short selling and the price discovery process we show that stock prices are more accurate when short sellers are more active first in a large panel of nyse listed stocks intraday informational efficiency of prices improves with greater shorting flow second at monthly and annual horizons more shorting flow accelerates the incorporation of public information into prices third greater shorting flow reduces post earnings announcement drift for negative earnings surprises fourth short sellers change their trading around extreme return events in a way that aids price discovery and reduces divergence from fundamental values these results are robust to various econometric specifications and their magnitude is economically meaningful the author 2012 published by oxford university press on behalf of the society for financial studies all rights reserved for permissions please e mail journals permissions oup com oxford university press

household electricity demand revisited respond to price changes this paper develops a model for evaluating the effects of alternative tariff designs on electricity use the model concurrently addresses several interrelated difficulties posed by nonlinear pricing heterogeneity in consumer price sensitivity and consumption aggregation over appliances and time we estimate the model using extensive data for a representative sample of 1300 california households the results imply a strikingly skewed distribution of household electricity price elasticities in the population with a small fraction of households accounting for most aggregate demand response we then estimate the aggregate and distributional consequences of recent tariff structure changes recent efforts to restructure electricity markets have renewed interest in electricity demand and pricing this interest reflects a broad desire to improve the efficiency of electricity markets and policy makers concerns over the impact of price changes on consumers how new pricing mechanisms would affect households consumption and expenditures is a matter of considerable uncertainty however this uncertainty has provoked controversy and debate in the regulatory policy arena hampering market reforms using econometric methods to assess the effects of electricity price changes presents several challenges these include the nonlinear structure of tariff schedules aggregation of metered consumption behaviour over time and appliances and the interdependence of energy use with longer term household decisions over appliance ownership and dwelling characteristics the first two issues introduce complex simultaneity problems between marginal prices and consumption the third issue imposes high data requirements information on household specific appliance holdings and residence features and creates heterogeneity in consumption responses related to the characteristics of these durable goods when the researcher s objective is to develop a model for simulating the effects of prospective tariff changes ignoring these issues will provide an incomplete assessment of demand responses and potentially misleading predictions of a new tariff s consumption and revenue consequences in this paper we estimate a model of household electricity demand that can be used

determinants of import demand for non renewable energy petroleum products empirical evidence from nigeria abstract this study estimated determinants of import demand for refined petroleum products in nigeria for the period 1984 2013 it employed the autoregressive distributed lag ardl bounds test cointegration method and analysed both long run and short run determinants of import demand for total and specific petroleum products in the long run aggregate and sectoral incomes are significant determinants of import of refined kerosene further real effective exchange rate reer aggregate income gdp manufacturing sector s income domestic energy production dep and population growth rate pgr are drivers of import of refined motor spirit moreover reer dep and manufacturing sector s income are propellers of import of refined distillate fuel also reer and total output of petroleum products are major drivers of total import of refined petroleum products short run results show that previous period gdp pgr and manufacturing and service sectors incomes are determinants of import demand for refined kerosene moreover reer gdp previous pgr and manufacturing sector s income exert significant effects on the import of refined motor spirit further significant effects of reer dep previous pgr domestic output of the product and manufacturing and service sectors incomes on the import demand for distillate fuel were found policy implications of the foregoing are articulated in the paper

how market design shapes the spatial distribution of power plant curtailment costs abstract when multiple power plants are curtailed at the same time and in the same region electricity system costs rise if transmission lines are congested these costs might be amplified and spatially more concentrated because there are less spatial spill overs we study how such costs and their distribution depend on the market design nodal pricing or uniform pricing we extend the literature on curtailment by considering space and market design and the literature on market design by considering curtailment we expose a dc load flow model for germany to severe correlated curtailment scenarios we find that additional costs are moderate for the simulated week curtailment of 9 3 non renewable capacity reduces welfare by 2 7 uniform pricing with nodal pricing welfare loss can be reduced by 1 5 distributional differences are multiple times larger for nodal pricing producer surplus rises more and costs are spatially more concentrated at the curtailed power plants consumer surplus becomes lower the difference is unlikely to justify changes of the current market design if also wind or photovoltaic feed in is unavailable economic impacts can decrease or increase but remain in the same order of magnitude the spatial electricity system structure matters more than the volume of curtailment

