past as prologue understanding energy use in post 2002 china abstract from 2002 to 2009 china s energy use nearly doubled making it the world s largest emitter of carbon dioxide more than a decade ahead of forecasts why did energy use in china rise so rapidly after 2002 using index decomposition analysis we find that the vast majority of growth in energy consumption in china over the 2000s was due to gdp growth with a small but important amount due to structural change as a result of china s emergence as a net metals exporter changing prices and data anomalies make energy intensity and structural change appear to be more important drivers of energy consumption than they actually were the infamous reversal in energy intensity in china from 2002 to 2004 may simply be an artifact of difficulties in accurately deflating value added about half of the growth in energy consumption in china from 2002 to 2007 was driven by heavy industry using structural decomposition analysis we find that growth in heavy industrial output was due primarily to growth in construction and equipment investment with a small amount due to an increase in net metal exports in tandem these two findings suggest that the primary driver of energy consumption in china after 2002 was an acceleration of the country s investment dominated model of gdp growth without rebalancing the economy toward consumption there are limits to what improvements in energy conversion efficiency and end use energy efficiency can achieve in moderating growth in china s energy use

order flow transaction clock and normality of asset returns the goal of this paper is to show that normality of asset returns can be recovered through a stochastic time change clark 1973 addressed this issue by representing the price process as a subordinated process with volume as the lognormally distributed subordinator we extend clark s results and find the following i stochastic time changes are mathematically much less constraining than subordinators ii the cumulative number of trades is a better stochastic clock than the volume for generating virtually perfect normality in returns iii this clock can be modeled nonparametrically allowing both the time change and price processes to take the form of jump diffusions the relations among trading volume stock prices and price volatility the subject of empirical and theoretical studies over many years have lately received renewed attention with the increased availability of high frequency data a vast amount of research has focused on issues such as news arrivals volume and price changes or volatility moves usually outside any framework of general or even partial equilibrium is the normality of returns a key issue for example in the mean variance paradigm for portfolio choice or the recent study of the problems of risk management e g in value at risk verified at any time horizon the evidence accumulated from a number of studies that document the presence of leptokurtosis and skewness in the distribution of returns of a wide variety of financial assets suggests that the answer is no studies as early as for example fama 1965 showed that daily returns are more long tailed than the normal density with the distribution of returns approaching normality as the holding period is extended to one month in the same manner volatility smiles and other observed

irrational diversification in multiple decision problems the paper deals with multiple decision problems which are similar to the task of guessing the color outcomes of ve independent spinnings of a roulette wheel 60 of whose slots are red and 40 white each correct guess yields a prize of 1 the guess of 5 reds clearly rst order stochastic dominates any other strategy in contrast subjects diversify their choices when facing a multiple decision problem in which the choice is between lotteries with clear objective probabilities the diversi cation is stronger when the subjects face uncertainty without objective probabilities and weaker when the choice problem involves real life actions c 2002 elsevier science b v

a conditional variance tale from an emerging economy s freely floating exchange rate this article studies daily return and volatility dynamics in the exchange rate of an emerging market economy turkey over the recent floating period we use generalized autoregressive conditional heteroscedastic garch and fractionally integrated garch figarch models with various error distributions findings show that a parsimonious figarch model with an asymmetric error distribution characterizes the daily turkish lira tl returns against us dollar and euro considerably well we find statistically significant asymmetry and peakedness in conditional returns and time varying volatility with long range dependence in conditional volatility long memory finding is robust to different specifications for the conditional returns as well as possible shifts in the return and volatility dynamics over sub periods results in the article show that despite the decline in volatility over the course of the recent float tl returns are still wild compared to developed economies exchange rates during the same period

assessment of the economic impacts of continuous energy intensity target constraint in china based on an analytical general equilibrium model abstract based on the framework of analytical general equilibrium model this study builds an energy intensity target eit constraint model and simulates the impacts of continuous eit constraint policy on the fossil fuel production ffp sector non fossil fuel production nffp sector household sector and price system in china the main findings of this paper are firstly the eit constraint can change the marginal products and the cross price elasticities of input factors secondly stricter eit constraint can transfer capital and labor inputs from the ffp sector to the nffp sector and lead to a contractionary effect in the ffp sector shown as declining inputs and output the contractionary effect will decline gradually or even fade away if the eit constraint is gradually reduced thirdly if the total capital and labor inputs in the whole economy continue to grow at certain rates along with the weakening of the eit constraint the reduction in energy input and the growth of capital and labor inputs in the nffp sector will slow down however the growth rates of output and intermediate input will increase continuously fourthly the eit constraint has negative impacts on the nffp sector price system and household consumption but these impacts are affordable to the whole economy if the eit constraint is loosened under a certain level it may not curb the growth of fossil fuel consumption anymore therefore other supporting policies for energy conservation must be in place

a multi dimensional analysis on microeconomic factors of china s industrial energy intensity 2000 2017 abstract reducing energy intensity is the key point to solve the contradiction among economic development energy constraints and environmental pressure in china considering microeconomic factors this paper extends decomposition and attribution models and analyses the drivers of china s industrial aggregate energy intensity aei at the regional sectoral level the results show that aei decreased by 49 during 2000 2017 at the regional level most provinces presented negative contribution on regional energy intensity effect the aei decline was attributed to the drop of greatest negative effect of r d efficiency in liaoning the increase in investment intensity and r d intensity lead to an increase in aei largely owning to shandong and liaoning respectively at the sectoral level the aei decline can be mainly explained by the inhibition effect of energy intensity and r d efficiency however this negative contribution was greatly offset by the r d intensity effect the investment intensity showed a positive impact in aei increase and smelting and pressing of ferrous metals sector was the main contributor regional and sectoral investment structure effect shifted from increasing to decreasing aei over the study period based on the results targeted policy recommendations are proposed to further decrease the china s industrial aei in the 14th fyp period

