a dynamic real option based investment model for renewable energy portfolios this work proposes a dynamic model to devise the optimal risk averse investment policy in a portfolio of complementary renewable sources for a generation company in the brazilian power system the proposed method merges a static energy contracting model based on a hybrid robust and stochastic optimization approach with a mean reverting binomial lattice model for real option valuation the proposed merge extends previous works by providing support to risk averse investment decisions in complementary renewable sources dynamically distributed over time the most important results of the model are how much capacity to invest or build from each renewable source how much to sell from the energy portfolio in bilateral contracts and the optimal timing to invest unlike previous reported works our model takes into account three classes of uncertainties simultaneously renewable production of candidate sources and prices in the spot and contract markets a case study with realistic data from the brazilian power system is presented to illustrate the value of our model

analysis of the changing influences on traditional households ownership patterns abstract sociological and economic forces have begun to alter ownership patterns in ways not yet captured by movements in the aggregate ownership rate while demographic factors such as marital status and family structure remain influential in determining tenure choice their impact has waned particularly among the best educated households and those with rising real incomes labor market conditions as evidenced by increasing returns to skill are more strongly felt than ever before in the housing market the impact on owning of being highly educated now rivals the influence of being married with minor children increasingly delayed ownership is a reality even for traditional family units with 36 to 45 year old heads that have not prospered in the labor market the rising real cost of even relatively inexpensive suburban housing is also beginning to be reflected in a heightened impact for real family income on tenure choice finally race currently is more adversely influential in determining suburban ownership for young middle aged minority families than it was in 1960 particularly if the household head is not well educated we suspect this is due to racially disparate impacts of increasingly rigorous zoning regulations and higher impact fees in the suburbs

what explains wage gaps between farm and city exploring the todaro model with american evidence 1890 1941 nominal wage gaps between farm and city employment are one of the most pervasive aspects of modern economic growth so much so that they have become a key stylized fact of development economics indeed a good portion of the literature on the third world has focused on this problem at length both in terms of labor market behavior and in terms of policy formation in the face of factor market distortions yet wage gaps are not simply an institutional peculiarity of newly industrializing third world countries since they seem to have been even greater among nineteenthand twentieth century western nations while unskilled full time nominal city wages are about 41 higher than farm wages in the contemporary third world they were about 51 higher among late nineteenth century industrializers they were even higher in england in the 1830s about 73 2 furthermore the evidence suggests that these wage gaps vary substantially over time they rose from 29 to 41 in the american north between the antebellum and postbellum periods and were about 50 by the mid 1890s in the united states as a whole a figure that reached an all time u s high of about 65 by the late 1930s 3 there are three questions that these wage gaps raise not just one first would these nominal full time wage gaps disappear if they were properly measured proper measurement would include the fact that cities are more costly places to live that cities may have greater disamenities that farmers also make in kind payments to their workers and that farm laborers suffer seasonal underemployment elsewhere

financial risk management in a competitive electricity market this paper proposes solutions for electricity producers in the field of financial risk management for electric energy contract evaluation the efficient frontier is used as a tool to identify the preferred portfolio of contracts each portfolio has a probability density function for the profit for important scheduling policies closed form solutions are found for the amount of futures contracts that correspond to the efficient frontier production scheduling must consider resource constraints it is found that without resource constraints the portfolio with the highest expected profit can be preferred even for a risk averse decision maker when resource constraints are present portfolios not corresponding to the maximum expected profit criteria will more frequently be preferred

mixed pool bilateral operation part iii unbundling costs of trading services for pt ii see ibid vol 17 no 4 p 1184 90 2002 some of the various services provided under mixed pool bilateral electricity trading are i power to satisfy bilateral contract demand ii power for transmission losses and congestion management due to bilateral contracts iii power for transmission losses and congestion management due to wheeling contracts and iv power for transmission losses and congestion management due to pool demand a procedure is developed and tested to unbundle these mw services as well as their corresponding costs thus allowing the calculation of the average cost of each service comparison of the average and marginal costs serves to evaluate the relative profitability of each service the goal of these results is to help generator and load serving entities choose appropriate relative levels of pool versus bilateral trades while considering risk economic performance and physical constraints

a survey on risk averse and robust revenue management abstract many industries use revenue management to balance uncertain stochastic demand and inflexible capacity popular examples include airlines hotels car rentals retailing and manufacturing the classical revenue management approaches considered in theory and practice are based on two assumptions first demand as the only uncertain variable follows a known distribution and second risk neutrality justifies the maximization of expected revenue recently two related streams of literature emerged that do not need these assumptions research on risk averse revenue management acknowledges that in practice many decision makers are risk averse research on robust revenue management focuses worst case scenarios without a known demand distribution which is especially relevant for new and extremely unstable businesses this paper motivates the consideration of risk averse and robust revenue management we briefly introduce revenue managements two main methods capacity control and dynamic pricing in the classical risk neutral setting then we provide an exhaustive review of the literature on risk averse and robust capacity control and dynamic pricing in doing so the relevant decision criteria are briefly introduced finally possible avenues for future research are outlined

analysis of the nonlinear response of electricity prices to fundamental and strategic factors this paper seeks to characterize the nonlinear effects of exogenous factors on wholesale electricity price formation using a special type of regime switching the logistic smooth transition regression model we capture the mean reverting and spiky characteristics of spot prices and at the same time estimate their rather complex relationships to fundamentals we show that for different trading periods within the day prices can be a function of fundamentally different drivers in addition to including the usual fuel price demand and reserve margin drivers this analysis tests whether a market concentration variable is as significant in the high frequency context as it is known to be over the longer term the analysis is also innovative in testing the nonlinear influence of carbon emission trading

technical progress and outputs under variable returns to scale this paper analyzes the implications of three types of technical progress on outputs in a variable returns to scale framework it is shown that hicks ne utral technical improvement is ultra biased in production regardless of the direction and severity of the returns to scale the output eff ect of intensive factor saving technical progress is more ultra biase d relative to neutral progress regardless of the industrial pattern of returns to scale these results may break down if the system unde r variable returns to scale is unstable intensive factor using techn ical progress however may have any output effect copyright 1987 by the review of economic studies limited