a theory of trading volume a theory of trading volume is developed based on assumptions that market agents frequently revise their demand prices and randomly encounter potential trading partners the model describes two distinct ways informational events affect trading volume one is consistent with conjectures made by empirical researchers that investor disagreement leads to increased trading but the observation of abnormal trading volume does not necessarily imply disagreement and volume can increase even if investors interpret the information identically if they also have had divergent prior expectations simulation tests support the model and are used to contrast the random pairing environment with costless market clearing volume is lower in the costly market and volume increases caused by an informational event persist after the event period this is consistent with existing empirical evidence and suggests that markets do not immediately clear all orders or that investors have demands to recontract

security analysis and trading patterns when some investors receive information before others in existing models of information acquisition all informed investors receive their information at the same time this article analyzes trading behavior and equilibrium information acquisition when some investors receive common private information before others the model implies that under some conditions investors will focus only on a subset of securities herding while neglecting other securities with identical exogenous characteristics in addition the model is consistent with empirical correlations that are suggestive of oft cited trading strategies such as profit taking short term position reversal and following the leader mimicking earlier trades in existing models of information acquisition all informed investors receive their information at the same time while these models provide many important insights in reality some investors either fortuitously or owing to superior skill acquire pertinent information before others by being first an investor can exploit this information to great advantage information that is uncovered only slightly later is less valuable even if it has not yet been publicly revealed we show in this article that the sequential nature of information arrival has a significant effect on both the trading decisions and the types of information collected by investors the model we develop describes the investment choices of a set of competitive risk averse investors who investigate the long term prospects of firms lucky or high ability investors uncover the

tests for parameter instability in regressions with i 1 processes this article derives the large sample distributions of lagrange multiplier lm tests for parameter instability against several alternatives of interest in the context of cointegrated regression models the fully modified estimator of phillips and hansen is extended to cover general models with stochastic and deterministic trends the test statistics considered include the supf test of quandt as well as the lm tests of nyblom and of nabeya and tanaka it is found that the asymptotic distributions depend on the nature of the regressor processes that is if the regressors are stochastic or deterministic trends the distributions are noticeably different from the distributions when the data are weakly dependent it is also found that the lack of cointegration is a special case of the alternative hypothesis considered an unstable intercept so the tests proposed here may also be viewed as a test of the null of cointegration against the alternative of no cointegration the tests are applied to three data se

electricity demand by time of use an application of the household aids model in this study we estimated the price and expenditure elasticities of peak and off peak electricity consumption using a micro data set on 220 households living in 19 swiss cities the household version of the almost ideal demand system model aids was used as a framework to incorporate household characteristics the aids model was expanded by specifying the intercept as a linear function of household characteristics variables results indicate that demand for peak and off peak electricity is elastic and that cross price effects are positive as well as the elasticity of substitution therefore peak and off peak electricity are substitutes in the hicks allen sense

consequences of a carbon tax on household electricity use and cost carbon emissions and economics of household solar and wind abstract the study was conducted to determine the consequences of a carbon tax equal to an estimated social cost of carbon of 37 2 mg on household electricity cost and to determine if a carbon tax would be sufficient to incentivize households to install either a grid tied solar or wind system u s department of energy hourly residential profiles for five locations 20 years of hourly weather data prevailing electricity pricing rate schedules and purchase prices and solar panel and wind turbine power output response functions were used to address the objectives two commercially available household solar panels 4 kw 12 kw two wind turbines 6 kw 12 kw and two price rate structures traditional meter smart meter were considered averaged across the five households the carbon tax is expected to reduce annual consumption by 4 4 552 kwh year for traditional meter households and by 4 9 611 kwh year for households charged smart meter rates the carbon tax increases electricity cost by 19 202 year for a household cost of 202 year the carbon tax is expected to reduce social costs by 11 annual carbon tax collections of 234 household are expected adding the carbon tax was found to be insufficient to incentivize households to install either a solar panel or wind turbine system installation of a 4 kw solar system would increase the annual cost by 1546 247 and decrease co 2 emissions by 38 2526 kg valued at 94 household the consequence of a carbon tax would depend largely on how the proceeds of the tax are used