continuity in auction design abstract j cremer and r p mclean econometrica56 1988 1247 1257 have shown that the auctioneer can extract all the surplus when the private valuations of bidders are not statistically independent the paper shows that this result does not necessarily arise under limited liability or risk aversion under limited liability and or risk aversion we prove that the functions corresponding to the auctionner s optimal expected gain and to the maximum total surplus are continuous in the space of possible information distributions thus by continuity the auctioneer wil not be able to extract all the rents when bidders private valuations are approximately independent

account for sector heterogeneity in china s energy consumption sector price indices vs gdp deflator abstract a common practice in decomposition analyses is to deflate output indicators to purge the impact of inflation by using a general deflator this practice fails to account for sector heterogeneity and can be hazardous although the general identified patterns are largely correct the calculated magnitudes can be misleading or even wrongly signed instead it is strongly recommended that sector heterogeneity is accounted for by using individual sector price indices for all relevant sectors instead of one general gdp deflator this paper analyzes this advanced decomposition using chinese data and compares to the usual method of using only one deflator it is found that while most differences are only of quantitative quality some show even a qualitative difference furthermore the rising energy intensity in the early 2000s which has been discussed by previous studies vanishes completely

common persistence in conditional variances since the introduction of the autoregressive conditional heteroskedastic arch model in engle 1982 numerous applications of this modeling strategy have already appeared a common finding in many of these studies with high frequency financial or monetary data concerns the presence of an approximate unit root in the autoregressive polynomial in the univariate time series representation for the conditional second order moments of the process as in the so called integrated generalized arch igarch class of models proposed in engle and bollerslev 1986 in the igarch models shocks to the conditional variance are persistent in the sense that they remain important for forecasts of all horizons this idea is readily extended to a multivariate framework even though many time series may exhibit persistence in variance it is likely that several different variables share the same common long run component in that situation the variables are naturally defined to be co persistent in variance and the co persistent linear combination is interpretable as a long run relationship conditions for co persistence to occur in the multivariate linear garch model are presented these conditions parallel the conditions for linear co integration in the mean as developed by engle and granger 1987 the presence of co persistence has important implications for asset pricing relationships and in optimal portfolio allocation decisions an empirical example relating to the time series properties of nominal u s dollar exchange rates for the deutschemark and the british pound provides a simple illustration of the ideas

optimal contracts with public ex post information abstract we are concerned with the value of public ex post information about a seller s costs to an initially uninformed buyer we derive necessary and sufficient conditions for a public ex post signal s s that is correlated with the risk neutral seller s costs to render the initial information asymmetry inconsequential to the buyer the first best outcome for the buyer is shown to be feasible if 1 the dimension of s is at least that of or 2 the conditional likelihood function of s given is for one of its realizations sj a strictly increasing function of and more concave in than is the seller s cost function

why did the energy intensity fall in china s industrial sector in the 1990s the relative importance of structural change and intensity change there have been a variety of studies investigating the relative importance of structural change and real intensity change to the change in china s energy consumption in the 1980s however no detailed analysis to date has been done to examine whether or not the increased energy efficiency trend in the 1980s still prevailed in the 1990s this article has filled this gap by investigating the change in energy consumption in china s industrial sector in the 1990s based on the data sets of value added and end use energy consumption for the 29 industrial subsectors and using the newly proposed decomposition method of giving no residual our results clearly show that the overwhelming contributor to the decline in industrial energy use in the 1990s was the decline in real energy intensity indicating that the trend of real energy intensity declines in the 1980s at the 2 digit level was still maintained in the 1990s this conclusion still holds even if we lower the growth rate dramatically in line with the belief that the growth rate of china s gdp may be overestimated

learning dynamics for mechanism design an experimental comparison of public goods mechanisms in a repeated interaction public goods economy incomplete information and dynamic behavior may affect the realized outcomes of mechanisms known to be efficient in a complete information oneshot game an experimental test of five public goods mechanisms indicates that subjects with private information appear to best respond to recent observations this provides predictions about which mechanisms will generate convergence to their efficient equilibrium allocations these predictions match the experimental result that globally stable efficient mechanisms realize the highest efficiency in practice the simplicity of the suggested best response model makes it useful in predicting stability of mechanisms not yet tested

energy research and r d indicators an lmdi decomposition analysis for the iea big 5 in energy research abstract the literature has always shown that there are two important factors in the improvement of a country s research output gross domestic product gdp and r d expenditures taking the discussion a step further and in an effort to provide policy recommendations on what is needed to boost research capacity this paper aims at decomposing the change in energy research papers of five countries australia canada germany uk and us into four factors gdp r d intensity ratio of total r d to gdp energy r d rate of return or productivity number of energy related papers per unit of energy r d expenditure and energy r d priority share of energy r d to total r d expenditure the findings show a general trend in the sign of the four effects on research for all five countries energy r d productivity energy r d priority and gdp are mostly found to be positive contributors while the r d intensity a negative one this pattern has exceptions that are more prominent during periods where economic growth is constrained for example during 2008 09 the results have policy implications not only for these five countries but also for developing countries low gdp that aim at contributing more to the energy related research output globally