reanalysis of nash equilibrium bidding strategies in a bilateral electricity market we reanalyze a bilateral electricity market model previously presented in where suppliers own multiple generators we clarify some implicit assumptions in the model and prove that under one detailed specification of the assumptions the previously suggested nash equilibria for the model are inconsistent with the definition of nash equilibrium we discuss the implications and comment on the relationship to multiple unit auction theory

discrete time mean cvar portfolio selection and time consistency induced term structure of the cvar abstract we investigate a discrete time mean risk portfolio selection problem where risk is measured by the conditional value at risk cvar a substantial challenge is the combination of a time inconsistent objective with an incomplete and dynamic model for the financial market we are able to solve this problem analytically by embedding the original time inconsistent problem into a family of time consistent expected utility maximization problems with a piecewise linear utility function the optimal investment strategy is a fully adaptive feedback policy and the cumulated amount invested in the risky assets is of a characteristic v shaped pattern as a function of the current wealth for the incomplete discrete time market considered herein the mean cvar efficient frontier is a straight line in the mean cvar plane and thus economically meaningful this contrasts the complete continuous time setting where the mean cvar efficient frontier is degenerate or does not exist at all we further solve an inverse investment problem where we investigate how mean cvar preferences need to adapt in order for the pre committed optimal strategy to remain optimal at any point in time our result shows that a pre committed mean cvar investor behaves like a naive mean cvar investor with a time increasing confidence level for the cvar who revises the investment decision at every point in time finally an empirical application of our results suggests that risk measured by the cvar might help to understand the long standing equity premium puzzle

risk constrained portfolio selection of renewable sources in hydrothermal electricity markets renewable sources have recently emerged as a generation option for many countries in order to promote clean energy development in the case of brazil small hydro plants and cogeneration from sugarcane waste bagasse have been attractive alternatives during the past years with hundreds of mw installed since 2004 despite their advantages both alternatives are hindered by seasonal yet complementary availability this forces producers to discount or price the risks faced when selling firm energy contracts and may ultimately lead to projects being commercially unattractive we propose a stochastic optimization model that defines the optimal composition of a portfolio based on these two renewable sources in order to maximize the revenue of an energy trading company at the same time this model mitigates hydrological and fuel unavailability risks thus allowing the participation of both sources in the forward market environment in a competitive manner a case study is presented based on data from the brazilian system

forward contracting and selling price determination for a retailer to procure the electric energy to be sold to its clients a retailer has to face two major difficulties while buying electric energy it must cope with uncertain pool prices or sign forward contracts at higher average prices while selling electricity it should handle the uncertainty of the end user demand and the fact that customers might choose a different retailer if the selling price is not competitive enough we propose a risk constrained stochastic programming framework to decide which forward contracts the retailer should sign and at which price it must sell electricity so that its expected profit is maximized at a given risk level the developed model takes into account the elastic behavior of end users with respect to the selling price offered by the retailer a realistic case study illustrates the methodology proposed

optimal price and quantity determination for retail electric power contracts considering the viewpoint of a retailer this paper analyzes the problem of setting up contracts on both the supplier and end user sides to maximize profits while maintaining an acceptable level of settlement risk the proposed stochastic optimization model can assist retailers with these efforts and guide them in their contractual arrangements a realistic example illustrates the capabilities of the methodology proposed

nash equilibrium bidding strategies in a bilateral electricity market this paper examines bidding strategies in a bilateral market in which generating companies submit bids to loads a load accepts electricity delivery from the generator with the lowest bid at its bid price as long as this price is not higher than the load s willingness to pay necessary and sufficient conditions of nash equilibrium ne bidding strategy are derived based on a generic generating cost matrix and the loads willingness to pay vector the study shows that in any ne efficient allocation is achieved furthermore all nash equilibria are revenue equivalent for the generators based on the necessary and sufficient conditions this problem is formulated as an optimal assignment problem network optimization techniques are applied to calculate ne bid prices for the generators

caught in the housing bubble immigrants housing outcomes in traditional gateways and newly emerging destinations research has documented that immigrants have moved in large numbers to almost every metropolitan area and select rural areas in the us in the midst of these demographic shifts the country has experienced a profound recession to date there has been little research on the impact of the recession on immigrants across the us using 2006 and 2009 american community survey microdata the paper assesses how the recent economic crisis has affected latino and asian immigrants with respect to two housing outcomes homeownership and headship over two important time points in the recent economic cycle immigrants have worse housing outcomes and significantly lower mobility rates after the recession regression results suggest that the negative impacts from the recession are strongest in the gateway metropolitan areas and that after controlling for residence in the hardest hit areas increases in metropolitan level unemployment and mortgage delinquency rates have a negative impact on homeownership rates the results also suggest that even though the recession has disrupted immigrants upward trajectory in the housing markets the effect has not been as severe on immigrants as one might expect in particular the places where immigrant populations are newest have not experienced as large a reduction in homeownership as those in the large immigrant gateways even in the established gateways the decline in homeownership has been smaller for immigrants than for us born households

welfare gains from capital inflows under import quotas abstract the presence of tariffs was assumed in the literature which examined the effect of additional foreign investment on the welfare of the host country in the small country setting however this paper analyzes the case of import quotas and shows that additional inflows of foreign capital improve the host country s welfare when import quotas are kept constant

oil prices and rural migration the dutch disease goes south abstract we construct a two period general equilibrium model to evaluate policies affecting agricultural migration and exports the model is applied to mexico for the period 1986 1987 to obtain certain qualitative policy conclusions related to the dutch disease brought about by oil price increases dutch disease phenomena can be brought about both as the result of real exchange rate changes as well as price changes caused by migration out of agriculture in the short run it may be possible to use fiscal policy such as value added subsidies to agriculture to at least partially negate the effects of an oil price increase on agricultural exports jel f31 f41