from frugal jane to wasteful john a quantile regression analysis of swiss households electricity demand abstract in this article we investigate the heterogeneity in the responsiveness of swiss household electricity demand to changes in prices and income we focus on segments of consumers with different intensities of electricity consumption by using a panel quantile regression approach this estimation strategy is applied to a rich micro level longitudinal data set of 3880 observations from more than 1400 households matched with a unique price data set extracted from the swiss electricity regulator s online sources while the findings show an inelastic electricity demand across all groups an interesting pattern of variation emerges between lower and upper quantiles of electricity demand respectively frugal and intensive users results show that households in the first conditional quartile and at the median react significantly to changes in prices while those at the lowest quantile and upper quantiles exhibit insignificant price elasticities the main policy implications of this work concern the design of price based measures for reducing electricity consumption in the residential sector and the possibility of accounting for individual responses in tailoring policies for specific consumer segments

journalists and the stock market we use exogenous scheduling of wall street journal columnists to identify a causal relation between financial reporting and stock market performance to measure the media s unconditional effect we add columnist fixed effects to a daily regression of excess dow jones industrial average returns relative to standard control variables these fixed effects increase the r super 2 by about 35 indicating each columnist s average persistent bullishness or bearishness to measure the media s conditional effect we interact columnist fixed effects with lagged returns this increases explanatory power by yet another one third and identifies amplification or attenuation of prevailing sentiment as a tool used by financial journalists the author 2012 published by oxford university press on behalf of the society for financial studies all rights reserved for permissions please e mail journals permissions oup com oxford university press

price elasticity block tariffs and equity of natural gas demand in china investigation based on household level survey data abstract on the basis of a newly established database from the chinese residential energy consumption survey this paper estimates the price elasticity of natural gas demand for the households and investigates the factors that affect residential natural gas consumption in china to address the endogeneity problems the non residential natural gas price has been adopted as the instrumental variable for residential natural gas price results demonstrate that the natural gas demand of chinese households respond significantly to price change with an overall price elasticity coefficient of 0 898 in the meanwhile 1 increase in family members would cause 0 159 rise in natural gas demand and household in the south consumes 28 8 more natural gas than that in the north recognizing the heterogeneity of residential natural gas price elasticity for different households quantile regression technique has further been applied to analyze the distributional effect of natural gas consumption the simulation suggests that the gini coefficient drops from 0 49 to 0 40 after introducing an increasing block tariff scheme to replace the original flat tariff system confirming a price reform has potential to improve the energy equity situation by reshaping the energy consumption pattern

the price elasticity of electricity demand in south australia abstract in this paper the price elasticity of electricity demand representing the sensitivity of customer demand to the price of electricity has been estimated for south australia we first undertake a review of the scholarly literature regarding electricity price elasticity for different regions and systems then we perform an empirical evaluation of the historic south australian price elasticity focussing on the relationship between price and demand quantiles at each half hour of the day this work attempts to determine whether there is any variation in price sensitivity with the time of day or quantile and to estimate the form of any relationships that might exist in south australia

the residential demand for electricity in australia an application of the bounds testing approach to cointegration this paper reports estimates of the long and short run elasticities of residential demand for electricity in australia using the bounds testing procedure to cointegration within an autoregressive distributive lag framework in the long run we find that income and own price are the most important determinants of residential electricity demand while temperature is significant some of the time and gas prices are insignificant our estimates of long run income elasticity and price elasticity of demand are consistent with previous studies although they are towards the lower end of existing estimates as expected the short run elasticities are much smaller than the long run elasticities and the coefficients on the error correction coefficients are small consistent with the fact that in the short run energy appliances are fixed

modeling energy demand some emerging issues abstract the proliferation of papers on energy demand modeling has offered different dimensions both in terms of methodology and estimation while this development has strengthened our understanding of the subject it may render the identification of gaps in the literature arduous for future research thus this study sets out to document some emerging issues that seem to have engendered new directions on energy demand modeling ranging from asymmetric price responses time varying demand parameters triangulation analyses to seasonal and climate change effects it is hoped that access to this review complemented with the previous ones will facilitate the comprehension of the extant literature as well as areas of future research in energy demand modeling

