nonparametric modeling of carbon prices this paper constitutes the first exercise of nonparametric modeling applied to carbon markets the framework of analysis is carefully detailed and the empirical application unfolds in the case of bluenext spot and ecx futures prices the data is gathered in daily frequency from april 2005 to april 2010 first we document the presence of strong nonlinearities in the conditional mean functions second the conditional volatility functions reveal an asymmetric and heteroskedastic behavior which is dramatically different between carbon spot and futures logreturns the results for spot prices are also robust to subsamples decomposition third we show in an out of sample forecasting exercise that nonparametric modeling allows reducing the prediction error by almost 15 compared to linear ar models this latter result is confirmed by the diebold mariano pairwise test statistic

the optimal enforcement of insider trading regulations regulating insider trading lessens the adverse selection problem facing market makers enabling them to quote better prices an optimal enforcement policy must balance these benefits against the costs of enforcement such a policy must specify i the conditions under which the regulator conducts an investigation ii the penalty schedule imposed if an insider is caught and iii a transaction tax to fund enforcement we derive the policy that maximizes investors welfare this policy entails investigations following large trading volumes or large price movements or both insiders caught making large trades are assessed the maximum penalty but small trades are not penalized given this policy insiders trade most aggressively on news with an intermediate price impact but refrain from trading on moderate or extreme news

insider trading outside search and resource allocation why firms and society may disagree on insider trading restrictions we show that entrepreneurs may prefer to allow insider trading even when it is not socially optimal we examine a model in which an insider manager allocates resources on the basis of his private information and outside information conveyed through the secondary market price of the firm s shares if the manager is allowed to trade he will compete with informed outsiders reducing the equilibrium quality of outside information while the benefits to production of outside information are the same for society and entrepreneurs we show that the social and private costs are different thus entrepreneurs and society may disagree on the conditions under which insider trading restrictions should be imposed article published by oxford university press on behalf of the society for financial studies in its journal the review of financial studies

the market for tradable ghg permits under the kyoto protocol a survey of model studies abstract this paper gathers results from 25 models of the market for tradable greenhouse gas ghg emission permits under the kyoto protocol due to diverging projections of emissions growth and different modeling approaches the model results differ substantially the average market volume is approximately 17 and 33 billion usd under global trading and annex b trading respectively including non carbon ghg lowers compliance costs and permit prices in the absence of the us permit demand roughly equals hot air from the former soviet union these countries can increase their revenues from selling permits by restricting supply which raises the permit price

the market linkage of the volatility spillover between traditional energy price and carbon price on the realization of carbon value of emission reduction behavior abstract establishing a carbon market is widely regarded as an effective means of controlling global carbon emission purchasing carbon emission right will increase the cost of enterprises especially for high energy consumption industry the volatility of carbon market will undoubtedly affect the behavior of these enterprises it has been well recognized that there is significant interaction between the carbon market and the fossil energy crude oil natural gas and coal market this paper employs recurrence plot rp method and recurrence quantification analysis rqa method to investigate the volatility spillover between the three different energy futures markets and carbon emission market the result shows that the volatility spillover between the coal market and carbon emission market is strongest based on this in order to avoid the risk from the carbon emission market industries should switch from coal to natural gas or oil and this behavior will lead to the reduction of carbon emission industries will change their energy consumption structure to a much cleaner one which will reduce air pollutant and the emission of carbon dioxide on the realization of carbon value

an econometric analysis of emission allowance prices knowledge of the statistical distribution of the prices of emission allowances and their forecastability are crucial in constructing among other things purchasing and risk management strategies in the emissions constrained markets this paper analyzes the two emission permits markets co2 in europe and so2 in the us and investigates a model for dealing with the unique stylized facts of this type of data its effectiveness in terms of model fit and out of sample value at risk forecasting as compared to models commonly used in risk forecasting contexts is demonstrated

modeling and forecasting the volatility of carbon emission market the role of outliers time varying jumps and oil price risk abstract the objectives of this study are three fold first we aim to assess whether outliers or extreme observations occur in the european union allowance eua data second we examine if time varying jumps are present in the carbon emission market third we use the crude oil volatility index ovx to investigate the effect of oil market uncertainty on the emission price volatility in order to detect the possible outliers in the eua market we employ a standard methodology proposed by ane et al 2008 and identify several outliers in the emission data after spotting and then removing those extreme points we apply the garch jump models to both original and outlier free observations the results of the jump model show that while time varying jumps do exist in the uncorrected data most of the jump parameters however become insignificant in case of outlier free observations next the application of an extended egarch model in which ovx is introduced in the garch specification demonstrates that emission prices are highly sensitive to oil market implied volatility and that the impact of ovx on the eua market appears to be asymmetric additionally the use of forecast encompassing test documents that considering the outlier free data and using the information content of ovx would improve the volatility forecasts for the carbon emission market the results of our research carry important implications for both investors and policymakers