technical progress terms of trade and welfare under variable returns to scale the implications of variable returns to scale vrs have been extensively studied by trade theorists e g batra 1968 jones 1968 kemp and negishi 1970 and eaton and panagariya 1979 it is however notable that virtually no efforts have been made to examine the welfare implications of growth for an open economy in the presence of vrs the only exception is a recent study by eaton and panagariya 1982 they derived sufficient conditions for growth rising either from factor accumulation or technical progress to improve the welfare of a small country characterized by vrs 1 the purpose of this paper is to analyse the welfare implications of economic growth identified specifically with hicks neutral technical progress for a small as well as a large country in the presence of vrs we obtain several alternative sufficient conditions for growth to be welfare increasing in addition the effects of growth on the terms of trade in the case of a large country as well as the effect of technical progress in both countries on the terms of trade are examined

financial bilateral contract negotiation in wholesale electricity markets using nash bargaining theory bilateral contracts are important risk hedging instruments constituting a major component in the portfolios held by many electric power market participants however bilateral contract negotiation is a complicated process as it involves risk management strategic bargaining and multi market participation this study analyzes a financial bilateral contract negotiation process between a generation company and a load serving entity in a wholesale electric power market with congestion managed by locational marginal pricing nash bargaining theory is used to model a pareto efficient settlement point the model predicts negotiation outcomes under various conditions and identifies circumstances in which the two parties might fail to reach an agreement both analysis and simulation are used to gain insight regarding how these negotiation outcomes systematically vary in response to changes in the participants risk preferences and price biases

risk constrained ftr bidding strategy in transmission markets in electricity markets financial transmission right is an important instrument for hedging congestion charges there are two types of financial transmission rights point to point right ftr and flow based right fgr this paper proposes a risk constrained ftr bidding strategy in transmission auction markets based on the forecasted lmp differences between sink and source points of certain ftrs bidders try to maximize their expected payoffs by taking into account the associated risks supposing the forecasted distribution of lmp differences and bidders risk preferences are known to respective bidders the ftr bidding problem is modeled as a bilevel optimization with the upper subproblem representing bidders and the lower subproblem representing the solution to the iso s ftr market clearing problem for maximizing the revenues collected from the ftr auction the bilevel optimization problem is solved by developing the sensitivity of a bidder s expected utility with respect to its bidding strategy a three bus system with four bidders is considered for illustrating the proposed method the numerical results discuss the distinction between ftr obligation and ftr option bidding strategies the results further demonstrate the impact of contingency constraints forecasted lmp differences and bidders preferred risk levels on ftr bidding strategies

immigration and economic resilience in the great recession the 2007 2009 financial crisis has caused economic disruption in many us cities and has drawn considerable academic attention despite abundant evidence of immigrants economic and social value to

variable returns to scale urban unemployment and welfare the proposition that free trade is superior to no trade has a classical ancestry adam smith and ricardo were amongst the first proponents of free trade samuelson 26 proved and it is held by economists today that free trade is the optimal policy in the presence of standard paretoconditions it is also generally agreed amongst economists that lower trade intervention is superior to higher trade intervention given competitive conditions in a small country these propositions do not hold however in the presence of factor market imperfections such as wage differentials in a small country and therefore production or wage subsidies improves social welfare the two models which are generally used to investigate the positive as well as normative aspects of trade theory in the presence of unemployment are the uniform real minimum wage model which is based on the assumption of general rigidity of real wage in one or two sectors of production and the sector specific minimum wage model which focuses on the phenomenon of rural urban migration in the face of large scale urban unemployment these two models are commonly utilized by trade theorists to analyze trade and unemployment specifically studies by haberler 13 johnson 16 batra and seth 3 findlay 12 and brecher 6 7 investigate the consequences of rigid factor prices for a small country whereas the normative as well as positive aspects of sector specific unemployment have been explored by harris and todaro 15 bhagwati and srinivasan 4 5 and more recently by batra and naqvi 2 das 10 and kahn 19 it has been correctly observed that the introduction of an exogenously specified real minimum wage among other things generates unorthodox results concerning unemployment and gains from trade a large body of research has also been concerned with the welfare implications of different commercial policies in the context of variable returns to scale kemp and negishi 20 have pointed out the beneficial effects of trade in the presence of variable returns to scale production subsidy and consumption taxes eaton and panagariya 11 have analyzed the question of gains from trade in the presence of variable returns to scale and in the context of pareto welfare criterion whereas choi and yu 8 have examined the welfare implications of tariffs and consumption taxes as well as the welfare rankings of these policies under variable returns to scale while panagariya and succar 25 have modified the necessary and sufficient conditions for stability under increasing returns to scale in urban sector

immiserizing growth for a quota distorted small economy under variable returns to scale the authors demonstrate that growth of a small open economy distorted by import quotas in contrast to the case of tariffs improves welfare when the industries display identical variable or constant returns to scale furthermore growth cannot reduce welfare if the industry that experiences technical progress exhibits a greater returns to scale than the static industry conversely if the dynamic sector displays a smaller returns to scale than the static sector growth of a quota distorted small economy can be immiserizing the authors results are independent of whether hicks neutral technical progress occurs in the importable or the exportable sector

dynamic sampling algorithms for multi stage stochastic programs with risk aversion we consider the incorporation of a time consistent coherent risk measure into a multi stage stochastic programming model so that the model can be solved using a sddp type algorithm we describe the implementation of this algorithm and study the solutions it gives for an application of hydro thermal scheduling in the new zealand

a multistage linear stochastic programming model for optimal corporate debt management abstract large corporations fund their capital and operational expenses by issuing bonds with a variety of indexations denominations maturities and amortization schedules we propose a multistage linear stochastic programming model that optimizes bond issuance by minimizing the mean funding cost while keeping leverage under control and insolvency risk at an acceptable level the funding requirements are determined by a fixed investment schedule with uncertain cash flows candidate bonds are described in a detailed and realistic manner a specific scenario tree structure guarantees computational tractability even for long horizon problems based on a simplified example we present a sensitivity analysis of the first stage solution and the stochastic efficient frontier of the mean risk trade off a realistic exercise stresses the importance of controlling leverage based on the proposed model a financial planning tool has been implemented and deployed for brazilian oil company petrobras