the influential factors of china s regional energy intensity and its spatial linkages 1988 2007 abstract a large amount of literature on china s energy intensity seldom considers the regional differences of energy intensity inside china and the spatial effects based on spatial statistics methods this paper explores the regional imbalance of china s provincial energy intensity and the spatially correlation of energy intensity among provinces using spatial panel data models this paper finds that gdp per capita transportation infrastructure the level of marketization and scientific and technological input significantly reduce the energy intensity the ratio of heavy industries to total industries and the ratio of coal consumption to total energy consumption significantly expand the energy intensity meanwhile the coefficient of the ratio of export to gdp is not significant then the spillover and convergence of china s regional energy intensity have been tested the results indicate that the spillover effect between the eastern and western china is remarkable and there exist absolute convergence of provincial energy intensity moreover gdp per capita transportation infrastructure the level of marketization and scientific technological input are conducive to conditional convergence after the spatial effects are controlled according to the empirical results this paper proposes some policy suggestions on reducing china s energy intensity

roughing it up including jump components in the measurement modeling and forecasting of return volatility a rapidly growing literature has documented important improvements in financial return volatility measurement and forecasting via use of realized variation measures constructed from high frequency returns coupled with simple modeling procedures building on recent theoretical results in barndorff nielsen and shephard 2004a 2005 for related bi power variation measures the present paper provides a practical and robust framework for non parametrically measuring the jump component in asset return volatility in an application to the dm exchange rate the s p500 market index and the 30 year u s treasury bond yield we find that jumps are both highly prevalent and distinctly less persistent than the continuous sample path variation process moreover many jumps appear directly associated with specific macroeconomic news announcements separating jump from non jump movements in a simple but sophisticated volatility forecasting model we find that almost all of the predictability in daily weekly and monthly return volatilities comes from the non jump component our results thus set the stage for a number of interesting future econometric developments and important financial applications by separately modeling forecasting and pricing the continuous and jump components of the total return variation process

exploring the scope of neurometrically informed mechanism design a basic goal in mechanism design is to construct mechanisms that simultaneously satisfy efficiency voluntary participation and dominant strategy incentive compatibility previous work has shown that this is impossible unless the agents and planner have sufficient information about each other and common knowledge these results have remained largely theoretical because the required information is generally not available in practical applications however recent work has shown that these limitations can be overcome in simple settings using neurometric technologies that provide noisy signals of subjects preferences that can be used in the mechanism design problem here we build on this work by carrying out two new experiments designed to test the extent to which these neurometrically informed mechanisms nims can be applied to more complicated and realistic environments we find robustness to large type and action space and to the degrees of loss and risk aversion observed in most of our sample

secure implementation experiments do strategy proof mechanisms really work strategy proofness requiring that truth telling is a dominant strategy is a standard concept used in social choice theory saijo et al 2003 argue that this concept has serious drawbacks in particular announcing one s true preference may not be a unique dominant strategy and almost all strategy proof mechanisms have a continuum of nash equilibria for only a subset of strategy proof mechanisms do the set of nash equilibria and the set of dominant strategy equilibria coincide for example this double coincidence occurs in the groves mechanism when preferences are single peaked we report experiments using two strategy proof mechanisms where one of them has a large number of nash equilibria but the other has a unique nash equilibrium we found clear differences in the rate of dominant strategy play between the two

china s changing energy intensity trend a decomposition analysis china experienced a dramatic decline in energy intensity from the onset of economic reform in the late 1970s until 2000 but since then the rate of decline slowed and energy intensity actually increased in 2003 most previous studies found that most of the decline was due to technological change but disagreed on the role of structural change to the best of our knowledge no decomposition study has investigated the role of inter fuel substitution in the decline in energy intensity or the causes of the rise in energy intensity since 2000 in this paper we use logarithmic mean divisia index lmdi techniques to decompose changes in energy intensity in the period 1980 2003 we find that 1 technological change is confirmed as the dominant contributor to the decline in energy intensity 2 structural change at the industry and sector sub industry level actually increased energy intensity over the period of 1980 2003 although the structural change at the industry level was very different in the 1980s and in the post 1990 period 3 structural change involving shifts of production between sub sectors however decreased overall energy intensity 4 the increase in energy intensity since 2000 is explained by negative technological progress 5 inter fuel substitution is found to contribute little to the changes in energy intensity

neuroeconomic foundations of economic choice recent advances neuroeconomics combines methods and theories from neuroscience psychology economics and computer science in an effort to produce detailed computational and neurobiological accounts of the decision making process that can serve as a common foundation for understanding human behavior across the natural and social sciences because neuroeconomics is a young discipline a sufficiently sound structural model of how the brain makes choices is not yet available however the contours of such a computational model are beginning to arise and given the rapid progress there is reason to be hopeful that the field will eventually put together a satisfactory structural model this paper has two goals first we provide an overview of what has been learned about how the brain makes choices in two types of situations simple choices among small numbers of familiar stimuli like choosing between an apple or an orange and more complex choices involving tradeoffs between immediate and future consequences like eating a healthy apple or a less healthy chocolate cake second we show that even at this early stage insights with important implications for economics have already been gained

pricing european currency options a comparison of the modified black scholes model and a random variance model we use the modified black scholes model and a random variance option pricing model to study prices of european currency options traded in geneva the options which cannot be exercised early include calls and puts on the dollar swiss franc exchange rate in the empirical analysis we examine the model fit and the biases with respect to the strike price time to maturity and volatility there is some evidence of mispricing and there are small gains available by trading with the random variance model