on the trade off between real time pricing and the social acceptability costs of demand response abstract dynamic tariff policies have become an essential feature of modern electric grid design the successful implementation of such policies usually depends on overcoming the resistance of end users to real time pricing and its political implications in this paper we review the literature on the social acceptability costs of implementing demand response programs and we discuss the key features of implementing a real time price to energy although the literature acknowledges the existence of a social acceptability cost it does not propose an explicit approach to dealing with this issue a model for investigating the implications of the social acceptability cost is thus introduced and through it we discuss thoroughly the joint impact of the elasticity and externality parameters on the tariff design of a demand response program we explore how the increases in elasticity and in externality effects influence price changes in such programs and how the social acceptability cost could be reduced as a function of pricing policies we conclude by discussing the policy design mechanisms in line with demand elasticity and their role in decreasing price variations to cope with the minimum volatility principle in the presence of policies that penalize high prices there is an even further decrease in price variations

tourism and temperature effects on the electricity consumption of the hospitality sector abstract the european union has recently presented a strategic long term vision for a climate neutral economy by 2050 considering that climate change is a serious concern for europeans a great socio economic transformation is necessary affecting all economic sectors on the one hand the european union considers that it is necessary to achieve net zero greenhouse gas emissions by 2050 on the other hand sectors need to adapt to a warming climate focusing on the tourism sector and using panel data referring to 12 spanish mediterranean provinces and the 1999 2014 time period this study tests the tourist stays and temperature effects on the electricity consumption of the hospitality sector by estimating extended energy environmental kuznets curves for the sector the results show that this curve is not supported instead electricity consumption progressively increases as tourism grows in addition the results indicate that temperature variables have notable influence over electricity use with a positive influence of global warming on electricity consumption finally results also show positive relationships between overnight stays in hotels with higher star ratings and electricity use while no significant price effects are observed electricity saving measures and renewable electricity generation promotion are recommended especially in the highest energy consuming establishments

real time pricing of electricity for residential customers econometric analysis of an experiment under real time pricing a network operator sets the price level for a period according to a predefined scheme which depends on the state of demand and costs and announces this price shortly before the period begins the french state owned electric utility experimented with a six rate real time tariff which divides the year into three types of days and each day into two periods the number of days of each type is known in advance to the consumer but the type of any particular day is announced only at the end of the preceding day in order to evaluate the responsiveness of customers to this pricing option we estimate the frisch demand functions for daily electricity consumption derived from a simple dynamic model based on an additively separable intertemporal utility function as the marginal utility of expenditure which enters the frisch demands follows a known stochastic process the econometric model has a state space representation we can then apply the kalman filter to compute the log likelihood function associated with each consumer s time series of electricity consumption the main result of the analysis is that the real time tariff improves the welfare of a majority of consumers participating in the experiment

modeling demand response based on utility function considering wind profit maximization in the day ahead market abstract in this paper behavior of electricity customers is modeled using utility function the utility function which measures customer s preferences is an important concept in microeconomics this function interprets how a rational consumer would make consumption decisions based on the utility function an economic demand model is developed as a function of customer risk aversion behavior to consider the effect of incentive payment on electricity consumption the proposed model is designed to maximize the individual customer s welfare under incentive based demand response dr programs then the dr is used to maximize wind power profit in the day ahead market to this end the wind power producer can either use real time balancing market or dr to cope with the energy submitted in the day ahead market and the delivered energy to determine the day ahead and balancing market prices a probabilistic two step market clearing optimization is solved considering uncertainties of wind power and behavior of electricity customers the results show that as risk aversion behavior increases more incentive payment is needed to convince the customer to reduce his her demand the numerical results demonstrate effectiveness of the proposed dr model in improving the wind generation profit in the day ahead market

optimal opt in residential time of use contract based on principal agent theory installation of smart meters is increasing world wide opening the possibility to implement time of use tou tariffs to moderate peak loads this study is focused on the design of an optimal opt in residential tou tariff residential consumers are assumed to act in their private interests and maximize utility in response to tariffs the regulated utility has a broader interest in maximizing societal welfare however the regulated utility cannot impose household behavior and cannot directly observe household type instead the regulated utility must offer contract options including both a tou tariff and current pricing to allow households to self select the plan best suited to their interests this paper proposes a simple flexible household utility function that can be calibrated with minimal data to describe diverse household behaviors and reveal household responses to different prices an optimal pricing model is designed for the regulated utility taking account of asymmetric information and potential household opportunistic behavior using economic constructs from principal agent theory the pricing model ensures participation among households most aligned with the regulated utility s desire the pricing model can also be extended for competitive markets a case study is performed to demonstrate the benefit the optional tou tariff can realize

