auction approaches of long term contracts to ensure generation investment in electricity markets lessons from the brazilian and chilean experiences the implementation of auctions of long term electricity contracts is arising as an alternative to ensure generation investment and therefore achieve a reliable electricity supply the aim is to reconcile generation adequacy with efficient energy purchase correct risk allocation among investors and consumers and the politico economic environment of the country in this paper a generic proposal for a long term electricity contracts approach is made including practical design concepts for implementation this proposal is empirically derived from the auctions implemented in brazil and chile during the last 6 years the study is focused on practices and lessons which are especially useful for regulators and policy makers that want to facilitate the financing of new desirable power plants in risky environments and also efficiently allocate supply contracts among investors at competitive prices although this mechanism is generally seen as a significant improvement in market regulation there are questions and concerns on auction performance that require careful design and which are identified in this paper in addition the experiences and proposal described can serve to derive further mechanisms in order to promote the entrance of particular generation technologies e g renewables in the developed world and therefore achieve a clean electricity supply

environmental kuznets curve hypothesis in pakistan cointegration and granger causality abstract the paper is an effort to fill the gap in the energy literature with a comprehensive country study of pakistan we investigate the relationship between co2 emissions energy consumption economic growth and trade openness in pakistan over the period of 1971 2009 bounds test for cointegration and granger causality approach are employed for the empirical analysis the result suggests that there exists a long run relationship among the variables and the environmental kuznets curve ekc hypothesis is supported the significant existence of ekc shows the country s effort to condense co2 emissions and indicates certain achievement of controlling environmental degradation in pakistan furthermore we find a one way causal relationship running from economic growth to co2 emissions energy consumption increases co2 emissions both in the short and long runs trade openness reduces co2 emissions in the long run but it is insignificant in the short run in addition the change of co2 emissions from short run to the long span of time is corrected by about 10 yearly

the impacts of transport energy consumption foreign direct investment and income on co2 emissions in asean 5 economies abstract in this study we incorporate new variables and assess the impact of transportation sector s energy consumption and foreign direct investment on co2 emissions for asean 5 economies using the cointegration and granger causality methods this study also attempts to validate the environmental kuznets curve ekc hypothesis our results reveal that the co2 emissions and their determinants are co integrated only in indonesia malaysia and thailand the long run elasticity estimation suggests that income and transport energy consumption significantly influence co2 emissions whereas fdi is not significant economic growth plays a greater role in contributing to co2 emission in asean 5 nonetheless we find that the inverted u shape ekc hypothesis is not applicable to the asean 5 economies especially in indonesia malaysia and thailand in the long run the bi directional causality between economic growth and co2 emissions is detected in indonesia and thailand while we find unidirectional causality running from gdp to co2 emissions in malaysia we also observe bi directional causality between transport energy consumption fdi and co2 emissions in thailand and malaysia as an immediate policy option controlling energy consumption in transportation sector may result in a significant reduction in co2 emissions however this may slow the process of economic growth in malaysia and indonesia alternatively we suggest policymakers to place more emphasis on energy efficient transportation system and policies to minimise fossil fuel consumption thus the quality of environment can be improved with less deleterious impact on economic growth

portfolio selection under institutional procedures for short selling normative and market equilibrium considerations abstract in view of the acceptance of short selling of stocks as an investment tool in the portfolio context by a growing number of institutional investors in recent years the present study considers both normative and market equilibrium aspects of portfolio selection with short selling under the full information covariance structure of security returns the study accurately captures institutional procedures for short selling without sacrificing analytical tractability while short selling enhances the portfolio s risk return trade off from a normative perspective the equilibrium analysis reveals that there is a continuum of market clearing prices within two boundaries for each security economic implications of the equilibrium pricing relationship are also explored in the study

investment with incomplete markets for risk the need for long term contracts abstract barring subsidies investment in the power generation sector has come to an almost complete halt in the restructured european power sector market and regulatory failures such as the well known missing money see joskow 2006 but also normal market features such as risk possibly also affected by market failures like market incompleteness are mentioned as common causes for the situation this paper discusses incomplete risk trading and its impact on investment the analysis applies computable stochastic equilibrium models on a simple market model of the energy only type the paper first compares the cases of complete and fully incomplete markets full risk trading and no risk trading it continues by testing the impact of different risk trading contracts on both welfare and investment we successively consider contracts for difference reliability options with and without physical back up that we add to our energy only market model we test the impact of market liquidity on the results finally we compare these methods to a forward capacity market that we also add to the energy only model we complete the paper by interpretation of these results in terms of hurdle rate implied by these risk trading situations