comparing structural decomposition analysis and index to analyze and understand historical changes in economic environmental employment or other socio economic indicators it is useful to assess the driving forces or determinants that underlie these changes two techniques for decomposing indicator changes at the sector level are structural decomposition analysis sda and index decomposition analysis ida for example sda and ida have been used to analyze changes in indicators such as energy use co2 emissions labor demand and value added the changes in these variables are decomposed into determinants such as technological demand and structural effects sda uses information from input output tables while ida uses aggregate data at the sector level the two methods have developed quite independently which has resulted in each method being characterized by specific unique techniques and approaches this paper has three aims first the similarities and differences between the two approaches are summarized second the possibility of transferring specific techniques and indices is explored finally a numerical example is used to illustrate differences between the two approaches

the economic value of realized volatility using high frequency returns for option valuation many studies have documented that daily realized volatility estimates based on intraday returns provide volatility forecasts that are superior to forecasts constructed from daily returns only we investigate whether these forecasting improvements translate into economic value added

energy intensity and its determinants in china s regional economies abstract this paper contributes to the existing literature as well as policy debates by examining energy intensity and its determinants in china s regional economies the analysis is based on a comprehensive database of china s regional energy balance constructed for this project through its focus on regional china this study extends the existing literature which mainly covers nationwide studies it is found in this paper that energy intensity declined substantially in china the main contributing factor is the improvement in energy efficiency changes in the economic structure have so far affected energy intensity modestly thus there is considerable scope to reduce energy intensity through the structural transformation of the chinese economy in the future

5 information impact and allocation rules in auctions with affiliated private values a laboratory study in affiliated private value auctions each bidder has perfect information regarding his her own value for the object at auction but higher values of the item for one bidder make higher values for other bidders more likely we report on a series of experiments examining three key implications of these auctions i in a first price auction public information about rivals values increases expected revenue ii an english auction increases expected revenue compared to a first price auction and iii a second price auction is isomorphic to an english auction in examining these issues we compare predictions of some ad hoc bidding models with nash equilibrium predictions in the first price auction experiments nash equilibrium bidding theory organizes the data better than either of two ad hoc bidding models public information about others valuations does increase average revenue but the increase in revenue is smaller and less reliable than predicted under risk neutral nash equilibrium bidding lower average revenue might be attributed to risk aversion while the high variability is attributed to a sizable frequency of individual bidding errors relative to the theory bidding theory precisely organizes english auction outcomes after a brief initial learning period the dominant strategy equilibrium does not organize second price auctions nearly as well as market prices persistently exceed predicted prices the difference between english and second price outcomes is attributed to effects of different information flows inherent in the structure of the two institutions on eliminating bidding errors revenue impacts of these two institutions relative to a first price auction are examined in light of observed bidding patterns

promises and pitfalls in environmentally extended input output analysis for china a survey of the literature abstract as the world s largest developing economy china plays a key role in global climate change and other environmental impacts of international concern environmentally extended input output analysis ee ioa is an important and insightful tool seeing widespread use in studying large scale environmental impacts in china calculating and analyzing greenhouse gas emissions carbon and water footprints pollution and embodied energy this paper surveys the published articles regarding ee ioa for china in peer reviewed journals and provides a comprehensive and quantitative overview of the body of literature examining the research impact environmental issues addressed and data utilized the paper further includes a discussion of the shortcomings in official chinese data and of the potential means to move beyond its inherent limitations

china s industrial energy consumption trends and impacts of the top 1000 enterprises energy saving program and the ten key energy saving projects abstract this study analyzes china s industrial energy consumption trends from 1996 to 2010 with a focus on the impact of the top 1000 enterprises energy saving program and the ten key energy saving projects from 1996 to 2010 china s industrial energy consumption increased by 134 even as the industrial economic energy intensity decreased by 46 decomposition analysis shows that the production effect was the dominant cause of the rapid growth in industrial energy consumption while the efficiency effect was the major factor slowing the growth of industrial energy consumption the structural effect had a relatively small and fluctuating influence analysis shows the strong association of industrial energy consumption with the growth of china s economy and changing energy policies an assessment of the top 1000 enterprises energy saving program and the ten key energy saving projects indicates that the economic energy intensity of major energy intensive industrial sub sectors as well as the physical energy intensity of major energy intensive industrial products decreased significantly during china s 11th five year plan fyp period 2006 2010 this study also shows the importance and challenge of realizing structural change toward less energy intensive activities in china during the 12th fyp period 2011 2015

energy intensity trend explained for sao paulo state abstract a sectorial analysis and a logarithmic mean divisia index lmdi technique are used in this paper to decompose the energy intensity of the state of sao paulo from 1995 to 2012 into the economic activity effect and the energy efficiency effect this study contributes the following observations 1 the world energy intensity has decreased steadily but the energy intensity of the sao paulo state has been volatile and has declined 2 3 since 1995 2 in the period of study declining energy intensity of the primary and tertiary sectors was observed in contrast the energy intensity of the secondary sector has been gradually increasing 3 the energy efficiency effect was the primary driver of energy intensity change through 2007 and the economic activity effect subsequently had an increasingly more important role in the change 4 the economic structure remained constant until 2004 when the services sector shift became more significant it is hypothesized that the increasing energy intensity from 2005 to 2009 was caused by the growth of inefficient sugarcane bagasse consumption

