the heterogeneous dependence between global crude oil and chinese commodity futures markets evidence from quantile regression this paper explores the dependence between global crude oil and chinese commodity futures markets across different quantiles of the return distributions based on weekly data from 11 june 2004 to 7

the impact of regulation on technical change input based regulation restricts a firm s input choices to a subset of those that characterize the production technology the averch johnson hereafter a j 1962 hypothesis states that rate of return regulation affects a firm s input demands for producing its selected output level given that firms can select the level of innovations in inputs through research and development rate regulation can also impact a firm s selection of innovations among inputs regulation s influence on the choice of innovations also impacts the rate at which technical change occurs in an industry the a j hypothesis has been examined extensively in the literature the impact of regulation on technical change has received less attention in the literature and is the focus of this paper the subject matter is of some importance in that regulation via the a j hypothesis leads to higher production costs regulation s impact on a firm s selection of innovations can magnify or dampen the rate at which technical change occurs a magnification dampening of the rate of technical change leads to lower higher production costs in addition to regulation s impact on input demands regulation s impact on the rate of technical change can lead to small or large changes in prices for consumers regulators can use the information on regulation and technical change to evaluate the effectiveness of policies aimed at enhancing technical change by how much do the policies affect production costs and how much would consumer prices change due to the policies regulators can also use the information to predict the impact deregulation would have on consumer prices both regulators and consumers can attempt to determine the amount by which consumer prices would change under deregulation smith 1974 and okuguchi 1975 examined the impact of regulation on a firm s choice of innovations they showed theoretically that regulation can alter a firm s choice of innovations

the impact of regulation on input substitution and operating cost we investigate the impact of rate of return regulation on the substitutability between pairs of inputs where substitutability is measured using morishima elasticities of substitution mes and on operating cost theory does not provide a qualitative characterization of the impact of regulation on input substitutability although it does provide a basis for speculation we test our speculation using a 1977 87 panel of 20 u s interstate natural gas pipelines that were subject to rate of return regulation during the period we find that regulation increased the mes of each rate base input for the non rate base input and reduced the mes between the two rate base inputs and of the nonrate base input for each rate base input we also find that the

tail dependence risk exposure and diversification potential of islamic and conventional banks this paper undertakes a rolling window comparative analysis of risks for portfolios consisting of gcc islamic and conventional bank indices we draw our empirical results by employing canonical dr

parametric efficiency tests economies of scale and input demand in u s electric power generation duality theory has been applied increasingly in recent years to study the structure of production a major advantage of using duality theory is that systems of input demand equations can be derived by simple differentiation facilitating the use of flexible functional forms also use of duality theory makes it possible to choose a representation of the technology which has desirable properties for estimation such as exogeneity of the regressors however the use of a dual representation of production structure is appropriate only if the corresponding maintained hypothesis concerning economic behavior e g cost minimization or profit maximization is valid the perceived advantages of the dual approach to studying production structure have led to some applications in which the maintained hypothesis concerning economic behavior is unlikely to be appropriate for example neoclassical cost functions have been used to study the characteristics of production in regulated industries despite an extensive theoretical literature indicating that a profit maximizing regulated firm would not minimize costs subject to market prices 2 in this paper we propose a generalized cost function that retains the principal advantages of the neoclassical cost function but does not require that cost minimization subject to market prices be imposed as a maintained hypothesis in our model firms are assumed to base their production decisions on unobservable shadow prices which reflect the effects of regulation on the effective prices of inputs parametric tests for cost minimization are obtained by expressing shadow prices as functions of market prices the generalized cost function is estimated with data for regulated electric utilities the parametric restrictions corresponding to cost minimizing behavior subject to market prices are rejected implying that the use of a neoclassical cost function is not appropriate in this application 3

regional and copula estimation effects on eu and us energy equity portfolios the aim of this paper is to investigate the regional interdependence structure of energy equities in the us and in the eu based on weekly stock prices of 28 big energy firms in the two regions fro

the impacts of the clean air act on production cost and the substitution between inputs in the electric utility industry abstract the paper examines how having to comply with phase 1 of title iv of the 1990 clean air act affected production cost and the substitution between fuel and non fuel labor capital inputs phase 1 required firms to reduce their sulfur dioxide emissions enacting procedures to reduce sulfur dioxide emissions using lower sulfur content coal or other fuel sources could lead to higher cost and impact the substitution between fuel and non fuel inputs using a 1992 2000 panel of 34 u s electric utilities empirical results indicate that the procedures electric utilities enacted to comply with phase 1 contributed to small increases in both marginal cost and total cost firms having to comply with phase 1 were more willing than firms not subject to phase 1 to substitute from fuel to non fuel labor capital inputs following an increase in the price of fuel utilities subject to phase 1 that had a fuel clause were more willing than phase 1 firms without a fuel clause to substitute from non fuel inputs to fuel when the price of the non fuel input increased