modeling household energy expenditure in the united states abstract energy consumption is one of the main source of air pollution greenhouse gas emission and global warming reducing household energy consumption is a key goal of policymakers we develop statistical models using socio economics and demographics building characteristics location temperature and energy prices to estimate household energy expenditure in the u s we use household energy expenditure for more than 560 000 households in the u s from 2010 to 2012 we first employ multivariate regression models to investigate and identify the impacts of the explanatory variables on household energy expenditure next we use principal component analysis pca to convert correlated co linear explanatory variables into orthogonal components and estimate household energy expenditure by principal component regression we find newer attached buildings to be effective in decreasing household energy expenditure particularly among educated people in metropolitan areas with sufficient data availability our model could be used by state regional or even city level policymakers and planners to optimize their infrastructural investments

welfare and comparative statics implications of fair social security a steady state analysis abstract this paper examines the steady state welfare and comparative statics implications of fair social security in an overlapping generations model with uncertain lifetime the model is designed to capture the effects of lifetime uncertainty extending over the individual s entire lifespan the effects of intentional and unintentional bequests and the effects of the earning profile he shows that the welfare effects depend on the size of the benefits and the structure of the social security tax in particular even fair social security may have negative welfare implications if the underlying tax structure is ill designed some comparative statics implications are analyzed

efficiency and the bear short sales and markets around the world we analyze cross sectional and time series information from 46 equity markets around the world to consider whether short sales restrictions affect the efficiency of the market and the distributional characteristics of returns to individual stocks and market indices we find some evidence that prices incorporate negative information faster in countries where short sales are allowed and practiced a common conjecture by regulators is that short sales restrictions can reduce the relative severity of a market panic we find strong evidence that in markets where short selling is either prohibited or not practiced market returns display significantly less negative skewness

news droughts news floods and u s disaster relief this paper studies the influence of mass media on u s government response to approximately 5 000 natural disasters occurring between 1968 and 2002 these disasters took nearly 63 000 lives and affected 125 million people per year we show that u s relief depends on whether the disaster occurs at the same time as other newsworthy events such as the olympic games which are obviously unrelated to need we argue that the only plausible explanation of this is that relief decisions are driven by news coverage of disasters and that the other newsworthy material crowds out this news coverage

stealth trading which traders trades move stock prices usingaudit trail data for a sample of nyse firms we show that medium size trades are associated with a disproportionately large cumulative stock price change relative to their proportion of all trades and volume this result is consistent with the predictions of barclay and warner s 1993 stealth tradinghypothesis we find that the source of this disproportionately large cumulative price impact of medium size trades is trades initiated by institutions this result is robust to various sensitivity checks our findings appear to confirm street lore that institutions are informed traders 2001 elsevier science s a all rights reserved

uncertain lifetime the annuity market and estate taxation abstract this paper extends traditional studies of estate taxation to allow for the possibility that taxpayers may avoid the burden of the estate tax by strategically timing bequests to their children in this model the lifespan of the individual is uncertain and bequests can be left either in the middle or at the end of the lifespan bequests are subject to the estate tax only when they are left upon death it is shown that the effects of the estate tax depend on the ability of the individual to make intra vivos gifts which in turn is affected by the existence of a competitive annuity market

the long run price sensitivity dynamics of industrial and residential electricity demand the impact of deregulating electricity prices abstract this study examines the demand side of ghana s electricity sector we test two important related hypotheses 1 deregulation of electricity price does not promote energy conservation and 2 demand price relationship is not an inverted u shaped the stock and watson dynamic ols is used to address the so called second order bias the result showed that deregulation of electricity price in ghana has induced behaviours that are more consistent with energy conservation improvements the demand price relationship is an inverted u which suggests that there is a price range that end users can tolerate further price rise and still increase their consumption of electricity however the degree of price tolerability is higher for residential consumers than industrial consumers the simulation results showed that further economic growth is likely to compromise energy conservation but more in the industrial sector than the residential sector on the other hand future crude oil price is likely to deteriorate energy conservation in the initial years after 2016 but this trend is likely to reverse after the year 2020 pricing mechanisms are potent to induce energy conservation but inadequate the results suggest that they should be complemented with other stringent policies such as a mandatory energy reduction policy investment in renewables and personalization of energy efficiency programs