factors influencing co2 emissions in china s power industry co integration analysis more than 40 of china s total co2 emissions originate from the power industry the realization of energy saving and emission reduction within china s power industry is therefore crucial in order to achieve co2 emissions reduction in this country this paper applies the autoregressive distributed lag ardl co integration model to study the major factors which have influenced co2 emissions within china s power industry from 1980 to 2010 results have shown that co2 emissions from china s power industry have been increasing rapidly from 1980 to 2010 the average annual growth rate was 8 5 and the average growth rate since 2002 has amounted to 10 5 secondly the equipment utilization hour as an indicator of the power demand has the greatest influence on co2 emissions within china s power industry in addition the impact of the industrial added value of the power sector on co2 emissions is also positive from a short term perspective thirdly the granger causality results imply that one of the important motivators behind china s technological progress within the power industry originates from the pressures created by a desire for co2 emissions reduction finally this paper provides policy recommendations for energy saving and emission reduction for china s power industry

on the generic nonoptimality of dominant strategy allocation mechanisms a general theorem that includes pure exchange economies it is shown that if an economy s participants cannot be separated into groups across which there are no potentially conflicting interests i e if the economy is indecomposable then every continuous truth dominant allocation mechanism will attain nonoptimal allocations on an open dense set of preference profiles classical edgeworth box exchange economies economies with no externalities and no production but with arbitrary numbers of consumers and goods as well as economies with public goods and economies with other kinds of externalities are all shown via simple arguments to be indecomposable the results are extended to cover nonrevelation mechanisms copyright 1990 by the econometric society

energy conservation and emissions reduction in china progress and prospective abstract energy conservation ec has been taken as basic state policy in china for more than 20 years and china achieves 3 9 annual energy saving from 1980 to 2005 in 2006 china central government firstly set up a binding target of reducing gdp energy intensity by 20 in its 11th five year plan fyp at the end of 2010 19 1 reduction in energy intensity has been achieved which is 95 of the target and means 608 million tons stand coal equivalence sce saved 1510 million tons co 2 emission reduced 300 billion rmb saving in energy bill and vast saving in infrastructure investment this paper is systematical review and prospective analysis on energy policy issue in china review on policy evolution and progress of ec and emission reduction er in china during the 11th fyp periods is presented in detail outlook of energy demand and supply into 2050 is presented and the roadmap to realize sustainable energy development is drafted to set the framing constraints for china s energy policy options rationality and feasibility analysis on newly formulated 12th fyp ec and er target is also addressed then lessons from the 11th fyp periods are drawn and factors underlying and limiting the policy formulation and implementation are discussed in details to probe the policy predicament and solutions finally policy suggestions are proposed for long term successful implementation of ec and er in china

why did china s energy intensity increase during 1998 2006 decomposition and policy analysis abstract despite the fact that china s energy intensity has continuously decreased during the 1980s and mostly 1990s the decreasing trend has reversed since 1998 and the past few years have witnessed rapid increase in china s energy intensity we firstly conduct an index decomposition analysis to identify the key forces behind the increase it is found that 1 the high energy demand in industrial sectors is mainly attributed to expansion of production scale especially in energy intensive industries 2 energy saving mainly comes from efficiency improvement with energy intensive sectors making the largest contribution and 3 a heavier industrial structure also contributes to the increase this study also makes the first attempt to bridge the quantitative decomposition analysis with qualitative policy analyses and fill the gap between decomposition results and policy relevance in previous work we argue that 1 energy efficiency improvement in energy intensive sectors is mainly due to the industrial policies that have been implemented in the past few years 2 low energy prices have directly contributed to high industrial energy consumption and indirectly to the heavy industrial structure we provide policy suggestions in the end

to reduce energy consumption and to maintain rapid economic growth analysis of the condition in china based on expended ipat model abstract as one of the important driving forces of world economic development china s rapid economic growth has not only supplied the world with a large number of manufactured goods but also caused china s sustained and rapid increase in energy consumption because of the characteristics of china s economic development and overall low productivity derive from them in many years according to the ipat model and its expansion this article figures out china s indicators of economic growth and changes in energy consumption brought by technological progress since 1986 empirical results show that despite many years efforts china s high speed economic growth is still largely dependent on massive energy consumption how to maintain rapid economic growth while reducing energy consumption china has faced the very problem it needs to address

electricity intensities of the oecd and south africa a comparison abstract this paper investigates the relationship between south africa s total electricity intensity and that of the oecd members a very important trade block these results will assist in ascertaining possible scope for improvement if such exists this is necessary as electricity is an essential input for production and hence it affects the competitiveness of the country calculating the electricity intensities defined as the ratio of electricity consumption to total output we found that south africa s electricity intensity has more than doubled between 1990 and 2007 all the oecd members excluding iceland weighted growth in electricity intensity was lower than that of south africa by a considerable margin the sectoral analysis showed that the majority of the south african sectors are more electricity intensive to improve its industrial competitiveness and as an additional benefit contribute towards achieving its stated commitments towards reduction of greenhouse gas emissions south africa will have to improve its total and sectoral electricity efficiency levels that not only were higher but also increasing at an alarming rate

china s energy consumption under the global economic crisis decomposition and sectoral analysis abstract it is now widely recognized that there is a strong relationship between energy consumption and economic growth most countries energy demands declined during the economic depression of 2008 2009 when a worldwide economic crisis occurred as an export oriented economy china suffered a serious exports decline in the course of the crisis however it was found that energy consumption continued to increase against such a background this paper aims to assess and explain the factors causing the growth of energy consumption in china first we will explain the impact of domestic final use and international trade on energy consumption by using decomposition analysis second embodied energy and its variation across sectors are quantified to identify the key sectors contributing to the growth lastly the policy implications for long term energy conservation are discussed the results show that the decline in exports was one of the driving forces for energy consumption reduction in the crisis but that the growth of domestic demand in manufacturing and construction largely stimulated by economic stimulus plans had the opposite effect on energy consumption international trade contributed to decreasing energy consumption of china during and after the crisis because the structure of exports and imports changed in this period

