the fisher hypothesis and the forecastability and persistence of inflation abstract for the period 1860 to 1939 the simple correlation of the u s commercial paper rate with the contemporaneous inflation rate is 0 17 the corresponding correlation for the period 1950 to 1979 is 0 71 this paper attributes this apparent change in the fisher relation to differences in the stochastic process of inflation rather than a change in any structural relationship between interest rates and expected inflation contrary to recent claims in the literature there is little evidence of inflation non neutrality in data from the pre world war i period

the inflation output trade off with downward wage rigidities the macroeconomic implications of downward nominal wage rigidi ties are analyzed via a dynamic stochastic general equilibrium model featuring aggregate and idiosyncratic shocks a closed form solution for a long run phillips curve relates average output gap to average wage inflation it is virtually vertical at high inflation and flattens at low inflation macroeconomic volatility shifts the curve outwards and reduces output the results imply that stabilization policies play an important role and that optimal inflation may be positive and dif fer across countries with different macroeconomic volatility results are robust to relaxing the wage constraint for example when large idiosyncratic shocks arise jel e23 e24 e31 e63

effect of inter temporal factors on the real time pricing of electricity a rigorous theoretical framework for the solution of the price formation and optimal dispatch problems taking into account intertemporal dependence of demand under spot and dynamic tariffs is presented the case in which a common tariff is to be applied to all customers is examined the difference in system response for spot and day ahead dynamic tariffs is illustrated simulation examples of a variety of event types are provided

why has u s inflation become harder to forecast we examine whether the u s rate of price inflation has become harder to forecast and to the extent that it has what changes in the inflation process have made it so the main finding is that the univariate inflation process is well described by an unobserved component trend cycle model with stochastic volatility or equivalently an integrated moving average process with time varying parameters this model explains a variety of recent univariate inflation forecasting puzzles and begins to explain some multivariate inflation forecasting puzzles as well

when do long run identifying restrictions give reliable results many recent articles have identified behavioral disturbances in vector autoregressions by imposing restrictions on the long run effects of shocks this article demonstrates that this approach will be unreliable unless the underlying economy satisfies three types of strong restrictions although many aspects of these issues have been raised before this article draws out and illustrates the implications for inferences under the long run scheme furthermore it provides strategies for dealing with the problems

the long run relationship between inflation and output in postwar economies abstract we investigate the relationship between inflation and real output in a large sample of postwar economies our methodology is to use a structural vector autoregression to estimate the response of the level of real output to permanent inflation shocks separately for each country we find that a permanent shock to inflation is not associated with a permanent movement in the level of real output for most countries in our sample the main exceptions are certain low inflation countries in which permanent inflation shocks permanently increase the level of output we also find that permanent inflation shocks do not permanently influence real output growth rates in our sample

existence and determination of competitive equilibrium in unit commitment power pool auctions price setting and scheduling alternatives the existence determination and effects of competitive market equilibrium for unit commitment power pool auctions are investigated in this paper when an equilibrium does not exist under specific situations conflictive multiple optimal primal solutions may exist when an equilibrium exists multiple primal solutions do not represent conflicts of interest the existence or nonexistence of competitive equilibrium can be determined if the dual problem is solved to optimality if equilibrium does not exist there is excess supply at the optimal dual solution which can be used to define priority orders and price setting alternatives to determine a final schedule and avoid the conflicts of interest and revenue deficiency under disequilibrium the optimal dual variables are not market clearing prices a nonuniform pricing rule that avoids the flaws and complications of other pricing rules such as maximum average cost and price minimization auctions is proposed in the paper the proposed scheduling and price setting alternatives show that unit commitment models can be used in a market environment

do tfp and the relative price of investment share a common i 1 component abstract results from cointegration tests clearly suggest that tfp and the relative price of investment rpi are not cointegrated evidence on the alternative possibility that they may nonetheless contain a common i 1 component generating long horizon co variation between them crucially depends on the fact that i structural breaks are or are not allowed for and ii the precise nature and timing of such breaks not allowing for breaks evidence points towards the presence of a common component inducing positive long horizon covariation which is compatible with the notion that the technology transforming consumption goods into investment goods is non linear and the rpi is also impacted upon by neutral shocks allowing for breaks evidence suggests that long horizon covariation is either nil or negative assuming for illustrative purposes that the two series contain a common component inducing negative long horizon covariation evidence based on structural vars shows that this common shock i plays an important role in macroeconomic fluctuations explaining sizeable fractions of the forecast error variance of main macro series and ii generates disinflationary booms characterized by transitory increases in hours and decreases in inflation