impacts of day ahead versus real time market prices on wholesale electricity demand in texas abstract the somewhat recent nodal market structure in texas impacts wholesale day ahead market dam and real time market rtm prices however comparative insights on consumer responses to both these prices have not received attention this paper attempts to fill this void by developing a system wide demand response model to better understand price elasticities under dam and rtm pricing these insights may also assist grid operators to develop improved short term forecasts of electricity demand using a large dataset from the electric reliability council of texas and a hierarchical bayesian population model we offer new insights on how dam and rtm pricing shapes demand for electricity and the related consequences for maintaining a reliable electricity market

regionally varying and regionally uniform electricity pricing policies compared across four usage categories the objective of our research is to predict how electricity demand varies spatially between status quo regionally uniform electricity pricing and hypothetical regionally varying electricity pricing across usage categories we summarize the empirical results of a case study of electricity demand in south korea with three key findings and their related implications first the price elasticities of electricity demand differ across usage categories specifically electricity demands for manufacturing and retail uses are price inelastic and close to unit elastic respectively while those for agricultural and residential uses are not statistically significant this information is important in designing energy policy because higher electricity prices could reduce electricity demands for manufacturing and retail uses resulting in slower growth in those sectors second spatial spillovers in electricity demand vary across uses understanding the spatial structure of electricity demand provides useful information to energy policy makers for anticipating changes in demand across regions via regionally varying electricity pricing for different uses third simulation results suggest that spatial variations among electricity demands by usage category under a regionally varying electricity pricing policy differ from those under a regionally uniform electricity pricing policy differences in spatial changes between the policies provide information for developing a realistic regionally varying electricity pricing policy according to usage category

short and long run elasticities of electricity demand in the korean service sector abstract this paper attempts to examine the electricity demand function in the korean service sector using the annual data covering the period 1970 2011 the short and long run elasticities of electricity demand with respect to price and income are empirically estimated using a co integration and error correction model the short and long run price elasticities are estimated to be 0 421 and 1 002 respectively the short and long run income elasticities are computed to be 0 855 and 1 090 respectively electricity demand in the service sector is inelastic to changes in both price and income in the short run but elastic in the long run therefore it appears that a pricing policy is more effective than the direct regulation of reducing electricity demand in the long run in order to stabilize the electricity demand in the service sector moreover it is necessary to encourage a more efficient use of electricity to cope with increasing demand for electricity following economic growth because the electricity demand in the service sector is income elastic in the long run

an econometric analysis of the drivers for residential heating consumption in the uk and germany abstract affecting millions of europeans energy poverty is increasingly high on the political agenda this paper compares space and water heating demand at household level in germany and in the united kingdom uk between 1991 and 2015 the elasticities of consumption of space and water heating with respect to price income and heating degree days hdd are examined using non parametric models domestic heating consumption is highly elastic with hdd in both countries and hdd elasticities are found to be higher in the uk from a certain income threshold heating demand decreases as income increases in german households whereas demand rises with higher incomes in the uk high price elasticities indicate that uk households are very responsive to energy conservation measures therefore implying that a pricing policy will effectively reduce heating consumption however in germany the impact of pricing policies is unclear thus the most effective policy measure to decrease domestic heating consumption in germany in the long run should be one which targets improvements of building envelope performance levels