a multi region multi sector decomposition and attribution analysis of aggregate carbon intensity in china from 2000 to 2015 abstract index decomposition analysis ida has been used to analyze driving forces of aggregate carbon intensity aci however previous studies mostly explained changes in aci from either sectoral or regional perspective but rarely looked into driving forces of aci from both sectoral and regional perspectives under a unified and consistent framework to fill the research gap this study proposed a multi region multi sector decomposition and attribution approach to analyze driving forces of aci from both sectoral and regional perspectives the empirical results in china show that the aci declined by 33 from 2000 to 2015 from the sectoral perspective the decline can be mainly attributed to the significant energy efficiency improvement in six high energy intensive industries however the rapid growth in electricity consumption especially in chemicals and iron and steel and the expansion of iron and steel industry during 2000 2005 greatly offset the negative effect from energy efficiency from the regional perspective the aci decline can be primarily due to an extensive improvement in energy efficiency in most regions on the contrary the increasing dependency on coal particularly in shandong inner mongolia and guangdong and the increased share of carbon intensive industries in some provinces such as guangxi and sichuan markedly increased aci based on the results the effectiveness of underlying sectoral and regional level policies and measures implemented for aci reduction in china were evaluated

exponential garch modeling with realized measures of volatility we introduce the realized exponential garch model that can use multiple realized volatility measures for the modeling of a return series the model specifies the dynamic properties of both returns and realized measures and is characterized by a flexible modeling of the dependence between returns and volatility we apply the model to 27 stocks and an exchange traded fund that tracks the s p 500 index and find specifications with multiple realized measures that dominate those that rely on a single realized measure the empirical analysis suggests some convenient simplifications and highlights the advantages of the new specification

estimation methods for stochastic volatility models a survey abstract although stochastic volatility sv models have an intuitive appeal their empirical application has been limited mainly due to difficulties involved in their estimation the main problem is that the likelihood function is hard to evaluate however recently several new estimation methods have been introduced and the literature on sv models has grown substantially in this article we review this literature we describe the main estimators of the parameters and the underlying volatilities focusing on their advantages and limitations both from the theoretical and empirical point of view we complete the survey with an application of the most important procedures to the s p 500 stock price index

drivers for energy consumption a comparative analysis of china and india abstract china and india accounted for two thirds of the world s rise in energy use between 2000 and 2012 this paper aimed to calculate the p population a affluence t technology effects of energy use in china and india the world s two most populous and largest developing countries to this end a combination of the ipat method and the logarithmic mean divisia index technique and annual time series data on population energy consumption and gross domestic product during 1970 2012 are used in china a 12 53 fold growth of energy use emissions from 1970 to 2012 is driven by a combination of rapid growth in individual income and slow growth in population with offset by technological advancement since 1980 the accelerating rise in energy use since 2000 is a result of accelerating growth rates in individual income and a reversal of earlier declining in energy intensity technological advancement unlike china the long term rise in energy use exceeded the long term rise in individual income in india in addition a strong trend of decline in energy intensity has not yet occurred in india thus a 7 39 folds growth of indian energy use for 1970 2012 was a result of relatively rapid increase in population and relatively slow increase in income without effective offset by technological advancement it suggests that market oriented economic and energy reforms need to send the correct price signal to promote energy efficient technologies thus improving energy efficiency which is the key to a sustainable energy future in china and india

realized garch a joint model for returns and realized measures of volatility summary we introduce a new framework realized garch for the joint modeling of returns and realized measures of volatility a key feature is a measurement equation that relates the realized measure to the conditional variance of returns the measurement equation facilitates a simple modeling of the dependence between returns and future volatility realized garch models with a linear or log linear specification have many attractive features they are parsimonious simple to estimate and imply an arma structure for the conditional variance and the realized measure an empirical application with dow jones industrial average stocks and an exchange traded index fund shows that a simple realized garch structure leads to substantial improvements in the empirical fit over standard garch models that only use daily returns copyright 2011 john wiley sons ltd

energy intensity developments in 40 major economies structural change or technology improvement this study analyzes energy intensity trends and drivers in 40 major economies using the wiod database a novel harmonized and consistent dataset of input output table time series accompanied by environmental satellite data we use logarithmic mean divisia index decomposition to 1 study trends in global energy intensity between 1995 and 2007 2 attribute efficiency changes to either changes in technology or changes in the structure of the economy and 3 highlight sectoral and regional differences we first show that heterogeneity within each sector across countries is high these general trends within the sectors are dominated by large economies first and foremost the united states in most cases heterogeneity is lower within each country across the different sectors regarding changes of energy intensity at the country level improvements between 1995 and 2007 are largely attributable to technological change while structural change is less important in most countries notable exceptions are japan the united states australia taiwan mexico and brazil where a change in the industry mix was the main driver behind the observed energy intensity reduction

evaluation of electricity saving potential in china s chemical industry based on cointegration new huadu business school ministry of education foundation 10jzd0018 10gbj013 basic research universities special foundation 2010221051 national social science foundation 09zd050

correlated information and mechanism design in models of asymmetric information possession of private information leads to rents for the possessors this induces mechanism designers to distort away from efficiency the authors show that this is an artifact of the presumption that information is independently distributed rent extraction in a large class of mechanism design games is analyzed and a necessary and sufficient condition for arbitrarily small rents to private information is provided additionally the two person bargaining game is shown to have an efficient solution under first order stochastic dominance and a hazard rate condition similar conditions allow full rent extraction in milgrom weber auctions

