household choices and child development the growth in labor market participation among women with young children has raised concerns about the potential negative impact of the mother s absence from home on child outcomes recent data show that mother s time spent with children has declined in the last decade while the indicators of children s cognitive and noncognitive outcomes have worsened the objective of our research is to estimate a model of the cognitive development process of children nested within an otherwise standard model of household life cycle behavior the model generates endogenous dynamic interrelationships between the child quality and employment processes in the household which are found to be consistent with patterns observed in the data the estimated model is used to explore the eects of schooling subsidies and employment restrictions on household welfare and child development

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

marriage market divorce legislation and household labor supply this paper provides a theoretical framework for analyzing the impact of the marriage market and divorce legislation on household labor supply in our approach the sex ratio in the marriage market and the rules governing divorce are examples of distribution factors these factors are defined as variables that affect the household members bargaining position but not preferences or the joint budget set we extend the collective labor supply model developed by chiappori to allow for distribution factors we show that our model imposes new restrictions on the labor supply functions and eases the identification of individual preferences and the intrahousehold decision process the model is estimated using psid data for the year 1988 our results do not reject the restrictions imposed by the model also the sex ratio and divorce laws deemed favorable to women are found to affect labor supply behavior and the decision process in the directions predicted by the theory and to have sizable effects

collective labor supply and household production this paper emphasises the importance of incorporating household production into the collective model of the household and considers how and to what extent the results of chiappori 1992 can be extended to this case this abstract was borrowed from another version of this item

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

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

inter vivos transfers and intergenerational exchange the surge of interest in intergenerational transfers in the past decade has sparked a debate over the motivation for them are transfers given out of altruism or part of an exchange while each motive is probably at work to some extent we know little about whether one motive predominates the question is relevant for issues concerning public income redistribution and inequality in the family but despite its importance empirical evidence about motives is scarce because of limited data we investigate a new data set the national survey of families and households which remedies many of the shortcomings of other data sets containing private transfer information we find that empirical patterns for inter vivos transfers i e transfers between living persons are more consistent with exchange than altruism

the overnight risk premium in electricity forward contracts abstract we analyze the risk premium on electricity forward contracts traded for the nordic and german austrian electricity markets we argue that finding risk premiums by analyzing overnight returns is more relevant than the frequently used ex post approach the derivatives in these markets can be characterized as trading products and hedging products each contract shows a clear increase in trading volume and liquidity when approaching maturity we link this to a testable hypothesis where financial traders are compensated for holding price risk and where the sign and magnitude of the risk premium changes depending on the hedging pattern of producers and retailers incorporating this in regressions we find that there are higher risk premiums in the period before the forwards become front products compared to the risk premiums in the front period quarterly and monthly contracts show the most significant results

carbon pricing and electricity markets the case of the australian clean energy bill abstract we examine the impact of the clean energy bill on the price behavior of electricity futures contracts in the australian national electricity market first we compute ex ante forward risk premiums in the pre tax period until june 2012 then derive market implied expectations about additional costs of the carbon pricing mechanism cpm on generators as well as pass through rates during the carbon tax july 2012 june 2014 and post tax after july 2014 periods our results suggest that the observed carbon premiums became increasingly higher once the carbon tax had been proposed and subsequently legislated in 2011 during periods where market participants could be relatively certain that the tax would be effective we find expected carbon pass through rates between 67 and 150 which seem to be inversely related to emission intensities in the regional markets our results are also a clear indication of strong policy uncertainty with regards to the cpm and suggest that in the future a stable and long term policy framework would be required for a carbon pricing mechanism to have its full effect

do husbands and wives pool their resources evidence from the united kingdom child benefit common preference models of family behavior imply income pooling a restriction on family demand functions such that only the sum of husband s income and wife s income affects the allocation of goods and time testing the pooling hypothesis is difficult because most family income sources are not exogenous to the allocations being analyzed in this paper we present an alternative test based on a natural experiment a policy change in the united kingdom that transferred a substantial child allowance to wives in the late 1970s using family expenditure survey data we find strong evidence that a shift toward greater expenditures on women s clothing and children s clothing relative to men s clothing coincided with this income redistribution

rockets and feathers in power futures markets evidence from the second phase of the eu ets abstract this paper examines the possibility of asymmetric transmission of co 2 prices to electricity futures prices in the second phase of the european emission trading scheme we would like to assess whether output prices tend to respond more quickly to input price increases than decreases this phenomenon is known as rockets and feathers in the literature compared to zachmann and von hirschhausen 2008 who carried out a similar analysis for germany in the first phase of the emission trading scheme with data from 2005 to 2006 our study spans a longer timeframe july 2007 june 2010 with a presumably more mature permit market and includes three additional european countries france belgium and the netherlands results do not provide empirical evidence of statistically significant differences in the response of power prices to positive and negative shocks in co 2 allowance and fuel markets