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

capital markets urban unemployment and land abstract this paper shows that the remarkable result by khan and naqvi that a reduction in the capital rental differential always improves welfare despite the presence of a rigid urban wage can be obtained only for the 2 2 harris todaro model in an extended harris todaro framework incorporating a third specific factor a decrease in a distortion may not necessarily be welfare improving

negotiating bilateral contracts in electricity markets in mixed pool bilateral electricity markets participants can sign forward bilateral contracts several months in advance of its delivery in addition generators may sell to and loads may buy from the pool at the spot price through the day ahead or balancing markets forward bilateral contracts have the advantage of price predictability in comparison with the uncertain spot price however the risk is that such a contract commits the partners to a price that may be disadvantageous compared to the spot price here we propose a systematic negotiation scheme through which a generator and load can reach a mutually beneficial and risk tolerable forward bilateral contract either physical or financial under this approach the generator and load respond rationally to a stream of bilateral bids counter bids and offers counter offers considering their respective benefits while accounting for the risks incurred by the prediction uncertainty in the pool spot price and other market parameters over the length of the contract each negotiating party can choose its own definition of risk which can be influenced by regret value at risk or dispersion from the mean numerical tests show that this flexible negotiating approach can be readily put into practice

oligopolistic competition and economic welfare a general equilibrium analysis of entry regulation and tax subsidy schemes abstract two contributions to the general equilibrium analysis of an oligopolistic economy with free entry are intended first we generalize the excess entry theorem to the effect that a marginal decrease in the number of oligopolistic firms from the free entry equilibrium level improves economic welfare second we explore the pareto improving tax subsidy schemes in an oligopolistic economy several self financing and pareto improving tax subsidy schemes will be identified in contrast with the preceding analysis by atkinson and stiglitz which focused on the long run incidence of corporate taxation we analyse the short run as well as long run welfare implications of various policies under generalized conditions

combined pool bilateral dispatch i performance of trading strategies this three paper series deals with the dispatch of power networks under mixed pool bilateral trading the major questions examined are i to what degree does the relative level of pool versus bilateral trading influence performance in terms of individual power levels costs prices revenues and expenditures ii what is the comparative performance of mixed trading with firm and nonfirm bilateral contracts under various curtailment strategies and iii is the revenue derived from the pool and bilateral trading consistent with the corresponding unbundled costs the above issues are sequentially addressed in each of the three parts the eventual goal of these results is to help generator and load serving entities choose appropriate relative levels of pool versus bilateral trades while considering risk economic performance as well as physical constraints this paper proposes a one step optimal power flow model that dispatches the pool in combination with the privately negotiated bilateral contracts while minimizing cost and accounting for both losses and congestion in part i notions of pool bilateral demand and generation as well as a number of technical and economic performance measures for each competing entity are defined this dissection of total and individual financial measures according to pool or bilateral trading allows the market participant to evaluate the profitability of each component of its chosen pool bilateral mix a number of simulation results illustrate the effect of varying the relative levels of pool bilateral trading on the values of individual performance measures

priority service pricing investment and market organization tingent forward delivery contracts offered by a seller each customer s selection of one contract from the menu determines the customer s service order or priority in each contingency the seller rations supplies by serving customers in order of their selected priorities until the supply is exhausted or all customers are served various forms of priority service are widely

a garch forecasting model to predict day ahead electricity prices price forecasting is becoming increasingly relevant to producers and consumers in the new competitive electric power markets both for spot markets and long term contracts price forecasts are necessary to develop bidding strategies or negotiation skills in order to maximize profits this paper provides an approach to predict next day electricity prices based on the generalized autoregressive conditional heteroskedastic garch methodology that is already being used to analyze time series data in general a detailed explanation of garch models is presented and empirical results from the mainland spain and california deregulated electricity markets are discussed

wholesale marginal prices in competitive generation markets wholesale marginal electricity prices are being used in several actual competitive generation markets worldwide both to remunerate generators and to charge consumption these prices must account not only for energy but also for guarantee of supply in the long and the short term this paper a provides a sound conceptual and quantitative foundation for wholesale pricing based on generation services where any existing restrictions in operation or planning in real power markets are accounted for b clearly establishes the relationship between short term marginal costs long term marginal costs and optimal wholesale electricity prices and c identifies the reasons for mismatches in cost recovery with marginal generation prices the theoretical results are verified with a detailed realistic power system model

urban unemployment and the gains from trade a welfare ranking of alternative commercial policies is constructed for the mobile capital harris todaro economy it is sh own that despite the presence of unemployment most noninterventioni st policies suggested by the competitive model of gains from trade ca rry over to the mobile capital harris todaro economy yet in contradi ction to the competitive model it is shown that all forms of trade i ntervention are not detrimental to welfare only those that reduce th e volume of trade are the export promotion policies so copiously fol lowed by developing countries are vindicated but their import substi tution policies are shown to be without justification copyright 1987 by the review of economic studies limited

electricity pool prices a case study in nonlinear time series modelling this paper considers modelling the behaviour of prices in the english and welsh wholesale electricity pool since the creation of this spot market in 1990 the process turns out to be nonlinear and a logistic smooth transition autoregressive model is fitted and shown to be superior to a linear alternative the behaviour of the estimated model is discussed and it is seen that nonlinearity is needed to describe the institutional characteristics and historical path of pool prices

stochastic factor model for electricity spot price the case of the nordic market this paper presents a stochastic factor based approach to mid term modeling of spot prices in deregulated electricity markets the fundamentals affecting the spot price are modeled independently and a market equilibrium model combines them to form spot price main advantage of the model is the transparency of the generated prices because each underlying factor and the dynamics between factors can be modeled and studied in detail paper shows realistic numerical examples on the forerunner scandinavian electricity market the model is used to price an exotic electricity derivative