news shocks and the slope of the term structure of interest rates abstract we adopt a statistical approach to identify the shocks that explain most of the fluctuations of the slope of the term structure of interest rates we find that one shock can explain the majority of unpredictable movements in the slope impulse response functions lead us to interpret this shock as news about future total factor productivity tfp by showing that slope shocks are essentially tfp news shocks we provide a new explanation for the relationship between the slope and macroeconomic fundamentals our results also provide a new empirical benchmark for structural models at the intersection of macroeconomics and finance jel e23 e43 e52 g12 g14

business cycle measurement with some theory a method to evaluate cyclical models not requiring knowledge of the dgp and the exact specification of the aggregate decision rules is proposed we derive robust restrictions in a class of models use some to identify structural shocks in the data and others to evaluate the class or contrast sub models the approach has good properties even in small samples and when the class of models is misspecified the method is used to sort out the relevance of a certain friction the presence of rule of thumb consumers in a standard class of models

investigating inflation persistence across monetary regimes under inflation targeting estimates of the indexation parameter in hybrid new keynesian phillips curves are either equal to zero or very low in the united kingdom canada sweden and new zealand analogous results hold for the euro area under the european monetary union and for switzerland under the new monetary regime under stable regimes with clearly defined nominal anchors inflation appears to be purely forward looking these results question the notion that the intrinsic inflation persistence found in post wwii u s data is structural in the sense of lucas carnegie rochester conference series on public policy 1 1976 19 46 and suggest that hardwiring inflation persistence in macroeconomic models is potentially misleading

the long run phillips curve a structural var investigation both cointegration methods and non cointegrated structural vars identified based on either long run restrictions or a combination of long run and sign restrictions are used in order to explore the long run trade off between inflation and the unemployment rate in the post wwii u s u k euro area canada and australia overall neither approach produces clear evidence of a non vertical trade off the extent of uncertainty surrounding the estimates is however substantial thus implying that a researcher holding alternative priors about what a reasonable slope of the long run trade off might be will likely not see her views falsified

a new pricing scheme for a multi period pool based electricity auction a new pricing scheme is proposed for determining the social welfare distribution in a centralized pool based auction in the context of solving the unit commitment problems under competition a significant contribution of this paper over previous publications on this subject is the inclusion of the price responsive demand side for the multi period auctions with dynamic commitment characteristics the model allows every thermal unit and every consumer to obtain individual maximum profits and at the same time it gives the market coordinator an adequate tool for solving the ensuing technologically constrained unit commitment problem with fair market clearing the pricing model is in the form of a mixed linear programming model that minimizes the sum of the compensation costs the accompanying case study illustrates the approach proposed

drawing conclusions from structural vector autoregressions identified on the basis of sign restrictions abstract this paper discusses the problems associated with using information about the signs of certain magnitudes as a basis for drawing structural conclusions in vector autoregressions we also review available tools to solve these problems for illustration we use dahlhaus and vasishtha s 2019 study of the effects of a u s monetary contraction on capital flows to emerging markets we explain why sign restrictions alone are not enough to allow us to answer the question and suggest alternative approaches that could be used

electricity market near equilibrium under locational marginal pricing and minimum profit conditions this paper provides a tool to determine the near equilibrium of an electric energy market this market works under locational marginal pricing i e generating units and demand loads are paid and pay respectively the locational marginal prices corresponding to the nodes they are connected to the near equilibrium is defined as the energy transaction levels for which generating companies maximize their respective profits and consumption companies maximize their respective utilities an independent system operator clears the market maximizing the social welfare conditions that ensure minimum profit for generating units can be included however these conditions may render a generating unit uncompetitive and expel it from the market demands are taken to be non constant and values are determined as part of the solution the near equilibrium is obtained through the solution of a mixed integer quadratic problem equivalent to a mixed linear complementarity problem that includes the minimum profit conditions it is important to note that the near equilibrium concept presented in this paper does not solve a market equilibrium when indivisibilities such as start up costs or the like are present lastly we validate the proposed model on a case study using data from the ieee reliability test system

disinflation inequality and welfare in a tank model we investigate the redistributive and welfare effects of disinflation in a two agent new keynesian tank model characterized by limited asset market participation lamp and wealth inequality we highlight two key mechanisms driving our long run results i the cash in advance constraint on firms working capital cia ii dividends endogeneity these two channels point in opposite directions lower inflation softens the cia and by raising labor demand lowers inequality but the disinflation also raises dividends and this increases inequality the disinflation is always welfare improving for asset holders we obtain ambiguous results for non asset holders who suffer substantial consumption losses during the transition

news shocks and business cycles abstract this paper proposes and implements a novel structural var approach to the identification of news shocks about future technology the news shock is identified as the shock orthogonal to the innovation in current utilization adjusted tfp that best explains variation in future tfp a favorable news shock leads to an increase in consumption and decreases in output hours and investment on impact more suggestive of standard dsge models than of recent extensions designed to generate news driven business cycles though news shocks account for a significant fraction of output fluctuations at medium frequencies they contribute little to our understanding of recessions