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

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

modeling extreme dependence between european electricity markets electricity spot prices are characterized by sudden large movements followed a few days later by an equally large movement in the opposite direction these phenomena are called spikes upward movements and drops downward movements recent research has suggested that the dynamics of the electricity spot prices can be accurately described by hidden markov regime switching mrs models regime switch models separate the ordinary dependence and the extreme spike or drop dependence this is a crucial point since it is the extreme dependence that is of interest when computing risks we fit a large number of mrs models to six european electricity markets eex powernext apx power uk nl nord pool system sweden in order to analyze the nature of the prices the estimated regimes are then used to analyze the probability of an extreme event and the conditional probability for one market to experience an extreme event conditional that another market is experiencing the same event we find that the frequency of extreme events is positively related to the amount of renewable energy sources in the power system it can be argued that the dependence results in this paper give an indication of what future dependence for even more integrated markets with more renewable energy will be the integration of markets will lead to efficient sharing of reserves while the additional renewable energy will increase the need for reserves the results are of interest when computing financial risks e g var or expected shortfall when designing reserves but also as an indication of the degree of integration between markets

organization and functioning of liberalized electricity markets an overview of the dutch market abstract in this paper we examine the organization and the functioning of the dutch electricity market first we describe the organization of the dutch electricity supply chain and the role of the main market participants including the transmission system operator distribution system operators program responsible parties and metering companies we then describe the organization of financial trading and clearing mechanism of electricity through the organized futures exchange the european energy derivatives exchange and the spot market amsterdam power exchange which includes the day ahead market and intra day markets we also detail the functioning of the imbalance market and reserve capacity management in the netherlands through a set of numerical analysis we provide an exploratory analysis of the apx day ahead spot prices and the real time imbalance prices using electricity price data from 2002 to 2013 we observe the price spikes both in the day ahead and imbalance markets usually occur around 6 10 am and 5 7 pm we also observe that in the imbalance market system overages happen significantly more often than shortages pointing out that the market tends to buy more than what is demanded this could be explained by the risk attitude of the market participants in the imbalance market

the determinants of bargaining power in an empirical model of transfers between adult children parents and in laws for south korea abstract we derive a bargaining model of transfers between adult children and their parents and then estimate the model using data from south korea our analysis extends the literature on family bargaining by i arguing that transfers from the couple represent semiprivate consumption e g it is plausible that the wife cares more about her parents than about the husband s parents and vice versa and ii using results from laboratory experiments to help identify the model we find that women have slightly more bargaining power than men in the couple s decision making we also find that when an adult child receives an extra dollar of income she transfers half of it to her parents this result is consistent with previous work finally we reject the null hypothesis that bargaining power within the family depends only on the potential wage of each spouse

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

market efficiency assessment under dual pricing rule for the turkish wholesale electricity market abstract this study analyses the price dynamics of day ahead and real time electricity prices following the implementation of dual pricing legislation in turkey to understand the legislation s impact on arbitrage opportunities and market efficiency the convergence of prices between the day ahead forward and the real time markets analysed in order to determine whether persistent price differences between the two markets exist arbitrage opportunities exist if there is a persistent difference between prices in the day ahead forward and real time market markets are considered to be efficient if it is not possible for market participants to earn an excess profit through exploitation of price differences furthermore we examined how the ex post risk premium changes over time using rolling estimations and find that after the implementation of dual pricing the risk premium increased significantly for day and peak hours where the demand is relatively higher compared to night hours as market participants have more experience regarding the dynamics of the market the difference between real time and day ahead forward prices converges to zero since the dual pricing regime enforce market participants to forecast accurately by punishing the forecast error

commodity convenience yield and risk premium determination the case of the u s natural gas market this paper contributes to the understanding of commodity pricing issues by measuring and modeling two of the most important concepts in the storable commodity markets the convenience yield and risk premium an emphasis is placed on the empirical determination of these factors in the u s natural gas market we find that the convenience yield and risk premium are measurable and economically significant while we find that the determination of the convenience yield is largely consistent with economic theories the evidence regarding the determination of the risk premium is mixed

a superior measure of consumption from the panel study of income dynamics abstract this paper provides a simple technique for assigning a measure of total consumption to households in the panel study of income dynamics psid using regressions from the consumer expenditure surveys of 1972 1973 and 1983 linear predictions of total consumption are estimated which are stable over time and explain up to 78 percent of the total variance in consumption