precautionary saving and accidental bequests this paper presents a simple general equilibrium model of precautionary saving and accidental bequests this model is used to analyze the implications of individual lifetime uncertainty for aggregate consumption and capital accumulation a precautionary demand for saving arises because an individual consumer does not know in advance the date at which he will die and he wants to avoid low levels of consumption in the event that he lives longer than expected an implication of this precautionary saving is that when death does occur the consumer is generally holding some wealth which is then passed on to his heirs in the form of an accidental bequest even if all consumers have the same ex ante mortality probabilities there will be some intracohort variation in the date of death consequently there will be a nondegenerate distribution of bequests left by consumers in a cohort this nondegenerate distribution of bequests left by one generation induces variation in the distributions of wealth consumption and bequests of subsequent generations the importance of bequests in aggregate saving has been established by laurence kotlikoff and lawrence summers 1981 who reported that 80 percent of u s household wealth is inherited wealth one interpretation of this finding is that the simple life cycle model without bequest motives is an inadequate description of saving behavior in the united states but the model i present demonstrates that accidental bequests by selfish consumers can account for a potentially sizeable fraction of aggregate wealth although some part of bequests especially by the wealthy undoubtedly results from an explicit bequest motive accidental bequests also play a role in the intergenerational transfer of wealth as well as in the intragenerational variation in wealth in order to focus on the role of accidental bequests i purposely exclude a bequest motive from the specification of the utility function the effects of lifetime uncertainty on individual consumption behavior were first examined formally in a seminal paper by menachem yaari 1965 yaari s model provided the basic framework for virtually all subsequent work on uncertain lifetimes including well known papers by nils hakansson 1969 stanley fischer 1973 robert barro and james friedman 1977 david levhari and leonard mirman 1977 and kotlikoff and avia spivak 1981 however all of these papers focused on the consumption decision of an individual and ignored the effect of accidental bequests on the behavior of the recipients of these accidental bequests 2 as will be shown at various points in this paper changes in the economic environment can have effects on aggregate behavior which differ sharply from the effects on individual behavior because of the endogenous adjustment of bequests the effects of department of economics harvard university cambridge ma 02138 this paper is a revised version of bequests and social security with uncertain lifetimes nber working paper no 1372 june 1984 i thank olivier blanchard john burbidge christopher cavanagh robert clower stanley fischer benjamin friedman elhanan helpman mervyn king nobuhiro kiyotaki laurence kotlikoff robert mcdonald james pesando julio rotemberg lawrence summers lars svensson mark watson and jeffrey wolcowitz for valuable conversations and correspondence i also thank the participants in seminars at boston university columbia university cornell university federal reserve board harvard university university of iowa mit university of minnesota university of montreal national bureau of economic research north carolina state university the wharton school and yale university and two anonymous referees for their helpful comments i also thank the national science foundation for financial support 1 in the presence of perfect annuity and life insurance markets there may or may not be bequests depending on the presence or absence of a bequest motive but there would be no accidental bequests 2 kotlikoff and spivak focus on the role of the family in providing an incomplete annuities market but stop short of a full scale overlapping generations model in which the distribution of bequests is determined endogenously

a monte carlo based decision support tool for assessing generation portfolios in future carbon constrained electricity industries abstract this paper presents a novel decision support tool for assessing future generation portfolios in an increasingly uncertain electricity industry the tool combines optimal generation mix concepts with monte carlo simulation and portfolio analysis techniques to determine expected overall industry costs associated cost uncertainty and expected co 2 emissions for different generation portfolio mixes the tool can incorporate complex and correlated probability distributions for estimated future fossil fuel costs carbon prices plant investment costs and demand including price elasticity impacts the intent of this tool is to facilitate risk weighted generation investment and associated policy decision making given uncertainties facing the electricity industry applications of this tool are demonstrated through a case study of an electricity industry with coal ccgt and ocgt facing future uncertainties results highlight some significant generation investment challenges including the impacts of uncertain and correlated carbon and fossil fuel prices the role of future demand changes in response to electricity prices and the impact of construction cost uncertainties on capital intensive generation the tool can incorporate virtually any type of input probability distribution and support sophisticated risk assessments of different portfolios including downside economic risks it can also assess portfolios against multi criterion objectives such as greenhouse emissions as well as overall industry costs

why do short sellers like qualitative news short sellers trade more on days with qualitative news that is news containing fewer numbers we show that this behavior is not informationally motivated but can be explained by short sellers exploiting higher liquidity on such days we document that liquidity and noise trading increase in the presence of qualitative news enabling short sellers to better disguise their informed trades natural experiments support our findings qualitative news has a bigger effect on short sellers trading after a decrease in liquidity following the stock s deletion from the standard poor s 500 index and a smaller effect when investor attention is distracted by the olympic games