the driving forces of china s energy use from 1992 to 2010 an empirical study of input output and structural decomposition analysis abstract the energy consumption in china has accelerated since the early 2000s and china became the largest energy consumer in the world by 2010 to examine the driving forces of china s energy use this paper conducts a structural decomposition analysis based on hybrid input output tables in addition we describe the framework of china s energy system by using two energy flow charts the results show that china s current energy use is investment led demand between 1992 and 2007 the three main final demand categories gross fixed capital formation household consumption and exports contributed approximately one third each to the changes of total energy use in china between 2007 and 2010 however three quarters of energy consumption changes came from investment activity only technological improvement saved approximately five percent of the total energy use annually during the periods of 1992 1997 1997 2002 and 2007 2010 in the period of 2002 2007 however its contribution dropped to only three percent p a due to the rise of the indirect energy requirement coefficient in the construction sector these results suggest that adjusting the final demand structure and improving energy efficiency further will meet china s energy challenges in the future

structural decompositions of energy consumption between 1995 and 2009 evidence from wiod abstract energy is key to achieving sustainable development this paper explicitly distinguishes between the supply side of energy consumption and demand side of energy consumption and investigates the factors that affect the energy consumption across economies using data from the world input output database wiod this paper decomposes the relative changes of energy consumption into intensity effect production structure structural change in final demand total final demand effect and household consumption then it further decomposes production structure into inter industry structural effect and trade effect in intermediate inputs overall energy consumption growth is mainly driven by total final demand 55 04 increase at the world level but can be significantly reduced by intensity effect due to technological change 21 02 decrease at the world level there is heterogeneity of structure related effects across economies and within the same economy in both aspects of energy consumption in addition the trade effect and household effect are relatively small this paper provides an empirical framework for analyzing energy consumption in a globalizing world and suggests tailored and integrated energy policies

residential energy consumption in urban china a decomposition analysis abstract residential energy consumption rec is the second largest energy use category 10 in china and urban residents account for 63 of the rec understanding the underlying drivers of variations of urban rec thus helps to identify challenges and opportunities and provide advices for future policy measures this paper applies the lmdi method to a decomposition of china s urban rec during the period of 1998 2007 at disaggregated product activity level using data collected from a wide range of sources our results have shown an extensive structure change towards a more energy intensive household consumption structure as well as an intensive structure change towards high quality and cleaner energy such as electricity oil and natural gas which reflects a changing lifestyle and consumption mode in pursuit of a higher level of comfort convenience and environmental protection we have also found that china s price reforms in the energy sector have contributed to a reduction of rec while scale factors including increased urban population and income levels have played a key role in the rapid growth of rec we suggest that further deregulation in energy prices and regulatory as well as voluntary energy efficiency and conservation policies in the residential sector should be promoted

regulation asymmetric information and auditing this article analyzes a model of a regulated firm that is better informed about its cost function than is the regulator by auditing at a cost however the regulator is assumed to be able to observe the realized cost of the firm if the regulator finds that the firm had misrepresented its costs at the time at which prices were set he can order a refund to consumers in the optimal policy the regulator audits when the firm reports for pricing purposes that its costs will be high and orders a refund when the auditfinds that realized costs are lower than anticipated given the original report a separation result that obtains for an important case indicates that the initial pricing decision is independent of the auditing decision the auditing decision however depends on the price that was initially set the optimal auditing strategy is characterized and the nature of the welfare gains are identified the methodology used in the analysis involves the characterization of an equilibrium of a revelation game with an ex post observable

evaluating density forecasts with applications to financial risk management density forecasting is increasingly more important and commonplace for example in financial risk management yet little attention has been given to the evaluation of density forecasts the authors develop a simple and operational framework for density forecast evaluation they illustrate the framework with a detailed application to density forecasting of asset returns in environments with time varying volatility finally the authors discuss several extensions copyright 1998 by economics department of the university of pennsylvania and the osaka university institute of social and economic research association

local implementation for green manufacturing technology diffusion policy in china from the user firms perspectives abstract in recent years china has started to change its growth strategy to a more sustainable model in response to the limits to growth dilemma specifically the national policy advocates to promote the use of green manufacturing technologies through demonstration projects and to incentivize chinese manufacturers to adopt these green technologies that are also encouraged by local governments these green technologies can increase the economic gains of manufacturers by reducing costs on energy consumption and shift away from selling low margin products however the local authorities often encounter obstacles when implementing policies for promoting these technologies among manufacturing firms this paper explores the factors that affect the decision making of user firms throughout the policy implementation process based on the econometric analysis of the survey for china s electric motors upgrading project in guangdong province this study shows that three key factors are helpful in the local government s effort to implement the national project i e manufacturers awareness the understanding of the energy efficiency technology and the long term macroeconomic benefits in addition encouraging the participation of financial institutions is especially useful for local governments to convince small and medium sized firms these findings are beneficial for local implementation of green manufacturing technology diffusion policies in china and have worldwide policy implication as well

a stochastic volatility model with conditional skewness we develop a discrete time affine stochastic volatility model with time varying conditional skewness svs importantly we disentangle the dynamics of conditional volatility and conditional skewness in a coherent way our approach allows current asset returns to be asymmetric conditional on current factors and past information which we term contemporaneous asymmetry conditional skewness is an explicit combination of the conditional leverage effect and contemporaneous asymmetry we derive analytical formulas for various return moments that are used for generalized method of moments gmm estimation applying our approach to s p500 index daily returns and option data we show that one and two factor svs models provide a better fit for both the historical and the risk neutral distribution of returns compared to existing affine generalized autoregressive conditional heteroscedasticity garch and stochastic volatility with jumps svj models our results are not due to an overparameterization of the mod