the response of the beijing carbon emissions allowance price bjc to macroeconomic and energy price indices in 2013 china opened pilot carbon emission trading markets in seven provinces where carbon emission allowances have now been traded for more than two years in this paper we employ a structural var model and the price of the beijing carbon emission allowance to study the dynamic relationships among the price of the carbon emission allowance economic development and the price of energy this paper s data cover the period from april 2 2014 to november 6 2015 this paper provides information that will be helpful to both investors and governmental policy makers the results show that 1 an increase of one standard deviation in the coal price leads to an initial increase of approximately 0 1 in the beijing carbon price after 2 days there is a decrease of less than 0 1 and the price gradually increases by approximately 0 1 after 30 days 2 the price of the beijing carbon emission allowance is mainly affected by its own historical price 3 the beijing carbon emission allowance price crude oil price natural gas price and economic development have positive albeit non significant correlations

detecting instability in the volatility of carbon prices this article investigates the presence of outliers in the volatility of carbon prices we compute three different measures of volatility for european union allowances based on daily data egarch model option prices implied volatility and intraday data realized volatility based on the methodology developed by zeileis et al 2003 and zeileis 2006 we detect instability in the volatility of carbon prices based on two kinds of tests retrospective tests ols recursive based cusum processes f statistics and residual sum of squares and forward looking tests by monitoring structural changes recursively or with moving estimates we show evidence of strong shifts mainly for the egarch and iv models during the time period overall we suggest that yearly compliance events and growing uncertainties in post kyoto international agreements may explain the instability in the volatility of carbon prices

insider trading legislation and corporate governance this paper analyzes the impact of insider trading legislation on corporate governance in a context where large dominant shareholders can monitor underperforming companies managers have an incentive to give early warnings about adverse developments to dominant shareholders this information is effectively a bribe to induce dominant shareholders to sell their stock and refrain from intervention if insider trading is unregulated dominant shareholders collude with management at the expense of small shareholders the optimal regime forces the company to disclose all material information to the market private contracting between companies and shareholders leads to optimal insider trading regulation only if initial shareholders can enter a binding commitment otherwise large shareholders and managers recontract at the expense of small share holders enforcement also matters european union legislation requires inside information to be precise such a narrow definition creates a grey zone where information is private but cannot be classified as inside information as a result the effectiveness of corporate governance and firm value are reduced regulation in the us that treats shareholders with a stake exceeding 10 as insiders is potentially harmful

investment and insider trading within a dynamic environment this paper introduces an inside trader to an economy where rational but uninformed traders choose between investment projects with different levels of insider trading when inside information has little value in future investment decisions insider trading distorts investment towards assets with less private information imposing net welfare costs on the economy when an insider s private information is valuable in making future investment decisions the net social benefit of inside trading can be positive the resulting increases in investment efficiency due to more informative prices is enough to compensate for the distortion induced by the inside trader when insiders receive private information more than once insiders may trade to reveal their private information at the beginning of their relationship with the firm this has two effects i more information is revealed in equilibrium and ii there is less chance than an uninformed agent will have to trade with the insider both these effects reduce the investment inefficiencies associated with insider trading as a consequence uninformed liquidity traders prefer to trade in a market with a long term insider this improvement in investment efficiency leads to a pareto improvement both the uninformed traders and the insider are made better off if the insider receives information more than once

an empirical analysis of energy cost pass through to co2 emission prices abstract we use the nonlinear autoregressive distributed lag nardl model to analyze the asymmetric and nonlinear pass through effects of changes in crude oil prices natural gas prices coal prices and electricity prices on the co 2 emission allowance prices we find that i the crude oil prices have a long run negative and asymmetric effect on the co 2 allowance prices ii the decreases in the coal prices have a stronger impact on the carbon prices in the short run than the increases iii the natural gas prices and electricity prices have a symmetric effect on the carbon prices but this effect is negative for the former and positive for the latter these findings are robust when using both monthly and daily data and when considering bivariate and multivariate models

time varying correlations in oil gas and co2 prices an application using bekk ccc and dcc mgarch models previous literature has identified oil and gas prices as being the main drivers of co2 prices in a univariate generalized autoregressive conditional heteroscedasticity garch econometric framework alberola et al 2008 oberndorfer 2009 by contrast we argue in this article that the interrelationships between energy and emissions markets shall be modelled in a vector autoregressive var and multivariate garch mgarch framework so as to reflect the dynamics of the correlations between the oil gas and co2 variables overtime using the baba engle kraft kroner bekk constant conditional correlation ccc and dynamic conditional correlation mgarch dcc mgarch models on daily data from april 2005 to december 2008 we highlight significant own volatility cross volatility spillovers and own persistent volatility effects for nearly all markets indicating the presence of strong autoregressive conditional heteroscedasticity arch and garch effects besides we provide strong empirical evidence of tim

price drivers and structural breaks in european carbon prices 2005 2007 this article aims at characterizing the daily price fundamentals of european union allowances euas traded since 2005 as part of the emissions trading scheme ets the presence of two structural changes on april 2006 following the disclosure of 2005 verified emissions and on october 2006 following the european commission announcement of stricter phase ii allocation allows to isolate distinct fundamentals evolving overtime the results extend previous literature by showing that eua spot prices react not only to energy prices with forecast errors but also to unanticipated temperatures changes during colder events besides the sub period decomposition of the pilot phase gives a better grasp of institutional and market events that drive allowance price changes