flexible lease contracts in the fleet replacement problem with alternative fuel vehicles a real options approach abstract we study the use of flexible lease contacts in the fleet portfolio management problem of a firm that aims to minimize its cost and risk recursive expected conditional value at risk simultaneously in a stochastic multi period setting by deciding which technologies to use in its fleet we propose a model using real options return and swap to model contract flexibility and to account for different uncertainties co2 prices fuel prices mileage covered by a vehicle fuel consumption and technological we analyse how fuel price uncertainty and technological progress influence the value of the options we validate the results using a real world case study conducted in the uk

a nash approach to planning merchant transmission for renewable resource integration major transmission projects are needed to integrate and to deliver renewable energy re resources cost recovery is a serious impediment to transmission investment a negotiation methodology is developed in this study to guide transmission investment for re integration built on nash bargaining theory the methodology models a negotiation between an re generation company and a transmission company for the cost sharing and recovery of a new transmission line permitting delivery of re to the grid findings from a six bus test case demonstrate the pareto efficiency of the approach as well as its fairness in that it is consistent with one commonly used definition of fairness in cooperative games the nash cooperative solution hence the approach could potentially be used as a guideline for re investors the study also discusses the possibility of using re subsidies to steer the negotiated solution towards a system optimal transmission plan that maximizes total net benefits for all market participants the findings suggest that re subsidies can be effectively used to achieve system optimality when re prices are fixed through bilateral contracts but have limited ability to achieve system optimality when re prices are determined through locational marginal pricing this limitation needs to be recognized in the design of re subsidies

trade liberalization in oligopolistic competition with unemployment a general equilibrium analysis this paper examines the short and long run effects of partial trade liberalization through relaxation of quantity restrictions in an oligopolistically competitive economy with unemployment while the short run effects of the liberalization policy are ambiguous its long run impacts are clear the policy dampens the price of the imported goods raises firms output and reduces the number of firms furthermore the policy lowers the unem ployment ratio and hence improves welfare when the economy suffers from sector specific unemployment whereas the policy may aggravate underemployment and thus may lower welfare for a labour surplus economy

time consistency and risk averse dynamic decision models definition interpretation and practical consequences abstract this paper aims at resolving a major obstacle to practical usage of time consistent risk averse decision models the recursive objective function generally used to ensure time consistency is complex and has no clear direct interpretation practitioners rather choose a simpler and more intuitive formulation even though it may lead to a time inconsistent policy based on rigorous mathematical foundations we impel practical usage of time consistent models as we provide practitioners with an intuitive economic interpretation for the referred recursive objective function we also discourage time inconsistent models by arguing that the associated policies are sub optimal we developed a new methodology to compute the sub optimality gap associated with a time inconsistent policy providing practitioners with an objective method to quantify practical consequences of time inconsistency our results hold for a quite general class of problems and we choose without loss of generality a cvar based portfolio selection application to illustrate the developed concepts

coordination and uncertainty in strategic network investment case on the north seas grid abstract the notion of developing a transnational offshore grid in the north sea has attracted considerable attention in the past years due to its potential for substantial capital savings and increased scope for cross border trade sparking a european wide policy debate on incentivizing integrated transmission solutions however one important aspect that has so far received limited attention is that benefits will largely depend on the eventual deployment pattern of electricity infrastructure which is currently characterized by severe locational sizing and timing uncertainty given the lack of coordination between generation and network developments across europe there is a real risk for over investment or a premature lock in to options that exhibit limited adaptability in the near future important choices that have to be made concerning the network topology and amount of investment in this paper we identify the optimal in terms of reduced cost network investment including topology in the north seas countries under four deployment scenarios and five distinct policy choices differing in the level of offshore coordination and international market integration by drawing comparisons between the study results we quantify the net benefit of enabling different types of coordination under each scenario furthermore we showcase a novel min max regret optimization model and identify minimum regret first stage commitments which could be deployed in the near future in order to enhance strategic optionality increase adaptability to different future conditions and hence reduce any potential sub optimality of the initial network design in view of the above we put forward specific policy recommendations regarding the adoption of a flexible anticipatory expansion framework for the identification of attractive investment opportunities under uncertainty

unemployment and foreign capital the relative opportunity costs of domestic labour and welfare the consequences of increased foreign capital for an economy with unemployment are analyzed under different assumptions that influence the relative oportunity costs of domestic labor the investigation suggests that the implications of the literature on the welfare effect of increased foreign capital are misleading the paper shows that welfare gains result from increased foreign capital if the opportunity costs of labor are sufficiently low relative to the wages earned by laborers employed by new foreign capital a number of cases where this occurs are presented the findings of the paper suggest that cases where increased foreign capital must be welfare harming represent extreme parameterizations in the set of possibilities copyright 1991 by the london school of economics and political science

hedging local volume risk using forward markets nordic case abstract with focus on the nordic electricity market this paper develops hedging strategies for an electricity distributor who manages price and volume risk from fixed price agreements on stochastic electricity load whereas the distributor trades in the spot market at area prices the financial contracts used for hedging are settled against the system price area and system prices are correlated with electricity load as are price differences in practice however this is often disregarded here we develop a joint model for the area price the system price and the load accounting for correlations and we suggest various strategies for hedging in the presence of local volume risk we benchmark against a strategy that ignores correlation and hedges at expected load as is common practice in the industry using data from 2013 and 2014 for two danish bidding areas we show that our best hedging strategy reduces gross loss by 5 8 and 13 6 and increases gross profit by 3 8 and 9 5 respectively although this is partly due to the inclusion of correlation we show that performance improvement is mainly driven by the choice of risk measure

forecasting power prices using a hybrid fundamental econometric model we investigate the performance of two hybrid forecasting models to predict the next day base load electricity prices on the apx power exchange for great britain hybrid models have often been advocated as a synthetic method for forecasting but it is an open question how well they perform at the day ahead stage a conventional hybrid approach combines a fundamental model formulated with supply stack modeling with an econometric model using data on price drivers we extend this model to one based upon logistic smooth transition regression which represents a regime switching for periods of structural change empirical results for out of sample forecasting using both hybrid approaches are discussed and compared to non hybrid time series forecasting methods