the dependence of parametric efficiency tests on measures of the price of capital and capital stock for electric utilities this study tests whether various measures of the price of capital and capital stock will influence estimates of electric utility allocative efficiency parametric shadow values are estimated for fuel and capital prices and these values are tested against the hypothesis they are equal to unity the theoretically correct jorgenson type price for capital services results in rejecting the inefficiency hypothesis while a more simplified version of this price does not reject the efficiency hypothesis the exact measure of opportunity cost of capital discounted cash flow or capital asset price does not influence the efficiency conclusions copyright 1989 by blackwell publishing ltd

parametric analysis of cost inefficiency and the decomposition of productivity growth for regulated firms this paper examines the contributions of technical change scale economies regulation and efficiency on productivity growth in the interstate natural gas pipeline industry following bauer 1990 productivity growth for firms subject to regulation is decomposed into technical change scale economies regulation and efficiency components the data sample consists of 20 pipeline companies and covers the period 1977 to 1987 results indicate that scale economies cost inefficiency and regulation on average accounted for 64 16 and 4 of productivity growth respectively cost efficiency declined over the sample period most of which can be attributed to technical inefficiency

portfolio selection based on predictive joint return distribution a predictive joint return distribution can provide more useful information than moment based risk measures in portfolio selection this article develops a d vine copula caviar method to estimate an

nonparametric measurement of productive efficiency in the presence of regulation abstract during the late 1970s and 1980s volatility in the demand for natural gas in the united states created havoc in the industry s transmission sector managers of firms were presented with the task of improving productive efficiency in an uncertain and regulated industry we measure the relative performance of 20 pipelines using data envelopment analysis dea to produce a regulation constrained minimum cost frontier with the results we construct a fisher productivity index fpi results show that despite productive efficiency decline for most years most firms experienced improvement in technical efficiency and technical progress in most years most of the productive efficiency decline was due to scale diseconomies

global financial crisis and dependence risk analysis of sector portfolios a vine copula approach we use regular vine r vine canonical vine c vine and drawable vine d vine copulas to examine the dependence risk characteristics of three 20 stock portfolios from the retail manufacturing and gold mining equity sectors of the australian market in periods before during and after the 2008 2009 global financial crisis gfc our results indicate that the retail portfolio is less risky than the manufacturing counterpart in the crisis period while the gold mining portfolio is less risky than both the retail and manufacturing sector portfolios both the retail and gold stocks display a higher propensity to yield positively skewed returns in the crisis periods contrary to the manufacturing stocks the r vine is found to best capture the multivariate dependence structure of the stocks in the retail and gold mining portfolios while the d vine does it for the manufacturing stock portfolio these findings could be used to develop dependence risk and investment risk adjusted strategies for investment rebalancing and hedging which more adequately account for the downside risk in various market conditions

behavior of the firm under regulatory constraint a recent article by akira takayama discusses an earlier paper by harvey averch and leland l johnson on fair rate of return regulation of public utilities although takayama p 255 agrees with averch and johnson s general conclusions that a firm will tend to increase its investment with the introduction of an active constraint on its rate of return he criticizes the a j argument as being confusing ambiguous and in error takayama then attempts a clarification and presents a new formulation which leads to the a j result quoted above this comment will discuss several of takayama s criticisms in addition to showing that the so called a j effect cannot be derived from the basic assumptions made by both averch and johnson and takayama 1 we will show that the very assumptions used to prove the a j effect by defining the region of x require an assumption that the a j effect exists in the first place

profit productivity and price differential an international performance comparison of the natural gas transportation industry the objective of this paper is to evaluate the performance of natural gas transportation utilities focusing on the three key strategic performance measures of profit productivity and price differential we propose a methodology that expresses the three performance measures in a unified single equation using the edgeworth index the proposed methodology is applied to an international comparison of the performance of 28 natural gas transportation utilities operating in eight countries in which the business environments differ greatly the empirical results show the possible causes of performance differences and may shed some light on the direction of regulatory policy especially for developing countries that have relatively short histories in the natural gas industry such as korea

multivariate dependence and spillover effects across energy commodities and diversification potentials of carbon assets abstract in a first step we model the multivariate tail dependence structure and spillover effects across energy commodities such as crude oil natural gas ethanol heating oil coal and gasoline using canonical vine c vine copula and c vine conditional value at risk covar in the second step we formulate portfolio strategies based on different performance measures to analyze the risk reduction and diversification potential of carbon assets for energy commodities we identify greater exposure to losses arising from investments in heating oil and ethanol markets we also find evidence of carbon asset providing diversification benefits to energy commodity investments these findings motivate for regulatory adjustments in the trading and emission permits for the energy markets most strongly diversified by carbon assets