do employers pay for consistent performance evidence from the nba i introduction there are many economic models of labor contracting that feature job performance monitoring by employers when there is asymmetric information about worker behavior these models focus on a variety of agency issues and generate implications about contract terms such as initial wages wage tenure profiles termination rates and involuntary unemployment 1 it is typically assumed in these models that a worker s marginal revenue product mrp is known at the time of hiring but that costly monitoring is necessary to enforce contractual terms this paper deals with another issue suppose there is no agency problem but both worker and firm are equally uninformed about mrp when contracts are signed and work begins how are initial wages and other contractual terms influenced by symmetric uncertainty about mrp contracts are often formulated on the basis of various provisional predictors of mrp such as grades in college letters of reference from teachers and former employers work experience and performance test scores typically employers expend resources to acquire such information at hiring and continue to engage in costly performance evaluation afterward under such conditions the purpose of monitoring is discovery not contract enforcement information acquired from on the job monitoring is used to make decisions about adjustment of contractual terms job assignment and retention for example tenure track college professors are often evaluated yearly and must submit information about various aspects of on the job performance such as student evaluations of teaching research papers completed committee assignments etc on the job monitoring of workers is costly and is likely to affect the worker s pay in fact a worker may agree to pay for his monitoring if the information revealed by monitoring has alternative uses elsewhere in the labor market in this paper we develop and test a model of a firm facing costly on the job monitoring when there is symmetric information and we develop a number of novel implications for initial salaries the central feature of our model is that monitoring can be costly when a worker s performance over time is variable notably the model predicts that there will be an unambiguous inverse relationship between variance of mrp and initial wages we obtain this and other predictions without resorting to assumptions about employers and employees utility functions that risk aversion models require we regard our explanation of the relationship between variance and wages to be theoretically more robust than what the risk aversion literature would predict because that literature predicts an ambiguous relationship for example stiglitz 1974 232 uses a risk aversion model to demonstrate that wages and risk are inversely related only under very restricted conditions specifically if the worker is more risk averse than the firm and if labor s elasticity of output does not exceed some threshold level in contrast our prediction is based on an information transactions costs model with no restricted conditions we build upon earlier work by bodvarsson 1987 1989 who created a salary determination model in which a worker s output is variable over time bodvarsson characterized on the job monitoring as a sequential sampling experiment where the employer periodically samples from the worker s mrp distribution and stops when she believes there is enough information to determine the true underlying mrp a key implication of bodvarsson s model is that expected monitoring costs are higher for workers with variable output and therefore if workers pay all or part of the cost of monitoring salaries of such workers will be lower in his earlier paper this proposition was tested using a share contracting model and data on commercial fishing in the later paper a fixed wage model with educational signaling was developed but never tested we extend bodvarsson s fixed wage model and test it on an occupation that has many characteristics described by our model professional basketball players in the national basketball association nba

an emerging equilibrium in the eu emissions trading scheme abstract the european union s emissions trading scheme ets is the key policy instrument of the european commission s climate change program aimed at reducing greenhouse gas emissions to eight percent below 1990 levels by 2012 a critically important element of the eu ets is the establishment of a market determined price for eu allowances this article examines the extent to which several theoretically founded factors including economic growth energy prices and weather conditions determine the expected prices of the european union co 2 allowances during the 2005 through to the 2009 period the novel aspect of our study is that we examine heavily traded futures instruments that have an expiry date in phase 2 of the eu ets our study adopts both static and recursive versions of the johansen multivariate cointegration likelihood ratio test as well as a variation on this test with a view to controlling for time varying volatility effects our results are indicative of a new pricing regime emerging in phase 2 and point to a maturing market driven by the fundamentals these results are valuable both for traders of eu allowances and for those policy makers seeking to improve the design of the european union ets

information linkage dynamic spillovers in prices and volatility between the carbon and energy markets abstract the european union emissions trading system eu ets has strengthened the information flow and connection between carbon market and energy markets which makes the carbon energy system more complicated this paper investigates information linkages and dynamic spillover effects between the carbon and energy markets we adopt a systemic time series approach to study connectedness in both returns and volatility in the carbon energy system moreover a rolling windows method is used to show the dynamic features empirical results show that brent oil prices play an important role in affecting carbon price changes and risks feedback exists from the carbon market to other energy markets and electricity prices are shown to be the biggest information receiver in the system it is also shown that the level of connectedness in the volatility system is substantially higher than that in the returns system our results can provide useful implications for policymakers to design market mechanisms and market investors to manage their portfolios

modeling co2 emission allowance prices and derivatives evidence from the european trading scheme this paper studies the three main markets for emission allowances within the european union emissions trading scheme eu ets powernext nord pool and european climate exchange ecx the analysis suggests that the prohibition of banking of emission allowances between distinct phases of the eu ets has significant implications in terms of futures pricing motivated by these findings we develop an empirically and theoretically valid framework for the pricing and hedging of intra phase and inter phase futures and options on futures respectively

