade between 28 european union eu member states and their main eu trade partners over the 2000 14 period we use robust ordinary least squares regressions controlling for the country pair and time fixed effects to test whether there are differences in the sizes of relationships between these taxation forms and bilateral trade balances for different types of goods by distinguishing between i consumer intermediate and capital goods and ii labour and capital intensive goods our results show that the overall effectiveness of fiscal devaluation depends on the composition of trade flows value added tax is more strongly positively associated with bilateral balances of trade in consumer goods compared to balances of trade in capital and intermediate goods the employers contribution rate in contrast is more tightly negatively related to balances of trade in capital goods the latter finding also holds true for trade balances of labour intensive goods compared to balances of capital intensive goods

market efficiency and risk premia in short term forward prices abstract using recursive estimation and rolling windows over extended sample periods we examine the time varying relationship between spot and short term forward prices in the pennsylvania new jersey maryland pjm wholesale electricity market we examine theoretical models of forward risk premia in electricity markets and show that recent data do not provide support for existing models the results indicate that short term forward prices have converged towards unbiased predictors of the subsequent spot prices

the commodity pattern of trade and the heckscher ohlin theorem in the presence of aggregate and commodity specific factor intensity reversals abstract theoretical analyses of the h o theorem s prediction of the commodity pattern of trade in the multicommodity two factor model tend to assume away factor intensity reversals but the empirical literature has investigated whether reversals between individual goods technologies are prevalent phenomena with the evidence then being presented as bearing upon the h o theorem since the consequence of a factor intensity reversal for the theorem is well defined in the 2 2 2 model we establish via aggregation over individual goods technologies an analogue 2 2 2 setting for the multicommodity model the implications of factor intensity reversals in commodity specific technologies for the reversal behavior of the aggregate technologies and for the h o theorem are examined commodity specific reversals such as are the focus of the empirical studies are shown to have no direct bearing upon the theorem

potential and realized trade patterns the case of sweden observations of the trade pattern between countries have been used as a method to infer in what industries or commodities a country has comparative advantage the method was introduced by balassa 1965 and named the revealed comparative advantage rca approach the approach arose from difficulties in measuring an industry s actual comparative advantage in production and trade given the difficulties in 1 accounting for all the factors which influence an industry s comparative advantage and 2 actually measuring and comparing these factors between countries and industries balassa argued that the revealed performance of an industry s trade pattern would serve as a reasonably adequate indicator of that industry s comparative advantage more specifically the rca approach argues that if a country s share in world exports of a particular good is greater than its overall share in total world exports then the country has a revealed comparative advantage in exporting that good such a revealed comparative advantage should also appear as a tendency towards a positive trade balance for that good that is an export import ratio in excess of unity balassa argued that export import ratios would be more influenced by protectionist measures than relative export shares and hence the latter would be more reliable indicators of comparative advantage balassa consequently gave more weight to relative export shares as measures of comparative advantage since balassa 1965 this method has been used by e g hirsch 1974 parry 1975 donges riedel 1976 and balassa 1977 it should be obvious that the theoretical foundation of the approach is less satisfactory in the international trade literature there exist several definitions of the concept of comparative advantage it seems that the most adequate definition for theoretical purposes is that a country has compara

forecasting tourism demand with arma based methods abstract the forecast of tourism volume in the form of arrivals is of special importance for tourism and other hospitality industries because it is an indicator of future demand thereby providing basic information for subsequent planning and policy making in this paper three univariate arma based models are applied to tourism demand as represented by the number of world wide visitors to hong kong japan korea taiwan singapore thailand the philippines australia and new zealand the study employs both monthly and quarterly time series generated from nine principal tourist destinations in asian pacific region in the forecasting exercise to ensure the reliability of the forecasting evaluation forecasting performance based on disaggregated arrival series in a particular destination is examined as well the general impression is that the arma based models perform very well and in some cases the magnitude of mean absolute percentage error is lower than 2 level

back propagation learning in improving the accuracy of neural network based tourism demand forecasting abstract traditional tourism demand forecasting techniques concentrate predominantly on multivariate regression models and univariate time series models these single mathematical function based forecasting techniques although they have achieved a certain degree of success in tourism forecasting are unable to represent the relationship of demand for tourism as accurate as a multiprocessing node based feed forward neural network previous research has demonstrated that using a feed forward neural network can accomplish a higher forecasting accuracy than the regression and time series techniques for a set of linearly separable tourism demand data this research extends the applicability of neural networks in tourism demand forecasting by incorporating the back propagation learning process into a non linearly separable tourism demand data empirical results indicate that utilizing a back propagation neural network outperforms regression models time series models and feed forward neural networks in terms of forecasting accuracy

a test of the heckscher ohlin vanek theorem the leontief commonplace abstract this paper provides a logically complete empirical test of the hov theorem for the united states by comparing measures of factor intensities trade and factor endowments under the appropriate computations of the factor contents of trade and production u s data are shown to diverge often from their values as predicted by hov as a result it appears that paradoxical outcomes may be common in empirical applications of the theorem