monetary policy shocks choleski identification and dnk models abstract a popular identifying assumption in structural var studies is that the monetary policy shock does not affect macroeconomic variables contemporaneously we examine the consequences of using this identification strategy when the data generating process is a basic dynamic new keynesian dnk model but without these assumed time delays the principle conclusion is that the standard choleski assumption can severely distort the impulse response functions producing price puzzles and muted responses of inflation and the output gap to monetary shocks

influence of price responsive demand shifting bidding on congestion and lmp in pool based day ahead electricity markets this paper investigates the influence of price responsive demand shifting bidding on congestion and locational marginal prices in pool based day ahead electricity markets the market dispatch problem of the pool based day ahead electricity market is formulated as to maximize the social welfare of market participants subject to operational constraints given by real and reactive power balance equations and security constraints in the form of apparent power flow limits over the congested lines the social welfare objective function of the day ahead market dispatch problem maximizes the benefit of distribution companies and other bulk consumers based on their price responsive demand shifting bids and minimizes the real and reactive power generation cost of generation companies the price responsive demand shifting bidding mechanism which has been recently introduced in the literature is able to shift the price responsive demand from the periods of high price to the periods of low price in day ahead electricity markets the comparisons of the price responsive demand shifting bids with conventional price responsive and price taking bids are presented by solving hourly market dispatch problems on five bus ieee 30 bus realistic up 75 bus indian and ieee 118 bus systems for 24 h scheduling period it has been demonstrated that the proposed approach leads to reduction in congestion and locational marginal prices as compared to price responsive and price taking bids and meets the energy consumption targets of distribution companies bulk consumers

iso s optimal strategies for scheduling the hourly demand response in day ahead markets this paper presents a hierarchical demand response dr bidding framework in the day ahead energy markets which integrates customer dr preferences and characteristics in the iso s market clearing process in the proposed framework load aggregators submit aggregated dr offers to the iso which would centrally optimize final decisions on aggregators dr contributions in wholesale markets the hourly load reduction strategies include load shifting and curtailment and the use of onsite generation and energy storage systems the iso applies mixed integer linear programming milp to the solution of the proposed dr model in the day ahead market clearing problem the proposed model is implemented using a 6 bus system and the ieee rts and several studies are conducted to demonstrate the merits of the proposed dr model

is the unemployment inflation trade off still alive in the euro area and its member countries it seems so the unemployment inflation trade off can be interpreted as a proposition concerning the response of these two variables to aggregate demand shocks in this paper we study the possible presence of the trade off in the euro area and in a wide group of euroarea countries in the last 20 years i e since the start of emu we use the structural var methodology that allows the separation between supply and demand shocks our main finding is that the existence of a trade off is largely confirmed both at the euro area and at the national level nevertheless the size of the trade off measured at different horizons shows some heterogeneity among countries no less important when we augment the var model by introducing monetary policy in the context of an open economy we find that monetary policy shocks push inflation and unemployment in opposite directions in the currency area another interesting result concerns the evidence of a relatively flat relation between unemployment and inflation conditionally to monetary policy shocks

demand shifting bids in energy auction with non convexities and transmission constraints the major objective of this paper was to propose clearing and pricing models suitable for demand shifting bids in the efficient but non convex pool based auction complex generators offers bring non convexities into the efficient auctions due to e g start up costs and times this paper focused on the responsive demands introducing simple yet adequate linear constraints into a multi period bid offer based optimal power flow opf dc model as the standard locational marginal prices lmps may not support the auction outcomes due to non convexities uplifts are needed to reduce generators loss previous work has developed a minimum uplift pricing model that directly optimizes prices so that uplifts arising from generators profit suboptimality and simple elastic demands benefit suboptimality are minimized this work extended the mixed integer linear programming milp formulation of the previous model to incorporate new linear constraints defining benefit suboptimality of demand shifting bids furthermore the transmission constrained market was attempted as a result the buyers were protected against over curtailment moreover prices complemented with minimum uplifts were fair for both generators and demands the models were validated on the literature based cases including ieee rts 24 node 24 hour system

sufficient information in structural vars abstract necessary and sufficient conditions under which a var contains sufficient information to estimate the structural shocks are derived on the basis of this theoretical result we propose two simple tests to detect informational deficiency and a procedure to amend a deficient var a simulation based on a dsge model with fiscal foresight suggests that our method correctly identifies and fixes the informational problem in an empirical application we show that a bivariate var including unemployment and labor productivity is informationally deficient once the relevant information is included into the model technology shocks appear to be contractionary