asymmetry in the ems new evidence based on non linear forecasts abstract in this paper we provide new evidence on the hypothesis of german leadership and asymmetric performance in the ems in the framework of causality tests using daily data given the evidence about non linearity in financial series we propose applying non linear forecasting methods based on the literature on complex dynamic systems our analysis covers nine countries and the sample period runs until 30 april 1998 so including the more recent events in the ems history a comparison of our results with those obtained from standard linear econometric techniques leads us to conclude that inference on causality based on our non linear predictors would be preferable to that based on the standard linear approach

are electricity risk premia affected by emission allowance prices evidence from the eex nord pool and powernext the links between emission and energy markets are of great interest to practitioners academics and policy makers in this paper it is conjectured that a positive relationship exists between emission allowance spot returns and electricity risk premia within the european union emissions trading scheme eu ets we discuss how this can be justified on the basis of the substantial uncertainties in the carbon markets we also argue that this link could be due to trading strategies followed by electricity producers who attempt to exploit their initial allocation of free allowances analysis of data from three major markets the eex nord pool and powernext offers empirical support to our conjecture these findings have significant policy implications since they imply that efforts should be made in order to reduce the uncertainty in the carbon markets by clearly defining the eu ets regulative framework and design over the next years moreover our results suggest that the allocation of free allowances and their unrestricted trading enable electricity producers to accomplish windfall profits in the derivatives market at the expense of other market participants

forecasting carbon futures volatility using garch models with energy volatilities abstract this article examines the volatility forecasting abilities of three approaches garch type model that uses carbon futures prices an implied volatility from carbon options prices and the k nearest neighbor model based on the results we document that garch type models perform better than an implied volatility and the k nearest neighbor model this result suggests that carbon options have little information about carbon futures due to their low trading volume we also investigate whether the volatilities of energy markets i e brent oil coal natural gas and electricity forecast following day s carbon futures volatility according to the results we suggest that brent oil coal and electricity may be used to forecast the volatility of carbon futures

volatility in crude oil futures a comparison of the predictive ability of garch and implied volatility models the wti future contract quoted at the nymex is the most actively traded instrument in the energy sector this paper compares the predictive ability of two approaches which can be used to forecast volatility garch type models where forecasts are obtained after estimating time series models and an implied volatility model where forecasts are obtained by inverting one of the models used to price options although the main scope of the research discussed here is to evaluate which model produces the best forecast of volatility for the wti future contract evaluated according to statistical and regression based criteria we also investigate whether volatility of the oil futures are affected by asymmetric effects whether parameters of the garch models are influenced by the distribution of the errors and whether allowing for a time varying long run mean in the volatility produces any improvement on the forecast obtained from garch models

multiple bubbles in the european union emission trading scheme abstract the european union emission trading scheme eu ets is the first large scale co 2 emission trading system in the world carbon allowances are financial assets potentially vulnerable to the behavior of traders and investors in fact the carbon price has been quite volatile since the inception of the market and it has recently hit very low values however to date no work exists to evaluate whether volatility and price spikes are due to episodes of speculation and price bubbles our paper fills this gap we use the recent approaches developed by phillips and yu 2010 phillips et al 2011 and phillips et al 2015a 2015b who propose a recursive right sided unit root approaches to detect and date stamp mildly explosive behaviors and carbon market exuberance we complement this methodology by using the wild bootstrap procedure by goncalves and kilian 2004 to control for the heteroschedasticity of carbon price data analyzing the eu ets front month contract price from 2005 to 2014 we find different episodes of price bubbles these episodes are not explained by similar behavior of the fundamentals but seem related to energy and environmental policy announcements our results can provide insightful policy implications in the context of the actual carbon market reform as well as the implementation of stricter financial regulations rules to co 2 trading

what happens to the relationship between eu allowances prices and stock market indices in europe abstract the stock market may reflect the economic conditions of an economy and a positive economic situation is expected to improve the companies profits which makes company shares more attractive since the expected dividends to shareholders will be larger theoretically higher economic activity leads to higher energy demand and consequently higher carbon emissions which give rise to higher eu allowances eua prices therefore the stock market and eua prices seem to be connected with causality going from the stock markets to eua prices this paper formally tests for it showing that the causality effectively runs from the stock market to the european climate exchange market furthermore the paper studies the effects of the evolution of european stock markets on the eua spot prices

allowance price drivers in the first phase of the eu ets abstract in the first phase of the eu emissions trading scheme eu ets the price per ton of co 2 initially rose to over 30 the price then collapsed to essentially zero by mid 2007 by deriving a structural model of the allowance price under the assumption of efficient markets i examine the extent to which this variation in price can be explained by marginal abatement costs i then gradually relax the model by allowing for delayed adjustment of price to fundamentals as well as by introducing lagged lhs variables the pattern of results suggests that while prices were not initially driven by marginal abatement costs this inefficiency was largely corrected after the accounting of 2005 emissions in april 2006

abatement and allocation in the pilot phase of the eu ets we use historical industrial emissions data to assess the level of abatement and over allocation that took place across european countries during the pilot phase 2005 2007 of the european union emission trading scheme using a dynamic panel data model we estimate the counter factual business as usual emissions scenario for eu member states comparing this baseline to allocated and verified emissions we find that both over allocation and abatement occurred along with under allocation and emissions inflation over the three trading years of the pilot phase we find over allocation of approximately 280 million euas and total abatement of 247 mt co2 however we calculate that emissions inflation of approximately 73 mt co2 also occurred possibly due to uncertainty about future policy design features