the relationship between spot and futures prices in the nord pool electricity market abstract we analyze 11 years of historical spot and futures prices from the hydro dominated nord pool electricity market we find that futures prices tend to be higher than spot prices the average convenience yield is therefore negative but varies by season and depends on the storage levels in hydro reservoirs the average realized return on holding a long position in the futures market is also negative the negative convenience yield and risk premium contrast empirical findings in most other commodity markets we argue that differences between the supply and demand sides in terms of risk preferences and the ability to take advantage of short term price variations can contribute to explain the observed relationship between spot and futures prices in addition our analysis shows that the relationship between spot and futures prices is clearly linked to the physical state of the system such as hydro inflow reservoir levels and demand

an interpretation of the factor content of trade abstract this paper shows that the factor content of trade can be used to indicate effects of trade on relative factor prices factor prices in two trading equilibria can be compared by comparing instead their two equivalent autarky equilibria constructed by changing factor endowments by the factor content of trade using relationships between autarky factor prices and factor endowments several relationships are derived between factor prices with trade and its factor content the most general result is a positive correlation between relative changes in the factor content of trade appropriately normalized and proportional changes in factor prices

risk premiums in the german day ahead electricity market this paper conducts an empirical analysis of risk premiums in the german day ahead electricity wholesale market we compare hourly price data of the european energy exchange eex auction and of the continuous over the counter otc market which takes place prior to the eex auction data provided by the energy exchange austria exaa has been used as a snapshot of the otc market two hours prior to the eex auction ex post analysis found market participants are willing to pay both significant positive and negative premiums for hourly contracts the largest positive premiums were paid for high demand evening peak hours on weekdays during winter months by contrast night hours on weekends featuring lowest demand levels display negative premiums additionally ex ante analysis found a strong positive correlation between the expected tightness of the system and positive premiums for this purpose a tightness factor has been introduced that includes expectations of fundamental factors such as power plant availability wind power production and demand hence findings by longstaff and wang 2004 can be supported that power traders in liberalised markets behave like risk averse rational economic agents

variable returns to scale and international trade two generalizations abstract the paper provides simple proofs of a gains from trade theorem and a theorem that predicts the pattern of trade for production structures with cross sector and cross country external effects which are more general than those available in the existing literature

a comment on storage and the electricity forward premium this paper examines the robustness of the results found by douglas and popova 2008 they examine the electricity forward premium in relation to gas storage inventories and find that although electricity is not directly storable electricity forward premiums are lower when gas storage inventories are higher especially on days with high temperatures douglas and popova 2008 derive their results from a forward premium model that is an extension of the bessembinder and lemmon 2002 model we examine whether the gas storage inventory results hold under a different specification of the forward risk premium our results support the results found by douglas and popova 2008 and show that their results are not influenced by the specification of the forward premium model

tourism forecasting to combine or not to combine abstract existing non tourism related literature shows that forecast combination can improve forecasting accuracy this study tests this proposition in the tourism context by examining the efficiency of combining forecasts based on three different combination methods the data used for this study relate to tourist arrivals in hong kong from the top ten tourism generating countries regions the forecasts are derived from four different forecasting models autoregressive integrated moving average arima model autoregressive distributed lag model adlm error correction model ecm and vector autoregressive var model all forecasts are ex post and the empirical results show that the relative performance of combination versus single model forecasts varies according to the origin destination tourist flow under consideration which parallels previous findings regarding the relative performance of individual forecasting methods the results also vary with the combination techniques used furthermore although the combined forecasts do not always outperform the best single model forecasts almost all the combined forecasts are not outperformed by the worst single model forecasts this suggests that forecast combination can considerably reduce the risk of forecasting failure this conclusion also implies that combined forecasts are likely to be preferred to single model forecasts in many practical situations

parametric and semi parametric modelling of vacation expenditures we analyse several limited dependent variable models explaining the budget share that dutch families spend on vacations to take account of the substantial number of zero shares two types of models are used the first is the single equation censored regression model we estimate and test several parametric and semi parametric extensions of the tobit model second we consider two equation models in which the participation decision and the decision on the amount to spend are treated separately the first decision is modelled as a binary choice model the second as a conditional regression we estimate and test parametric and semi parametric specifications

factor content functions and the theory of international trade this paper introduces the concepts of direct and indirect factor trade utility functions and uses them to derive marshallian and hicksian factor content functions which express the quantities of factors of production embodied in net imports as functions of the exogenous variables facing the economy the properties of these functions are discussed and they are used to derive a number of new results in particular it is shown that in certain circumstances the existence of gains from trade is sufficient for the heckscher ohlin theorem to hold in its factor content form

technology endowments and the factor content of bilateral trade we derive testable restrictions relating the factor content of bilateral trade to bilateral differences in technology and endowments this departs from the heckscher ohlin vanek theorem which compares the factor content of net trade with factor abundance we test the theoretical restrictions using a unique dataset that covers 41 developed and developing countries with disparate endowments and technology we find evidence supporting the predictions in addition 1 the factor content predictions perform best for country pairs with larger endowment differences and 2 for trade between capital abundant countries ricardian international technology differences matter more than heckscher ohlin factor endowment differences