carbon dioxide emissions and economic growth panel data evidence from developing countries in this paper we test the environment kuznet s curve ekc hypothesis for 43 developing countries we suggest examining the ekc hypothesis based on the short and long run income elasticities that is if the long run income elasticity is smaller than the short run income elasticity then it is evident that a country has reduced carbon dioxide emissions as its income has increased our empirical analysis based on individual countries suggests that jordan iraq kuwait yemen qatar the uae argentina mexico venezuela algeria kenya nigeria congo ghana and south africa approximately 35 per cent of the sample carbon dioxide emissions have fallen over the long run that is as these economies have grown emissions have fallen since the long run income elasticity is smaller than the short run elasticity we also examine the ekc hypothesis for panels of countries constructed on the basis of regional location using the panel cointegration and the panel long run estimation techniques we find that only for the middle eastern and south asian panels the income elasticity in the long run is smaller than the short run implying that carbon dioxide emission has fallen with a rise in income

estimating the environment kuznets curve hypothesis evidence from latin america and the caribbean countries this study explores the effect of economic growth gdp renewable energy consumption re and financial development fd on co2 emission co2 in latin america and caribbean countries to achieve this goal a panel co2 model was built over the period 1980 2010 the kao cointegration test results revealed that the variables are cointegrated the fully modified ols fmols results indicated an inverted u shape relationship between co2 and gdp thus confirming the environmental kuznets curve hypothesis furthermore fmols results also revealed that fd can improve environmental quality by its negative long run effect on co2 however re has no long run effect on co2 indicating that the re does not contribute to co2 reduction the vecm granger causality results revealed feedback causality between gdp re fd and co2 in both short and long run additionally granger causality results also revealed that re gdp and fd can be a good solution to reduce environmental damage since they have a causal effect on co2 this study shows the investigated countries should increase their banking loans on green energy energy efficiency and energy saving projects to reduce environmental damage in addition the above recommendation can increase the contribution of renewable energy in reducing environmental damage

an empirical examination of information differences of opinion and trading activity abstract we investigate the relations between trading volumes and our proxies for information flows and divergences in opinions we view s p 500 index futures open interest as a useful proxy for divergences of traders opinions and find that volumes are higher on days when open interest increases than on days with declines volume in individual equities is more closely related to firm specific information flows while equity basket volume is more closely associated with market information this differential impact is greatest for small capitalization stocks where market wide news has no explanatory power

economic growth and emissions reconsidering the empirical basis of environmental kuznets curves abstract recent empirical research indicates that certain types of emissions follow an inverted u or environmental kuznets curve ekc as income grows this regularity has been interpreted as a possible de linking of economic growth and patterns of certain pollutants for developed economies in this paper the empirical basis of this result is investigated by considering some statistical particularities of the various ekc studies performed it is argued that the inverted u relationship between income and emissions estimated from panel data need not hold for specific individual countries over time based on insights from intensity of use analysis in resource economics an alternative growth model is specified and estimated for three types of emissions co2 nox and so2 in four countries netherlands uk usa and western germany it is found that the time patterns of these emissions correlate positively with economic growth and that emission reductions may have been achieved as a result of structural and technological changes in the economy sustainable growth is defined as the rate of economic growth that does not lead to growth in emissions its rate is calculated for each type of emission and country based on estimated parameter values the resulting indicators reflect a balance between the positive influence of growth and negative influence of structural change and technological progress on emission levels

short interest and stock price crash risk abstract using a large sample of u s public firms we find robust evidence that short interest is positively related to one year ahead stock price crash risk the evidence is consistent with the view that short sellers are able to detect bad news hoarding by managers additional findings show that the positive relation between short interest and future crash risk is more salient for firms with weak governance mechanisms excessive risk taking behavior and high information asymmetry between managers and shareholders empirical support is provided showing that the relation between short interest and crash risk is driven by bad news hoarding

developments in the throughput income relationship theoretical and empirical observations abstract it has been suggested that the relationship between income and the associated environmental pressure in terms of derived materials inputs and pollution levels may take an inverted u shape indicating a delinking of environmental pressure from economic growth in relation to rising per capita incomes the likelihood of such a relationship being persistent is discussed in the context of a simple macro model of industrial metabolism and the possibility of relinking clearly emerges data on specific indicators of environmental pressure i e the throughput of materials energy and the volume of transport in 19 countries have been used to investigate patterns of delinking the results suggest that delinking may not be persistent already some advanced economies may be entering a new period of relinking the relationships between environmental pressure and welfare in the medium long term may be n shaped rather than inverted u shaped