modeling the price dynamics of co2 emission allowances abstract in this paper we analyze the short term spot price behavior of carbon dioxide co 2 emission allowances of the new eu wide co 2 emissions trading system eu ets after reviewing the stylized facts of this new class of assets we investigate several approaches for modeling the returns of emission allowances due to different phases of price and volatility behavior in the returns we suggest the use of markov switching and ar garch models for stochastic modeling we examine the approaches by conducting an in sample and out of sample forecasting analysis and by comparing the results to alternative approaches our findings strongly support the adequacy of the models capturing characteristics like skewness excess kurtosis and in particular different phases of volatility behavior in the returns

cancellable insider trading plans an analysis of sec rule 10b5 1 rule 10b5 1 enables insiders to preplan future trades before becoming informed within a strategic rational expectations equilibrium framework i characterize an insider s unique optimal trading plan which balances portfolio diversification against exploitation of the rule s selective termination option because the rule reduces adverse selection and provides insurance against bad outcomes the rule generally improves welfare for both the insider who later becomes informed and uninformed outsiders provided there exists a sufficient degree of information asymmetry eliminating the rule s selective termination option results in an even greater welfare improvement under a large subset of parametric conditions received march 9 2018 editorial decision january 11 2019 by editor wei jiang

earnings and price based compensation contracts in the presence of discretionary trading and incomplete contracting abstract the paper analyzes the use of reported accounting earnings and price as a basis for compensating a manager when he trades on private information and share price is set rationally based on privately held information publicly available and contractible information and publicly available but noncontractible information in addition we analyze the comparative statics of the compensation on reported earnings and price with respect to changes in the economy

a multiscale analysis for carbon price drivers abstract this study proposes a multiscale analysis model to explore and identify the carbon price drivers at different timescales by introducing the latest multivariate empirical mode decomposition carbon price and its potential drivers are decomposed into several groups of simple modes with specific economic meanings the cointegration techniques error correction model and newey west estimator are combined to capture the carbon price drivers at similar timescales illustrated by the samples of the european union emissions trading system from 2009 to 2016 a few interesting results can be found that at the original data level among the three most important drivers of carbon price electricity price and stock index show positive impacts while coal price shows a negative impact at different timescales the effects of electricity and stock index appear comparatively earlier which drive carbon price from the short timescales and continue to strengthen however the impacts of coal oil and gas prices are lagging behind which respectively drive the carbon price at the medium and long timescales

how to explain carbon price using market micro behaviour abstractin this article we analyse the micro behaviours of the emitting companies and financial intermediaries in the european union emissions trading scheme eu ets and their influence on carbon prices based on the full sample community independent transaction log citl the micro behaviours can be observed in a closed system the micro behaviours of the emitting companies are divided into compliance trading and non compliance trading based on the emitting companies trading motivations the micro behaviours of the financial intermediaries are measured by their influence on the total supply and demand in the market then an ar garch model is established to examine the dynamic relationships between carbon prices and the micro behaviours of the emitting companies and financial intermediaries the estimation results suggest that the prices behaviours relationship is significant other important findings are as follows 1 the mean value of carbon prices positively depends on the compliance trading

shirking or stochastic productivity in major league baseball reply firms produce in an uncertain environment the long literature on the theory of the firm under uncertainty has focused on demand uncertainty 4 18 14 the unanimity question 8 15 or technological uncertainty 23 1 7 regarding the latter an interesting question is how that randomness enters the technology one source might be purely unpredictable factors such as the weather or accidents agricultural output for instance is dependent not only on the quantity of inputs hired but on the amount of rainfall natural disasters and the like a different source of technical uncertainty is variations in the quality and reliability of the input services hired in professional sports for example the performance of an athlete varies from game to game and season to season the reliability of capital a crucial issue in nuclear power generation is another example reflecting the stochastic nature of input productivity one economic consequence of this randomness of productivity is that an employer cannot know a priori the input s value but rather must form an estimate of its expected marginal contribution spence 20 showed how an employer uses signals such as educational attainment to determine if a worker is worth hiring once hired the firm still faces the difficulty of determining if a below average realization of productivity resulted from shirking by the employee or a bad draw from his productivity distribution this agency problem outlined in detail by alchain and demsetz 1 and holmstrom 10 has important implications to our perception of work effort especially in the presence of long term labor contracts allegations of shirking due to long term job security have been associated with seniority rights professional athletes and in the academic institution of tenure

review of taiwan s climate policy after copenhagen abstract the copenhagen accord in 2009 initiated new opportunities for international cooperation in reducing greenhouse gas ghg emissions the purpose of this study was to review taiwan s current climate policy and in response to the copenhagen accord to deliberate this policy in the light of new strategic thinking the study proposes a two stage approach with a dividing line in 2020 in the first stage from now until 2020 strategy should be based on cost constraints with a suggested reduction cost below 60 t co 2 and implementation of domestic ghg emissions trading scheme and reduction strategies in the second stage from 2020 and beyond action by taiwan should accord with international cooperative actions to link its domestic emissions trading scheme with the international carbon market