the theory of tariffs under variable returns to scale and inter industrial externalities the theory of nominal tariff in general and the well known metzler paradox in particular have been rigorously developed by metzler 14 jones 13 johnson 12 and batra 1 ch 5 among others the analysis has been typically conducted under the strong assumption that the economy is devoid of any inter industrial and or intra industrial externalities some aspects of inter industrial externalities which have played a major role in the development of welfare economics in the past three decades have been explored by chang 3 and herberg kemp and tawada 11 and the implications of intra industrial variable returns to scale which are external to the firms have been examined by eaton and panagariya 7 8 panagariya 9 parai 10 choi and yu 4 5 and beladi 2 many of the standard trade theories have been shown to be significantly affected by the presence of either type of the externalities it is notable that the implications of the externalities for the tariff theory however have not been studied the purpose of this paper thus is to examine several aspects of the standard theory of tariffs in a framework allowing various production externalities specifically we will explore the effects of a change in the tariffs and or the terms of trade on the import demand as well as the effects of tariff on the terms of trade and the domestic price ratio several interesting results emerge from this analysis for example in contrast to the conventional results an improvement in the terms of trade for a given tariff may dampen the import demand and a higher tariff for a given terms of trade may raise it an increase in the tariff rate need not improve the terms of trade and hence may raise the domestic price ratio of the importable good by more than the tariff rate although the presence of inter industrial and intraindustrial externalities does not affect the sufficient condition for the metzler paradox it does modify a necessary condition for the paradox this paper is organized as follows section ii delineates the assumptions and the model section iii examines the effects of tariffs and or the terms of trade on import demands section iv

econometric modeling of regional electricity spot prices in the australian market abstract wholesale electricity markets are increasingly integrated via high voltage interconnectors and inter regional trade in electricity is growing to model this we consider a spatial equilibrium model of price formation where constraints on inter regional flows result in three distinct equilibria in prices we use this to motivate an econometric model for the distribution of observed electricity spot prices that captures many of their unique empirical characteristics the econometric model features supply and inter regional trade cost functions which are estimated using bayesian monotonic regression smoothing methodology a copula multivariate time series model is employed to capture additional dependence both cross sectional and serial in regional prices the marginal distributions are nonparametric with means given by the regression means the model has the advantage of preserving the heavy right hand tail in the predictive densities of price we fit the model to half hourly spot price data in the five interconnected regions of the australian national electricity market the fitted model is then used to measure how both supply and price shocks in one region are transmitted to the distribution of prices in all regions in subsequent periods finally to validate our econometric model we show that prices forecast using the proposed model compares favorably with those from some benchmark alternatives

tariffs foreign capital and immiserizing growth with urban unemployment and specific factors of production abstract in this note we show that a recent observation of brecher alejandro as regards tariff induced capital inflows essentially extends to a setting with urban unemployment three factors of production and a variety of labor market conditions in the urban sector

risk assessment in energy trading this paper provides a state of the art summary of risk assessment in energy trading techniques from financial engineering are needed by electric energy companies to manage price risk these tools are needed by suppliers distributors and traders in a competitive electric power marketplace tools that have been adapted to the specific environment of the electric power system include portfolio analysis and hedging instruments this paper provides a comprehensive critical literature survey of what has been applied to date in the power markets and which areas continue to need additional research one example market scenario is used throughout the paper to demonstrate the usefulness of the risk assessment methods

misleading comparisons of homeownership rates when the variable effect of household formation is ignored explaining rising homeownership and the homeownership gap between blacks and asians in the us despite ominous signs of housing market stress in the us the homeownership rate reached an all time high in 2006 the conventional definition of homeownership which is based on the share of households and ignores the effects of variable household formation confounds the measurement of success in achieving homeownership it is found that from 1990 to 2006 declining household formation led to an elevated homeownership rate in the us and that this effect varies substantially between racial ethnic groups asians who achieve high homeownership rates have the lowest propensity to form independent households in sharp contrast to african americans asians do not have better access per capita to owner occupied housing than do blacks the conventional measure of homeownership is an incomplete measure of homeownership opportunity because it fails to account for variable household formation the changing population mix in the us includes groups with different propensities for household formation thus confusing future assessments of homeownership and the housing market

monopolistic competition nonhomotheticity and the stability of the chamberlinian tangency solution the focal point in the recent literature on international trade and monopolistic competition is to recast the chamberlinian partial equilibrium theory in a general equilibrium framework using a similar setting this paper asks whether the chamberlinian tangency solution is stable under general equilibrium paradoxical results follow when entry occurs profit per firm can increase and the tangency solution can be unstable a necessary and sufficient condition for stability is obtained the concepts of average and marginal factor intensities play an important role in obtaining the stability copyright 1990 by economics department of the university of pennsylvania and the osaka university institute of social and economic research association

a hybrid system econometric model for electricity spot prices considering spike sensitivity to forced outage distributions with the current trend in deregulation all electricity markets have been subject to volatile electricity prices typically in peak season as markets mature new financial and operational risk management instruments are becoming available in order to price such instruments a model for the underlying price process is required in this paper a hybrid model is described that contains aspects of the power system as well as the historical time series of spot prices observed in the market by including both aspects of the problem a model with both economic and system based aspects is created its modular design allows easy adaptation to different markets based on generating system reliability load patterns and price histories the spot price histories are manifest in two probability distributions for these prices whereas the system specifics are included via load and generation models which are calibrated to the climate and system of interest