collective labor supply and welfare the paper develops a general collective model of household labor supply in which agents are characterized by their own possibly altruistic preferences and household decisions are only assumed to be pareto efficient an alternative interpretation is that there are two stages in the internal decision process agents first share nonlabor income according to some given sharing rule then each one optimally chooses his or her own labor supply and consumption this setting is shown to generate testable restrictions on labor supplies moreover the observation of labor supply behavior is sufficient for recovering individual preferences and the sharing rule up to a constant finally the traditional tools of welfare analysis can be adapted to the new setting

testing intertemporal substitution implicit contracts and hours restriction models of the labor market using micro data we present new tests of three theories of the labor market intertemporal substitution hours restrictions and implicit contracts the intertemporal substitution test we implement is an exclusion test robust to many specification errors and we consistently reject this model we model hours restrictions as part of an endogenous switching model we compare the implicit probit equation to an unrestricted probit equation for unemployment and reject the hours restriction model for the implicit contracts model we estimate non separable within period labor supply and consumption equations we test a cross equation restriction of the model and cannot reject the implicit contracts model jel e30 j22 j60

gender agricultural production and the theory of the household virtually all models of the household assume that the allocation of resources is pareto efficient within many african households agricultural production occurs on many plots controlled by different members of the household pareto efficiency implies that factors should be allocated efficiently across these plots i find in contrast that plots controlled by women are farmed much less intensively than similar plots within the household controlled by men the estimates imply that about 6 percent of output is lost because of inefficient factor allocation within the household the paper suggests a new approach to modeling intrahousehold allocation consistent with the empirical results

parental wealth and adult children s welfare in marriage abstract many studies find that parental resources importantly determine children s human capital schooling returns and earnings the collective household approach suggests that in addition parental resources of marital partners may importantly affect resource distributions within marriage this paper presents empirical results consistent with this framework they suggest that parental wealth continues to play roles in augmenting welfare of children into adulthood beyond provision of human capital in early life cycle stages or direct financial aid during adulthood and that actual transfers from parents to adult children do not fully measure influences of parental wealth on behaviors and welfare of adult children

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

electricity futures price models calibration and forecasting a new one factor model with a random volatility parameter is presented in this paper for pricing of electricity futures contracts it is shown that the model is more tractable than multi factor jump diffusion models and yields an approximate closed form pricing formula for the electricity futures prices on real market data it is shown that the performance of the new model compares favourably with two existing models in the literature viz a two factor jump diffusion model and its jump free version i e a two factor linear gaussian model in terms of ability to predict one day ahead futures prices further a multi stage procedure is suggested and implemented for calibration of the two factor jump diffusion model which alleviates the difficulty in calibration due to a large number of parameters and pricing formulae which involve numerical evaluation of integrals we demonstrate the utility of our new model as well as the utility of the calibration procedure for the existing two factor jump diffusion model by model calibration and price forecasting experiments on three different futures price data sets from nord pool electricity data for the jump diffusion model we also investigate empirically whether it performs better in terms of futures price prediction than a corresponding jump free linear gaussian model finally we investigate whether an explicit calibration of jump risk premium in the jump diffusion model adds value to the quality of futures price prediction our experiments do not yield any evidence that modelling jumps leads to a better price prediction in electricity markets

towards definition of the risk premium function successful trading in electricity markets relies on the market actor s ability to accurately forecast the electricity price the fundamental electricity price models use market information provided by various price drivers including the residual that contains a risk premium in the past researchers investigating risk premium focused primarily on daily spot price levels ignoring the intraday information hindering the accurate risk premium determination this paper presents a new kgb method for modelling of risk premium based on ex ante approach focused on a yearly product the method involves a novel kgb model and its linearized formulation the kgb linear model which enables capturing the influence of renewable energy sources on risk premium the four key drivers of the kgb linear model were used providing an insight into the influence of res generation on risk premium evolution the method was tested on historical data from the german electricity market the results for the 2010 2014 period reveal overall influence of pv production share on risk premium is greater than that of wind production share both increasing the risk premium due to their variability and uncertainty using the kgb method market actors can forecast risk premium using information readily available to them

a space time random field model for electricity forward prices abstract stochastic models for forward electricity prices are of great relevance nowadays given the major structural changes in the market due to the increase of renewable energy in the production mix in this study we derive a spatio temporal dynamical model based on the heath jarrow morton hjm approach under the musiela parametrization which ensures an arbitrage free model for electricity forward prices the model is fitted to a unique data set of historical price forward curves as a particular feature of the model we disentangle the temporal from spatial maturity effects on the dynamics of forward prices and shed light on the statistical properties of risk premia of the noise volatility term structure and of the spatio temporal noise correlation structures we find that the short term risk premia oscillates around zero but becomes negative in the long run we identify the samuelson effect in the volatility term structure and volatility bumps explained by market fundamentals furthermore we find evidence for coloured noise and correlated residuals which we model by a hilbert space valued normal inverse gaussian levy process with a suitable covariance functional