insider trading and the short swing profit rule abstract the short swing profit rule is a federal statute that requires insiders to forfeit any trading profit earned from a combined purchase and sale that occurs within a six month period using a multi period strategic rational expectations equilibrium framework i demonstrate that the rule tends to reduce both the amount of insider trading and the amount of profit earned by an informed insider from information based trades because the rule imposes a constraint on the insider s dynamic trading strategy nevertheless the rule increases the insider s welfare at the expense of uninformed investors outsiders because the rule inhibits risk sharing which leads to an ex ante wealth transfer from outsiders to the insider

the sports business as a labor market laboratory with superior data on compensation and productivity as well as the occurrence of abrupt dramatic market structure and player allocation rules changes sports labor markets offer an excellent setting in which to test economic hypotheses this paper reviews evidence from sports in four areas employer monopsony discrimination the coase theorem and incentive contracts supervision and performance there is considerable evidence of monopsony as well as for the existence of some forms of discrimination against minority athletes incentive contracts have strong effects on player performance and behavior and there is mixed evidence on the predictions of the coase theorem

a game level analysis of salary dispersion and team performance in the national basketball association using game level panel data on the national basketball association nba we examine the causal effect of within team salary dispersion on team performance we exploit three measures of salary dispersion and examine the effect at three levels whether the outcome of the game is influenced by salary dispersion among 1 players participating in the current game active players 2 players who played more than half of their team s games in a season regular and occasional players and 3 the entire player population regardless of the measures used we find that salary dispersion does not influence team performance

a model of carbon price interactions with macroeconomic and energy dynamics abstract this paper develops a model of carbon pricing by considering two fundamental drivers of european union allowances economic activity and energy prices on the one hand economic activity is proxied by aggregated industrial production in the eu 27 as it provides the best performance in a preliminary forecasting exercise vs other indicators on the other hand brent natural gas and coal prices are selected as being the main carbon price drivers as highlighted by previous literature the interactions between the macroeconomic and energy spheres are captured in a markov switching var model with two states that is able to reproduce the boom bust business cycle hamilton 1989 first industrial production is found to impact positively negatively the carbon market during periods of economic expansion recession thereby confirming the existence of a link between the macroeconomy and the price of carbon second the brent price is confirmed to be the leader in price formation among energy markets bachmeier and griffin 2006 as it impacts other variables through the structure of the markov switching model taken together these results uncover new interactions between the recently created eu emissions market and the pre existing macroeconomic energy environment

eu emission allowances and the stock market evidence from the electricity industry this paper constitutes to our best knowledge the first econometric analysis on stock market effects of the eu emission trading scheme eu ets our results suggest that eu emission allowance eua price developments matter to the stock performance of electricity firms eua price changes and stock returns of the most important european electricity corporations are shown to be positively related this effect does not work asymmetrically so that stock markets do not seem to react differently to eua appreciations in comparison to depreciations the carbon market effect is shown to be both time and country specific it is particularly strong for the period of eua market shock in early 2006 and differs with respect to the countries where the electricity corporations analysed are headquartered stock market reactions to eua volatility could not be shown

eua and scer phase ii price drivers unveiling the reasons for the existence of the eua scer spread abstract this article studies the price relationships between eu emissions allowances euas valid under the eu emissions trading scheme eu ets and secondary certified emissions reductions scers established from primary cers generated through the kyoto protocol s clean development mechanism cdm given the price differences between euas and scers financial and industrial operators may benefit from arbitrage strategies by buying scers and selling euas i e selling the eua scer spread to cover their compliance position as industrial operators are allowed to use scers towards compliance with their emissions cap within the european system up to 13 4 our central results show that the spread is mainly driven by eua prices and market microstructure variables and less importantly as we would expect by emissions related fundamental drivers this might be justified by the fact that the eu ets remains the greatest source of cer demand to date

modeling persistence of carbon emission allowance prices this study reexamines the issue of persistence in carbon emission allowance spot prices using daily data and covering the period from 28 2 2007 to 14 05 2014 for this purpose we use techniques based on the concept of long memory accounting for structural breaks and non linearities in the data with both of these aspects potentially affecting the degree of persistence our results indicate that while there is no evidence of non linearity when allowing for structural breaks persistence of shocks to the carbon emission allowance is markedly reduced with the same being transitory in nature for recent sub samples

time and frequency connectedness among oil shocks electricity and clean energy markets abstract this paper examines the time and frequency connectedness among electricity carbon and clean energy markets and oil price demand and supply shocks in doing so we use the spillover method proposed by diebold and yilmaz 2012 and its extension in the frequency domain by barunik and k ehlik 2018 we find increased connectedness during the global financial crisis as well as in the shale oil revolution period the total connectedness is also higher in the short run compared to the long run due to their low connectedness electricity futures can act as a risk diversifier and safe haven asset against oil shocks net pairwise directional connectedness among oil shocks and the clean energy index is higher during the shale oil revolution these results have important implications for investors with different investment time horizons