the relationship between short interest and stock returns in the canadian market abstract this paper provides new insight into the relationship between short sales and stock market returns using a sample of stocks sold short in canada short interest is defined in relation to trading volume the results strongly support the assertion that short sales and excess returns are contemporaneously negatively correlated in canada the paper further finds that excess returns are more negative for small firms because the supply of shortable shares is constrained for these firms excess returns are less negative for stocks with associated options and convertible bonds importantly the evidence is consistent with the proposition that informed traders short sell canadian interlisted stocks in canada rather than the us to exploit lower execution costs together the results suggest that less restrictive regulation of short sales will improve the efficiency of markets

determinants of co2 emissions in a small open economy abstract the aim of the paper is to explore the relationship between economic development and carbon dioxide co2 emissions for a small open and industrialized country austria we test whether an environmental kuznets curve relationship also holds for a single country rather than concentrating on panel or cross section data for a set of countries a cubic i e n shaped relationship between gdp and co2 emissions is found to fit the data most appropriately for the period 1960 1999 and a structural break is identified in the mid seventies due to the oil price shock furthermore two variables are additionally significant import shares reflecting the well known pollution haven hypothesis and the share of the tertiary service sector of total production gdp accounting for structural changes in the economy emission projections derived from this single country specification support the widely held opinion that significant policy changes are asked for when implementing the kyoto protocol in order to bring about a downturn in future carbon emissions

economic growth energy conservation and emissions reduction a comparative analysis based on panel data for 8 asian pacific countries this study was conducted to evaluate the causality between energy consumption gdp growth and carbon emissions for eight asia pacific countries from 1971 to 2005 using the panel data the results indicate that there are long run equilibrium relationships between these variables additionally causality from energy consumption to co2 emissions was observed generally but there were some opposite relationships also parameter estimations of the panel data model indicate that there are great differences in the carbon emissions the efficiencies of energy use carbon emissions of unit gdp and unit energy consumption between developed and developing countries the base carbon emissions per capita energy consumption and efficiency of energy use in developing countries are far lower than in developed countries however the co2 emissions per unit of energy use is higher although developing countries may reduce their co2 emission per unit energy use total energy consumption will rise rapidly with economic development thus developing countries must determine how to undergo economic growth while conserving energy and reducing emissions to respond to global climate change it is necessary to develop innovative technology for energy use transform the energy structure and conduct the clean development mechanism

an admm based method for computing risk averse equilibrium in capacity markets uncertainty in electricity markets introduces risk for investors high fixed cost and increased dependency on infrequent and uncertain price spikes characterize investments the risk averse behavior of investors might lead to poor decision making and undermines generation adequacy electricity market models rarely treat the interaction of market design and risk aversion the representation of capacity mechanisms in modeling approaches focusing on risk aversion is limited our contribution addresses two problems first we propose a stochastic market equilibrium model investors are represented as risk averse agents the conditional value at risk is used as risk measure second we propose an algorithm based on the alternating direction method of multipliers to compute a risk averse equilibrium we benchmark our approach with a state of the art solver relying on a mixed complementarity problem reformulation we show that for larger case studies our proposed approach is preferable the algorithm converges in all cases while conventional solvers fail to compute a risk averse equilibrium the methodology is transferable to other risk averse equilibrium models with reference to capacity markets we conclude that they are more beneficial in a risk averse market capacity markets result in lower total cost while avoiding expected energy not served this statement still holds with increased price caps in energy only markets

investigation of the environmental kuznets curve for carbon emissions in malaysia do foreign direct investment and trade matter abstract environmental degradation has become a central issue of discussion among the economists and environmentalists in view of malaysia s position as one of the main contributors to co2 emissions in asia and its status as a fast growing economy it is vital therefore to conduct a study to identify the relationship between economic growth and co2 emissions for malaysia this study attempts to examine empirically the environmental kuznets curve hypothesis for malaysia in the presence of foreign direct investment and trade openness both in the short and long run for the period 1970 to 2008 the bounds testing approach and granger causality methodology are applied to test the interrelationships of the variables the results of our study indicate that the inverted u shaped relationship does exist between economic growth and co2 emission in both the short and long run for malaysia after controlling for two additional explanatory variables namely fdi and trade importantly the results of the study also provide some crucial policy recommendations to the policy makers