tariffs quotas and voluntary export restraints with and without internationally mobile capital this paper presents a general framework for comparing the effects of tariffs quotas and vers voluntary export restraints both with and without international capital mobility expressions for the shadow price of foreign exchange and the shadow price of capital under each type of trade restriction are derived and it is shown that although international capital mobility raises the welfare cost of tariff protection it lowers the welfare cost of quantitative restrictions in most cases the effects of exogenous shocks in the presence of quotas are intermediate between those in the presence of tariffs and those in the presence of vers tarifs douaniers contingentements et restrictions volontaires d l exportation quand le capital est ou n est pas mobile internationalement l auteur presente un cadre general d analyse qu il utilise pour comparer les effets de tarifs douaniers de contingentements et de restrictions volontaires a l exportation dans des contextes ofu le capital est ou n est pas mobile internationalement l auteur derive le prix fictif du change etranger et le prix fictif du capital sous l un et l autre types de restrictions au commerce et montre que meme si la mobilite internationale du capital augmente le cofut en terme de bien etre de la protection tarifaire elle reduit le cofut en terme de bien etre des restrictions sur les quantites echangees dans tous les cas les effets de chocs exogenes quand des contingentements existent sont toujours dans la fourchette entre ceux qu on observe quand des tarifs douaniers existent et ceux qui prevalent quand des restrictions volontaires i l exportation existent

hedging with futures contracts in a deregulated electricity industry this paper is a statistical study of direct and cross hedging strategies using futures contracts in an electricity market a comparison of the strategies is based on the standard deviation or risk of the values of the hedging positions results indicate that the use of electricity futures contracts is superior to using other related futures contracts such as crude oil

protection and the gainful effects of foreign capital abstract an increased foreign capital inflow into a protected sector is generally immiserizing we show that if the protected sector produces an intermediate input positive welfare effects may emerge a striking result is that it might lead to an increased import demand for the intermediate input which is a substitute for the product of the import competing sector

the economic determinants of young people s household formation the paper derives predictions about the impact of the price of housing young adults income and parental income on the probability that a young adult in the united kingdom lives apart from his her parents it shows that the predicted effect of the price of housing is intimately related to the price elasticity of housing demand it uses longitudinal data on a cohort of britons born in 1958 surveyed in the national child development study to estimate dynamic models of first departure from the parental home and particularly to estimate the impact of housing price on the timing and destination of first departure excerpt

on the solution variability reduction of stochastic dual dynamic programming applied to energy planning abstract in the hydrothermal energy operation planning of brazil and other hydro dependent countries stochastic dual dynamic programming sddp computes a risk averse optimal policy that often considers river inflow autoregressive models in practical applications these models induce an undesirable variability of primal thermal generation and dual marginal cost and spot price solutions that are highly sensitive to changes in current inflow conditions this work proposes two differing approaches to stabilize sddp solutions to the energy operation planning problem the first approach regularizes primal variables by considering an additional penalty on thermal dispatch revisions over time and the second approach indirectly reduces thermal generation and marginal cost variability by disregarding past inflow information in the cost to go function and compensates with an increase in risk aversion for comparison purposes we assess solution quality with a set of proposed indexes summarizing each important aspect of a hydrothermal operation planning policy in conclusion we show that it is possible to obtain high quality solutions in comparison to current benchmarks with significantly reduced variability

what happens to household formation in a recession abstract while many studies have investigated the determinants of housing demand very few studies have focused on how economic conditions affect the formation of potential households directly potential households may choose to delay entry into the housing market by remaining with one s parents during times of economic hardship or by combining with other persons to share housing costs using a variety of modeling approaches we find that both the increase in the unemployment rate and the presence of recessions reduce the rate of household formation simulations suggest that these declines are substantively important for example in a recession the likelihood that a young adult will form an independent household falls by 1 9 points depending on the age of the person by way of comparison if an individual is unemployed the likelihood of leaving the parental home is up to 11 points lower

combined pool bilateral dispatch part ii curtailment of firm and nonfirm contracts this paper deals with the dispatch of power networks under mixed pool bilateral trading the major questions that are examined are the following 1 to what degree does the relative level of pool versus bilateral trading influence performance in terms of individual power levels costs prices and revenues 2 what is the comparative performance of mixed trading with firm and nonfirm bilateral contracts under various curtailment strategies 3 is the revenue derived from the pool and bilateral trading consistent with the corresponding unbundled costs the above questions are sequentially addressed in separate parts of this three part paper the eventual goal of these results is to help generator and load serving entities choose appropriate relative levels of pool versus bilateral trades while considering risk economic performance and physical constraints in part ii two types of bilateral contracts firm and nonfirm are introduced together with their respective curtailment and noncurtailment bids the optimal power flow problem from part i is now modified to accommodate this new type of operation technical and economical performance measures defined in part i namely generation revenues from bilateral and pool sales pool demand payments plus generation and load expenditures to cover transmission loss and congestion management attributed to bilateral exchanges are also used here together with revenues from contract curtailment and expenditures due to noncurtailment bidding simulation results illustrate the effects of firm and nonfirm contracts and their bidding strategies on the relative levels of pool bilateral trading as well as on economic performance of market participants

foreign capital inflows and welfare in an economy with imperfect competition abstract this paper examines the resource allocational and welfare effects of exogenous inflows of foreign capital in a general equilibrium model with oligopolistic competition and unemployment although the welfare impact for the short run is ambiguous and dependent upon the strength of excess profits and scale economies relative to unemployment in manufacturing in the long run additional inflows of foreign capital always improve national welfare with capital mobility hence attracting foreign capital remains a sound policy for economies characterized by imperfect competition scale economies and regional unemployment

risk constrained multi stage wind power investment when deciding on wind power investments three major issues arise the production variability and uncertainty of wind facilities the eventual future decline in wind power investment costs and the significant financial risk involved in such investment decisions recognizing the above important issues this paper proposes a risk constrained multi stage stochastic programming model to make optimal investment decisions on wind power facilities along a multi stage horizon the proposed model is illustrated using a clarifying example and a case study