the vermont common assets trust an institution for sustainable just and efficient resource allocation both private and public sectors have failed to adequately provide critical ecosystem goods and services or an equitable distribution of wealth and income to address this problem the vermont legislature is considering the creation of a vermont common assets trust vcat that would make the state s atmosphere aquifers and other resources created by nature or by society as a whole the common property of all vermonters present and future under the trust a board of trustees would have the legal obligation to manage these assets for the benefit of all vermonters including future generations this paper first explains why certain resources are likely to be managed more sustainably fairly and efficiently as common property than as private property it then discusses mechanisms for integrating assets into the trust estimates of potential revenue from a vcat suggest that it could eliminate the state budget deficit contribute to a better distribution of wealth and resources and help address critical ecological problems survey results suggest that a vcat is politically feasible the vcat promises to be an important pilot project that could later be scaled up to a national or global level

the payoff to consistency in performance this study investigates whether firms are willing to pay higher wages to workers who demonstrate consistent performance than to those whose performance is more volatile a formal model reflects a production technology view assuming the law of diminishing marginal product this model suggests that a more consistent worker produces higher expected output and therefore receives a higher wage the test of the model uses data from the national basketball association the empirical data support the model players whose performances were more consistent than the performances of other players received higher wages on average jel d41 j31 m52 z20

global mechanisms for sustaining and enhancing pes schemes article i nfo an international payment for ecosystem service ipes schemes may be one of the only mechanisms available to stimulate the provision of vital non marketed ecosystem services at the global level as those nations that benefit from global ecosystem services ges cannot readily force other sovereign nations to provide them currently international trade offers trillions of dollars in incentives for countries to convert natural capital into marketable goods and services and few payments to entice countries to conserve natural capital in order to sustain critical non marketed ecosystem services we examine the biophysical characteristics of climate change and biodiversity to understand the obstacles to developing effective ipes schemes we find that none of the existing schemes for providing ges are adequate given the scale of the problem a cap and auction scheme for co2 emissions among wealthy nations could fund ipes and simultaneously deter carbon emissions to disburse funds we should adapt brazil s icms ecologico and apportion available funds to targeted countries in proportion to how well they meet specific criteria designed to measure the provision of ges individual countries can then develop their own policies for increasing provision of these services ensured of compensation if they do so indirect ipes should include funding for freely available technologies that protect or provide ges such as the low carbon energy alternatives that will be essential for curbing climate change markets rely on the price mechanism to generate profits which rations technology to those who can afford it reducing adoption rates innovation and total value

coaching team production coaching team production the actual function of managers is the subject of much debate using data on more than 3000 male college basketball players their coaches and their skill levels we find a positive and significant relation between our ability to replicate an individual coach s allocation of playing time across players and his winning percentage although this result does not answer the central question of just what it is that managers contribute the results do support the property rights paradigm managers are the employees of workers and more generally sports data can be used to help understand related economic processes where quantifiable measures of inputs and outputs are more costly to obtain what is meant by performance input energy initiative work attitude perspiration rate of exhaustion or output sometimes by inspecting a team member s input activity we can better judge his output effect it is not always the case that watching input activity is the only or best means of detecting measuring or monitoring output effects of each team member but in some cases it is a useful way i introduction a major tenet of the alchian demsetz 1972 representation of the firm is that managers are hired by workers to prevent shirking and malfeasance in their own ranks absent overseers individual workers bear only a fraction of the cost of shirking and hence everyone undersupplies labor relative to its opportunity cost in this world the managerial function is to monitor inputs and meter rewards thereby reducing the incentive to shirk and raising each worker s marginal productivity the more dependence there is in the marginal products of laborers the more important the role of management this view of supervision is simultaneously intuitively pleasing and difficult to quantify this paper investigates the role of management in a setting where indisputably there is team production intercollegiate basketball 1 data on 3012 college basketball players across ten years and sixty five teams are used to replicate one aspect of coaching the allocation of playing time next we attempt to link coaching decisions to winning the goal is to determine if coaches who manage well by our standards are successful section ii motivates the paper in section iii the empirical methodology is detailed the monitoring function is estimated and related to coaching success section iv contains a summary and conclusion ii coaching decisions the essence of team production is interdependence and the inherent immeasurability of marginal productivity across workers however this does not mean that proxies for marginal productivity cannot be developed managers monitor worker inputs and deduce marginal products accordingly of course some inputs are more cheaply quantified than others attitude is hard to measure but heart rate is easy sweat is observed cheaply but workers can feign exhaustion in the famous chinese boatpullers fable the coxswain uses his whip to insure that coolies pull efficiently to persuade each worker to give the appropriate effort 2 mcmanus 1975 341 relates a story told by cheung boats are pulled upstream by a team of coolies prodded by an overseer with a whip an american lady horrified at the sight of the overseer whipping the men as they strained at their harness demanded that something be done about the brutality she was quickly informed those men own the rights to draw boats over this stretch of water and they have hired the overseer and given him his duties here the monitor uses his vision intuition and experience to determine shirking counseling the loafers with his whip but employing subjective observation is just one way to monitor