the dynamics of incentive contracts the paper studies a simple two period principal agent model in which the principal updates the incentive scheme after observing the agent s first period performance the agent has superior information about his ability the principal offers a first period incentive scheme and observes some measure of the agent s first period performance cost or profit which depends on the agent s ability and unobservable first period effort the relationship is entirely run by short term contracts in the second period the principal updates the incentive scheme and the agent is free to accept the new incentive scheme or to quit the strategies are required to be perfect and updating of the principal s beliefs about the agent s ability follows bayes rule the central theme of the paper is that the ratchet effect leads to much pooling in the first period first for any first period incentive scheme there exists no separating equilibrium second when the uncertainty about the agent s ability is small the optimal scheme must involve a large amount of pooling the paper also gives necessary and sufficient conditions for the existence of partition equilibria and looks at the effect of cost uncertainty

a market approach to long term security of supply the problem of ensuring that there is enough generation capacity to meet future demand has been an issue in market design since the beginning of the deregulation process although ideally the market itself should be enough to provide adequate investment incentives there are several factors that prevent this result from being achieved and some actual markets have already experienced problems related with a lack of generation capacity a regulatory framework to address this question is presented the procedure is based on an organized market where reliability contracts based on financial call options are auctioned so both their price and their allocation among the different plants are determined through competitive mechanisms this results in a stabilization of the income of the generators and provides a clear incentive for new generation investment with a minimum of regulatory intervention additionally the method represents a market compatible mechanism to hedge demand from the occurrence of high market prices

impacts of growth and structural change on co2 emissions of developing countries abstract carbon dioxide emissions the most significant greenhouse gas are growing at more rapid rates in developing economies relative to advanced economies this paper estimates the effects of the growth of gdp changes in industrial structure fuel mixes and energy efficiency on the carbon dioxide emissions of nine developing countries using a decomposition model policy implications for reducing emissions in the light of the findings are discussed

generation capacity expansion in a risky environment a stochastic equilibrium analysis we cast models of the generation capacity expansion type formally developed for the monopoly regime into equilibrium models better adapted for a competitive environment we focus on some of the risks faced today by investors in generation capacity and thus pose the problem as a stochastic equilibrium model we illustrate the approach on the problem of the incentive to invest agents can be risk neutral or risk averse we model risk aversion through the cvar of plants profit the cvar induces risk adjusted probabilities according to which investors value their plants the model is formulated as a complementarity problem including the cvar valuation of investments an illustration is provided on a small problem that captures several features of today s electricity world a choice often restricted to coal and gas units a peaky load curve because of wind penetration uncertain fuel prices and an evolving carbon market we assess the potential of the approach by comparing energy only and capacity market organizations in this risky environment our results can be summarized as follows a deterministic analysis overlooks some changes of capacity structure induced by risk whether in the capacity market or energy only organizations the risk neutral analysis also misses a shift towards less capital intensive technologies that may result from risk aversion last risk aversion also increases the shortage of capacity compared to the risk neutral view in the energy only market when the price cap is low this may have a dramatic impact on the bill to the final consumer the approach relies on mathematical programming techniques and can be extended to full size problems the results are illustrative and may deserve more investigation

fuel mix diversification incentives in liberalized electricity markets a mean variance portfolio theory approach monte carlo simulations of gas coal and nuclear plant investment returns are used as inputs of a mean variance portfolio optimization to identify optimal base load generation portfolios for large electricity generators in liberalized electricity markets we study the impact of fuel electricity and co2 price risks and their degree of correlation on optimal plant portfolios high degrees of correlation between gas and electricity prices as observed in most european markets reduce gas plant risks and make portfolios dominated by gas plant more attractive long term power purchase contracts and or a lower cost of capital can rebalance optimal portfolios towards more diversified portfolios with larger shares of nuclear and coal plants

a new environmental kuznets curve relationship between direct material input and income per capita evidence from industrialised countries abstract many studies have focused on the quantification of the input of materials into the economy however the insights provided by those studies have generally been limited this paper attempts to bring analytical value to the discussion on dematerialization considering direct material input dmi per capita as the dependent variable in a test of the environmental kuznets curve ekc the explanatory variable is as usual gross domestic product per capita the quadratic and cubic versions of the ekc are tested econometrically using panel data ranging from 1960 to 1998 for 16 industrialised countries the results indicate a strong and robust support for both the quadratic and cubic ekc relationships between material input and income in industrialised economies while the statistical support to both types of evolution may seem contradictory it suggests that as industrialised economies grow the intensity of material consumption first increases but eventually starts exhibiting a decreasing trend after a certain income threshold is reached the inverted u or quadratic relationship is confirmed even though for the ranges of income considered in this study the trend is mostly on the increasing part of the inverted u curve however the statistical support to the cubic specification suggests that these results need to be regarded with caution overall the statistically stronger models are the quadratic and cubic models with country random effects and the cubic model with country and year fixed effects