contracting strategies for renewable generators a hybrid stochastic and robust optimization approach we present a new methodology to support an energy trading company etc to devise contracting strategies under an optimal risk averse renewable portfolio the uncertainty in the generation of renewable energy sources is accounted for by exogenously simulated scenarios as is customary in stochastic programming however we recognize that spot prices largely depend on unpredictable market conditions making it difficult to capture its underlying stochastic process which challenges the use of fundamental approaches for forecasting under such framework industry practices make use of stress tests to validate portfolios we then adapt the robust optimization approach to perform an endogenous stress test for the spot prices as a function of the buy and sell portfolio of contracts and renewable energy generation scenarios the optimal contracting strategy is built through a bilevel optimization model that uses a hybrid approach mixing stochastic and robust optimization the proposed model is flexible to represent the traditional stochastic programming approach and to express the etc s uncertainty aversion in the case where the price distribution cannot be precisely estimated the effectiveness of the model is illustrated with examples from the brazilian market where the proposed approach is contrasted to its stochastic counterpart and both are benchmarked against observed market variables

the response of latino immigrants to the great recession occupational and residential im mobility during the great recession in the us there were distinct housing and labour markets that were particularly hard hit this was primarily due to the fact that the housing industry had fueled much of the recent economic growth this article takes advantage of the shock to the construction industry to investigate the responses of latino immigrants in metropolitan areas that were most heavily concentrated with latino immigrants in the construction industry as expected there were large declines in the proportion of the latino immigrant population that was working in the construction industry during the recession there were some shifts of employment in the industry after the recession but the biggest change was in the number of unemployed while declines in construction jobs did predict moving out of a metropolitan area decline in the overall job market had a larger impact on mobility finally we find evidence that those who moved out of the metropolitan area were less likely to be employed although it i

on the harris todaro model with intersectoral capital mobility n b professor neary was based at trinity college dublin when this article was first published the full text of the article is not available in ora at this time citation neary j p 1981 on the harris todaro model with intersectoral capital mobility economica 48 191 219 234

further implications of variable returns to scale abstract among those trade theorists who have studied the implications of variable returns to scale it has been almost standard practice to suppose that the variability of returns in each industry is generated by technical intra industrial externalities in the present paper inter industrial as well as intra industrial externalities are admitted the topology of the set of production possibilities and of the locus of competitive outputs as well as the robustness of several standard trade theorems are examined

spatial housing economics a survey this introduction to the virtual special issue surveys the development of spatial housing economics from its roots in neoclassical theory through more recent developments in social interactions modelling and touching on the role of institutions path dependence and economic history the survey also points to some of the more promising future directions for the subject that are beginning to appear in the literature the survey covers elements of hedonic models spatial econometrics neighbourhood models housing market areas housing supply models of segregation migration housing tenure subnational house price modelling including the so called ripple effect and agent based models possible future directions are set in the context of a selection of recent papers that have appeared in urban studies nevertheless there are still important gaps in the literature that merit further attention arising at least partly from emerging policy problems these include more research on housing and biodiversity

a field study of rental market discrimination across origins in france abstract discrimination against particular groups in the housing market increases search costs and limits optimal matching thus resulting in economic and social inefficiencies this paper tests for the existence of discrimination in the french rental market against individuals with names which signal their connection to five immigrant groups northern africa sub saharan africa turkey poland portugal spain by implementing an online field study using one of france s largest online advertisements website the results show that applicants with foreign sounding names coming from northern africa sub saharan africa and turkey are 16 to 22 percentage points less likely to receive a response than applicants with french names or names associated with poland portugal or spain in addition when applicants with foreign sounding names from any origin receive a response it is significantly more likely to be negative or include a request for more information than responses to emails including french sounding names finally we find some geographic differences in response rate differentials that are correlated with differences in the local income and share of immigrants this provides evidence that landlords use names as a proxy for economic and other sociodemographic characteristics

why are hispanic and asian american homeownership rates so low immigration and other factors abstract the homeownership rates of hispanic and asian american households are significantly less than that of other demographic groups in the us especially after accounting for income and other characteristics this naturally leads to an investigation of the impact of immigration characteristics of various groups on the propensity for homeownership it is found that being an immigrant has a substantial negative effect on the probability of being a homeowner but that this effect dissipates over time the relative youth of these two groups in and of itself plays a significant role in lowering their homeownership rate as does the relatively high rate of residence in areas with high value rent ratios

managing price risk in a multimarket environment in a competitive electricity market a generation company genco can manage its trading risk through trading electricity among multiple markets such as spot markets and contract markets the question is how to decide the trading proportion of each market in order to maximize the genco s profit and minimize the associated risk based on the mean variance portfolio theory this paper proposes a sequential optimization approach to electric energy allocation between spot and contract markets taking into consideration the risks of electricity price congestion charge and fuel price especially the impact of the fuel market on electric energy allocation is analyzed and simulated with historical data in respect of the electricity market and other fuel markets in the u s simulation results confirm that the proposed analytic approach is consistent with intuition and therefore reasonable and feasible for a genco to make a trading plan involving risks in an electricity market

pricing flexible electricity contracts this paper is concerned with pricing of electricity contracts that allow flexible scheduling of the supply or demand of electric energy the contracts are priced based on the principle of no arbitrage variables of the contracts are used to determine arbitrage opportunities and the price of contracts pricing of flexible contracts involves a scheduling policy by representing the spot price with an appropriate stochastic process the scheduling policy can be found using stochastic dynamic programming simulation examples illustrate the tradeoffs between prices and scheduling flexibility

evaluation of market rules using a multi agent system method the california energy crisis in 2000 2001 showed what could happen to an electricity market if it did not go through a comprehensive and rigorous testing before its implementation due to the complexity of the market structure strategic interaction between the participants and the underlying physics it is difficult to fully evaluate the implications of potential changes to market rules this paper presents a flexible and integrative method to assess market designs through agent based modeling realistic simulation scenarios are constructed for evaluation of the proposed pjm like market power mitigation rules of the california electricity market simulation results show that in the absence of market power mitigation generation company genco agents facilitated by q learning are able to exploit the market flaws and make significantly higher profits relative to the competitive benchmark the incorporation of pjm like local market power mitigation rules is shown to be effective in suppressing the exercise of market power