incidence and consequences of risk taking behavior in tournaments evidence from the nba we empirically explore the relevance and efficiency of risk taking behavior in tournaments we use data from the national basketball association nba and measure risk taking by the fraction of three point shots in basketball games we examine how point differences between teams during games affect their subsequent risk taking behavior it is found that teams that are trailing are more likely to increase their use of three point shots we additionally analyze the consequences of this change in behavior enhanced risk taking is inefficient in the vast majority of cases and is only beneficial if a team is trailing by a rather large margin we discuss possible explanations for these decision errors jel m5 d81 j30

the dynamic volatility spillover between european carbon trading market and fossil energy market abstract with the rapid spread of carbon trading in the world the interaction of carbon prices and fossil energy prices has raised growing attention but little research has discussed their time varying correlation and dynamic volatility spillover this paper employs the threshold dynamic conditional correlation dcc generalized autoregressive conditional heteroscedasticity garch model and the full baba engle kraft and kroner bekk garch model to explore these issues for the daily data of european carbon futures prices and the three fossil energy prices coal natural gas and brent oil from january 2 2008 to september 30 2014 the results indicate that first there is significant unidirectional volatility spillover from coal market to carbon market and from carbon market to natural gas market whereas there exists no significant volatility spillover between carbon market and brent oil market second carbon market and fossil energy markets have significantly positive correlation across time specifically among the three fossil fuels coal market has the highest correlation with carbon market followed by natural gas and brent oil markets finally as for the three fossil fuels their price decrease may have stronger impact on carbon price volatility than their price increase with the same degree while there is asymmetric impact of carbon price increase and decrease only on brent oil price volatility these results may help investors to well configure their portfolios and manage their investment risks and help emission trading installations to join in carbon market in a cost effective way

the impact of the european union emission trading scheme on electricity generation sectors in order to comply with their commitments under the kyoto protocol france and germany participate to the european union emission trading scheme eu ets which concerns predominantly electricity generation sectors in this paper we seek to know if the eu ets gives appropriate economic incentives for an e cient and strong system in line with kyoto commitments because if so electricity producers in these countries should include the price of carbon in their costs functions after identifying the di erent sub periods of the eu ets during its pilot phase 2005 2007 we model the prices of various electricity contracts and look at their volatilities around their fundamentals while evaluating the correlation between the electricity prices in the two countries we finnd that electricity producers in both countries were constrained to include the carbon price in their cost functions during the rst two years of operation of the eu ets during this period german electricity producers were more constrained than their french counterparts and the inclusion of the carbon price in the cost function of electricity generation has been so much more stable in germany than in france furthermore the european market for emission allowances has increased the market power of the historical french electricity producer and has greatly contributed to the partial alignment of the wholesale price of electricity in france with those of germany

inside trading and incentives the traditional arguments against inside trading insiders take advantage of other investors inside trading profits overcompensate managers see ross 1979 too much information is collected if inside trading is allowed see fama and laffer 1971 hirshleifer 1971 emphasize the social costs of prohibiting such trading without explaining the private incentives shareholders have to sanction this trading the efficiency argument in favor of inside trading inside trading improves the functioning of the stock market because information as a public good will be underproduced unless those who acquire it profit through inside trading demsetz 1969 does not explain shareholders support of inside trading because the owners of a firm do not seek to improve the efficiency of the stock market by sacrificing trading profits to insiders several alternative hypotheses for shareholders failure to impose restrictions on inside trading have been advanced this paper analyzes shareholders incentives to sanction inside trading i show that if a manager of a firm is initially compensated with earnings contingent contracts then the welfare of that manager and all of the firm s shareholders can be improved by allowing the manager to trade on his private information this result is established in the context of a multiple principal the shareholders single agent the manager model with the manager s trades observable ex post and is robust with respect to the specification of investors preferences and the definition of stock market equilibrium the topic of this paper originated in conversations with steve allen his comments as well as those of nicholas dopuch daniel fischel sanford grossman merton miller robert verrecchia and other members of the workshops on the applications of economics and on accounting research both at the university of chicago are gratefully acknowledged 1 for a list of such arguments see references in manne 1966 chap 1

the impacts of carbon pricing on coastal megacities a cge analysis of singapore abstract pricing carbon is a widely used policy instrument for climate change mitigation quantitative analysis of carbon pricing are mainly conducted at the regional and national level rarely at the city level due to data availability as a representative of coastal megacities that are vulnerable to both climate change and climate policies singapore has announced to impose carbon tax on large direct emitters as a complementary mitigation option to technical measures a city level computable general equilibrium cge model is developed to simulate potential impacts of carbon pricing on the city including paying border carbon adjustment bca on exports or introducing a domestic carbon tax different sector coverages and carbon tax revenue recycling schemes are investigated for domestic carbon tax the simulation results show that a domestic carbon tax is a more cost effective option than paying bca given an identical carbon price at s 10 t co 2 gdp total exports and household consumption would decline less and average abatement cost is much smaller in the carbon tax scenarios compared to the bca scenario in terms of absolute emissions reduction a carbon tax that covers energy manufacturing and land transport sectors would be preferred making emissions around 2 7 lower than 2010 baseline level