short selling and exchange traded funds returns evidence from the london stock exchange abstractan exchange traded fund etf is a security that tracks a basket of stocks an etf investor gains immediate exposure to the basket by taking either a long or short position on this instrument both hedgers and speculators can short etfs making the informational content of increases in etf short interest difficult to interpret using high frequency daily short interest data for etfs traded on the london stock exchange between june 2006 and april 2010 we examine the price impact on etfs of increases in short interest contrary to most of the previous empirical evidence for individual stocks we find that large increases in etf short interest are associated with subsequent over performance relative to a benchmark index and this pattern is most pronounced during pre financial crisis period

environment kuznets curve for co2 emissions a cointegration analysis for china abstract this study examines the long run relationship between carbon emissions and energy consumption income and foreign trade in the case of china by employing time series data of 1975 2005 in particular the study aims at testing whether environmental kuznets curve ekc relationship between co 2 emissions and per capita real gdp holds in the long run or not auto regressive distributed lag ardl methodology is employed for empirical analysis a quadratic relationship between income and co 2 emission has been found for the sample period supporting ekc relationship the results of granger causality tests indicate one way causality runs through economic growth to co 2 emissions the results of this study also indicate that the carbon emissions are mainly determined by income and energy consumption in the long run trade has a positive but statistically insignificant impact on co 2 emissions

economic growth and co2 emissions in malaysia a cointegration analysis of the environmental kuznets curve this paper attempts to establish a long run as well as causal relationship between economic growth and carbon dioxide co2 emissions for malaysia using data for the years from 1980 to 2009 the environmental kuznets curve ekc hypothesis was tested utilizing the auto regressive distributed lag ardl methodology the empirical results suggest the existence of a long run relationship between per capita co2 emissions and real per capita gross domestic product gdp when the co2 emissions level is the dependent variable we found an inverted u shape relationship between co2 emissions and gdp in both short and long run thus supporting the ekc hypothesis the granger causality test based on the vector error correction model vecm presents an absence of causality between co2 emissions and economic growth in the short run while demonstrating uni directional causality from economic growth to co2 emissions in the long run

short selling and common stock prices an analysis of overall market data and of individual companies traded on the nyse amex and otc markets indicates a positive but statistically insignificant relation between changes in short position and stock prices even after accounting for market movements and risk short sellers on average do not earn abnormal returns furthermore the relation between short selling and stock price does not seem to be materially affected by whether the stock is traded on the nyse or amex or over the counter the results provide strong evidence refuting the popular notion that short sellers earn abnormal profits at the expense of less informed traders short sellers do not appear to drive prices down through their short sales in fact if anything short sellers provide market liquidity by shorting into up markets and reducing short positions in down markets

information quality and options microstructure researchers have long understood that information quality has an effect on price formation in the underlying asset market however option researchers have largely ignored the fact that information quality might also impact the options market this article characterizes the nature of the impact by showing how option prices and implied volatility levels are related to the forward looking information quality path this result follows from a noisy rational expectations model that abandons the normal distribution in favor of the gamma distribution but maintains the standard assumption of exponential utility thus the new model bridges the gap between the microstructure literature that relies so heavily on the normal exponential framework and the options literature that relies exclusively on models that are consistent with the limited liability of stock prices the model s tractability allows for a robustness check against the standard framework and provides a viable setting for analyzing the empirical implications of information quality for the options market jel d8 gl

short seller influence on firm growth a threat rigidity perspective whereas most investors seek to maximize their investment there are some who profit from downward stock price movement engaging in such behavior is called short selling and it has increased con

energy consumption income and carbon emissions in the united states abstract this paper investigates the effect of energy consumption and output on carbon emissions in the united states earlier research focused on testing the existence and or shape of an environmental kuznets curve without taking energy consumption into account we investigate the granger causality relationship between income energy consumption and carbon emissions including labor and gross fixed capital formation in the model we find that income does not granger cause carbon emissions in the us in the long run but energy use does hence income growth by itself may not become a solution to environmental problems

revisiting the environmental kuznets curve hypothesis evidence from the asean 5 countries with structural breaks abstractthis paper tests if the environmental kuznets curve ekc hypothesis exists for asean 5 countries in an annual sample data that covers 1971 2013 by utilizing auto regressive distributed la