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

selective hedging in hydro based electricity companies abstract we analyze risk management trends in electricity commodity markets using the production and transaction data and written hedging policies of 12 norwegian hydropower companies the scope of our analysis is the hedging of physical electricity production using the power derivatives available at nasdaq omx commodities in their hedging policy these companies either use a cashflow at risk c far approach or a hedge ratio approach or follow no explicitly stated approach we find that the derivative cashflows constitute substantial profits for these companies furthermore hedging contributes to reducing the c far for 10 of the companies these findings are surprising considering that we expect hedging to yield zero expected profit and to smooth the earnings overall our findings reveal that a practice of incorporating market views in hedging decisions is widespread in the sample companies as both sanctioned in their written hedging policy and as indicated by the substantial hedging profits

generation scheduling in a deregulated system the norwegian case the paper gives an overview of the deregulated electricity supply system in norway with emphasis on the generation scheduling approach procedures and tools for long medium and short term scheduling are described scheduling is carried out by each individual utility since scheduling is based on profit maximizing the spot market price is a very important factor this price is varying and uncertain however a part of the paper describes how to deal with this by considering the spot market price as an exogenously given stochastic variable it is shown how to extend the common water value computations so as to handle this case implications to the medium and short term scheduling are also discussed

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

testing whether unemployment represents intertemporal labour supply behaviour in the lucas rapping 1969 model of the labour market fluctuations in unemployment represent individuals optimally adjusting their labour supply behaviour in response to fluctuations in wage rates over the business cycle in this paper i propose and implement a misspecification test of the lucas rapping treatment of unemployment as labour supply behaviour using panel data this test extends previous such work with micro data by simultaneously allowing for intertemporal substitution uncertainty and endogenous unemployment using the standard specification of intertemporal labour supply behaviour i find strong evidence against this interpretation of unemployment there are two possible interpretations of the test results the first is that it is necessary to turn to alternative models of the labour market in which unemployed workers are off a supply function the second is that the test results indicate the necessity of moving to more complex models of intertemporal substitution however given current econometric techniques and data sets these alternative models of intertemporal substitution will be extremely difficult to test

income and outcomes a structural model of intrahousehold allocation there is evidence from several sources that one cannot treat many person households as a single decision maker if this is the case then factors such as the relative incomes of the household members may affect the final allocation decisions made by the household we develop a method of identifying how incomes affect outcomes given conventional family expenditure data the basic assumption we make is that household decision processes lead to efficient outcomes we apply our method to a sample of canadian couples with no children we find that the final allocations of expenditures on each partner depend significantly on their relative incomes and ages and on the level of lifetime wealth

marriage the sharing rule and pocket money the case of south korea abstract using longitudinal data on private consumption from south korea this article examines the marital balance of power between spouses in a dynamic setting by allowing for unobserved heterogeneity at the household level and spouses time constant unobserved bargaining power i find that unobserved power plays a significant role in intrahousehold resource allocation the income pooling hypothesis is no longer rejected after accounting for unobserved power relative spousal earnings may be a good proxy for the long term balance of power to an extent that cross sectional variation in relative earnings across households reflects the pattern of spousal matching however within marriage changes in relative earnings do not induce any significant resource transfer between spouses the balance of bargaining power is stable within marriage

haccp as an international trade standard the widening international use of hazard analysis critical control point haccp approaches by regulators and industry should facilitate trade of food products as countries and companies adopt roughly similar food safety assurance systems first and foremost however adoption of haccp principles is motivated by a desire to improve food safety particularly by the control of food borne pathogens in a manner that passes benefit cost or market tests for regulators trade facilitation is an important but often clearly secondary goal of haccp adoption that it is part of the goal set is due in part to recent trade agreements that seek to limit nontariff barriers to trade arising from food safety sanitary and phytosanitary regulations the pressure to reduce these barriers has led to a focus on haccp adoption as a vehicle for reconciling regulations across countries through various means of regulatory rapprochement this goal hierarchy with improved safety first and trade facilitation second is useful in explaining the likely operation of haccp as an international trade standard in the next decade 2