density forecasting for long term peak electricity demand long term electricity demand forecasting plays an important role in planning for future generation facilities and transmission augmentation in a long term context planners must adopt a probabilistic view of potential peak demand levels therefore density forecasts providing estimates of the full probability distributions of the possible future values of the demand are more helpful than point forecasts and are necessary for utilities to evaluate and hedge the financial risk accrued by demand variability and forecasting uncertainty this paper proposes a new methodology to forecast the density of long term peak electricity demand peak electricity demand in a given season is subject to a range of uncertainties including underlying population growth changing technology economic conditions prevailing weather conditions and the timing of those conditions as well as the general randomness inherent in individual usage it is also subject to some known calendar effects due to the time of day day of week time of year and public holidays a comprehensive forecasting solution is described in this paper first semi parametric additive models are used to estimate the relationships between demand and the driver variables including temperatures calendar effects and some demographic and economic variables then the demand distributions are forecasted by using a mixture of temperature simulation assumed future economic scenarios and residual bootstrapping the temperature simulation is implemented through a new seasonal bootstrapping method with variable blocks the proposed methodology has been used to forecast the probability distribution of annual and weekly peak electricity demand for south australia since 2007 the performance of the methodology is evaluated by comparing the forecast results with the actual demand of the summer 2007 2008

industrial and residential electricity demand dynamics in japan how did price and income elasticities evolve from 1989 to 2014 abstract this study estimates the price and income elasticities of industrial and residential electricity demand in japan with the annual data from 1989 to 2014 a time varying parameter tvp model with the kalman filter is applied to monitor the evolution of consumer behaviors in the post bubble period given the exogenous shock financial crisis in 2008 and the structural breaks electricity deregulation and fukushima daiichi crisis the tvp model can provide a robust estimation of elasticities and can detect the outliers and the structural breaks the results suggest that both industrial and residential consumers become less sensitive to price after the electricity deregulation and the financial crisis and more sensitive to price after the fukushima daiichi crisis especially the industrial sector is less sensitive to price after the retail deregulation by contrast the income elasticities of industrial and residential sector consumers are stable during the examined period results also indicate that a negative relationship exists between the price elasticity of electricity demand and the price level of electricity after the electric sector deregulation some insights on the further electric sector reform and the environmental taxation in japan are also provided

market power in a securities market with endogenous information a rational expectations model of a securities market is developed in which one agent the monopolist behaves like a stackelberg leader and other agents behave competitively two information structures one in which each agent has identical information and the other in which each agent has independent information are examined equilibrium is shown to exist and is characterized in both cases but monopoly has a significant effect on the equilibrium only in the latter the optimal strategy of the stackelberg leader is also studied and it is shown that he will not randomize his strategy by adding white noise to his demand function even though this obfuscates the information content of the market price

trading volume and serial correlation in stock returns this paper investigates the relationship between aggregate stock market trading volume and the serial correlation of daily stock returns for both stock indexes and individual large stocks the first order daily return autocorrelation tends to decline with volume the paper explains this phenomenon using a model in which risk averse market makers accommodate buying or selling pressure from liquidity or noninformational traders changing expected stock returns reward market makers for playing this role the model implies that a stock price decline on a high volume day is more likely than a stock price decline on a low volume day to be associated with an increase in the expected stock return

the demand for electricity in israel quarterly data for israel are used to compare and contrast three dynamic econometric methodologies for estimating the demand for electricity by households and industrial companies these are the dynamic regression model and two approaches to cointegration ols and maximum likelihood since we find evidence of seasonal unit roots in the data we also test for seasonal cointegration we find that the scale elasticities are similar in all three approaches but the ols price elasticities are considerably lower moreover ols suggests non cointegration the paper concludes by stochastically simulating the drms to calculate upside risk in electricity demand

demand customer base line and demand response in the electricity market a survey the increasing use of demand side management as a tool to reliably meet electricity demands at peak time has stimulated interest among researchers consumers and producer organiza tions managers regulators and policymakers this research reviews the growing literature on models which are used to study demand customer base line cbl and demand response in the electricity market after characterizing the general demand models the cbl based on which the demand response models are studied is reviewed given the experience gained from the review and existing conditions the study combines an appropriate model for each case for a possible application to the electricity market moreover it discusses the implications of the results in the literature these aspects are studied independently the main contribution of this survey is attributed to the treatment of the three issues as sequentially interdependent the review is expected to enhance the understanding of the demand cbl and demand response in the electricity market and their relationships the objective is conducted through a combination of demand and supply side managements in order to reduce demand through different demand response programs during peak times this enables electricity suppliers to save costly electricity generation and at the same time reduce energy vulnerability