engineering and econometric interpretations of energy capital complementarity comment in a recent paper in this review ernst berndt and david wood provide a useful clarification of gross and net complementarity pointing out that energy and capital can be gross substitutes in a production subfunction and yet net complements in the aggregate production function using this theoretical proposition they attempt to reconcile the econometric findings of energy capital complementarity with other studies finding energy capital substitutability their reconciliation rests on the finding that those studies finding energy capital substitutability considered only capital k labor l and energy e by omitting materials m one obtains only a gross elasticity the net elasticity which allows for the additional substitution between the kle aggregate and m can indicate energy capital complementarity in fact klem studies generally find energy and capital complementarity the purpose of this comment is to question whether the net and the gross elasticity distinction provides such a reconciliation among the econometric results i agree that this explanation tends to reduce the disparity between the original berndt wood elasticity estimate and griffin gregory yet three independent sources of evidence suggest that the omission of m is not a sufficient explanation and probably not even a major explanation for the disparity of findings first the difference between the gross elasticity in a kle submodel and the net elasticity in a klem model depends critically on the elasticity of substitution between m and kle let us adopt the berndt wood notation and consider their mathematical example which demonstrates the possibility of gross capital energy substitutability as in the griffin gregory study with net capital energy complementarity

cost functions under production uncertainty we characterize the cost functions which would be consistent with expected utility maximization when production is uncertain it is not generally possible assuming risk aversion to use only expected output as the constraint in a cost minimization problem in some leading cases cost functions consistent with expected utility maximization are particularly useful because they are devoid of risk preferences

regulation efficiency and granger causality abstract this paper examines whether financial performance granger causes productive efficiency improvements in current period financial performance provide firms with funds to initiate changes that can enhance future period efficiency and profits returns to equity and the rate base are used as measures of financial performance data envelopment analysis is used to compute regulated farrell measures of cost technical and allocative efficiency the data sample is a panel of 20 us interstate natural gas pipeline companies from 1977 to 1987 results indicate that improvements in financial performance productive efficiency did not statistically contribute to enhancing productive efficiency financial performance

separability and capital aggregation in sectoral models of us production separability plays a fundamental role in applied studies of production inasmuch as it provides for consistent aggregation and allows multi stage estimation of models with many inputs this paper examines whether two types of capital structures and equipment are weakly separable from labour and energy and materials in sectoral models of us production and provides an assessment of the effects of maintaining capital separability the study focuses on the elasticity of substitution as a measure of input association and associated standard errors and confidence intervals based on bootstrapping elasticity estimates and tests indicate that capital separability is generally inconsistent with data representing sectoral us production elasticity sign however appears robust to capital aggregation and performs especially well as an indicator of input association

systematic effects of capital service price definition on perceptions of input substitution earlier attempts at reconciling disparate substitution elasticity estimates examined differences in separability hypotheses data bases and estimation techniques as well as methods employed to construct capital service prices although these studies showed that differences in elasticity estimates between two or three studies may be attributable to the aforementioned features of the econometric models they have been unable to demonstrate this link statistically and establish the existence of systematic relationships between features of the econometric models and the perception of production technologies generated by those models using sectoral data covering the entire production side of the u s economy we estimate 34 production models for alternative definitions of the capital service price we employ substitution elasticities calculated from these models as dependent variables in the statistical search for systematic relationships between features of the econometric models and perceptions of the sec

shephard s lemma and rate of return regulation abstract by counter example this paper shows that in general shephard s lemma cannot be used for the usual formulation of the rate of return regulated cost function a solution to the problem is supplied

food law and the internal market taking stock abstract the history of community food law is briefly traced the changes in policy which followed the difficulties encountered in vertical harmonization and the cassis de dijon case are described 1989 is identified as a turning point since the legal framework for community food law has now been agreed the future legislative programme is described as is the need for cooperation between member states and the commission through all processes from scientific assessment to control

are oil and gas stocks from the australian market riskier than coal and uranium stocks dependence risk analysis and portfolio optimization abstract this article models the dependence risk and resource allocation characteristics of two 20 stock coal uranium and oil gas sector portfolios from the australian market in the context of the global financial crisis of 2008 2009 the modeling framework implemented consists of pair vine copulas and linear and nonlinear portfolio optimization methods with respect to five risk measures the paper s objectives are to find out if the oil and gas stocks are riskier than the coal and uranium stocks to identify the optimization method and risk measure that produce the best risk return trade off to recognize the stocks in which the optimal weight allocations converge on average and to acknowledge the vine copula model that best accounts for the overall dependence of the energy portfolios the research findings indicate that the oil stocks have higher dependence risk than the coal uranium and gas stocks in financial crisis periods the higher risk of the oil stocks is confirmed by the larger concentration of symmetric and asymmetric dependence they have in the negative tail the canonical vine c vine copula model is observed to better capture the overall dependence of the energy portfolios the combination of a pair c vine copula and nonlinear portfolio optimization produces the highest return relative to risk the optimal weight allocations converge on average in some stocks