carbon lock in rebound effects and china at the limits of statism abstract from the beginning the statist frame of the kyoto protocol has invited a focus on national carbon budgets and piecemeal mitigation within rich countries despite the clean development mechanism and other efforts to diffuse low carbon technologies to developing countries china has over the last decades continued to construct hundreds of new thermal coal power plants leading not only to skyrocketing emissions in the present but also to long term carbon lock in in light of this china is likely to continue to put strong upward pressure on global emissions for many decades to come ignoring the seriousness of this situation many rich countries have persisted to seek marginal improvements to intermittent low energy sources such as wind power rather than taking the lead in developing breakthrough baseload technologies such as nuclear fusion this paper argues that only such high energy technologies if made significantly cheaper than any fossil alternatives will be capable of breaking the current carbon lock in process in china and other developing countries

carbon curse in developed countries among the ten countries with the highest carbon intensity six are natural resource rich countries this suggests the existence of a carbon curse resource rich countries would tend to follow more carbon intensive development paths than resource poor countries we investigate this assumption empirically using a panel data method covering 29 countries oecd and bric and seven sectors over the 1995 2009 period first at the macroeconomic level we find that the relationship between national co 2 emissions per unit of gdp and abundance in natural resources is u shaped the carbon curse appears only after the turning point second we measure the impact of resource abundance on sectoral emissions for two groups of countries based on their resource endowments we show that a country rich in natural resources pollutes relatively more in resource related sectors as well as all other sectors our results suggest that the debate on climate change mitigation should rather focus on a comparison of resource rich countries versus resource poor countries than the developed country versus developing country debate

the relevance of private information in mechanism design abstract recent results in mechanism design show that as long as agents have correlated private information and are sufficiently risk neutral it is possible to design mechanisms that leave agents with arbitrarily small information rents we show that these full rent extraction results hinge on the implicit assumption that the agents beliefs uniquely determine their preferences we present an example of the voluntary provision of a public good in which this assumption is relaxed and consequently even in highly correlated environments if agents beliefs do not uniquely determine their preferences then the extraction of the agents entire information rents is impossible

a response to glazer and rosenthal we are most grateful to glazer and rosenthal for the attention they have paid to our work abreu and matsushima 1992a b c in the process of criticizing our mechanism they have provided an elegant exposition of it which usefully supplements our own efforts the criticisms themselves we feel are misplaced and based on a close reading but narrow interpretation of our results glazer and rosenthal seek to show that in our mechanisms the iterative removal of strictly dominated strategies is or indeed ought to be controversial in terms of conventional decision theory the iterative logic is impeccable when iterative deletion leads to a unique profile that profile is the unique rationalizable profile the unique nash equilibrium and so on of course the logic of iterative dominance entails common knowledge of rationality the theoretical coherence of this assumption has been questioned in the context of backward programming in extensive form games see luce and raiffa 1957 pp 80 81 rosenthal 1981 basu 1988 reny 1992a 1992b bonanno 1991 binmore 1987a 1987b and gul 1989 among others these paradoxes of common knowledge of rationality have been highlighted in stylized examples such as the finitely repeated prisoners dilemma and rosenthal s centipede game which in fact has been a seminal inspiration for this recent literature 2 but our mechanisms are simultaneous there is no opportunity to demonstrate irrationality strategic or otherwise and therefore no scope to rationalize iteratively dominated behavior from a decision theory perspective the glazer and rosenthal critique might therefore be viewed as an elaborate revival of the indefensible claim that players in a one short prisoners dilemma will choose not to confess because they are both better off doing so than by both playing their dominant strategies within the standard game theory paradigm there is really nothing more to be said before turning to issues of bounded rationality we note that the glazer and rosenthal critique is essentially premised on the existence of a countervailing focal point but what is a focal point the notion is notoriously vague and we are aware of no widely accepted definition 3 this is not to deny that in very simple and particular games certain behavior may be focal frequently focalness is identified with a pareto dominating equilibrium and this is the point of view glazer and rosenthal seem to adopt 4 this is implicit in their acknowledgement that when the social choice function does satisfy pareto optimality our objection loses much of its immediate

analysis and decomposition of energy consumption in the chilean industry abstract with rising energy costs and climate change concerns energy efficiency will be important in maintaining competitiveness and reducing the environmental impact of industrial activities in this paper we study the chilean industrial sector which is the largest consumer of energy within the country energy demand and co 2 emissions in chile have grown rapidly in recent years while energy supply is mostly imported and subject to disruption therefore it is important to understand energy consumption in this sector and determine which sub sectors have the greatest potential to reduce energy consumption we used the index decomposition analysis ida applying the logarithmic mean divisia index method i lmdi i to quantify the impact of diverse driving factors on energy consumption furthermore a panel data analysis was used to determine whether there are differences in energy intensity across firms with different characteristics our results show that energy intensity has risen over time although energy consumption remains stable this fact supports the idea that energy efficiency policies could play an important role for the industrial sector additionally energy consumption and energy intensity follow different patterns in each sub sector therefore we conclude that the application of differentiated sectoral policies is preferable over a single global policy

early warning signals using avars of infinitely divisible garch models evidence from stock index markets classical time series models have failed to properly assess the risks that are associated with large adverse stock price behaviour this article contributes to autoregressive moving average model garch arma garch models with standard infinitely divisible innovations and assesses the performance of these models by comparing them with other time series models that have normal innovation we discuss the limitations of value at risk var and aim to develop early warning signal models using average value at risk avars based on the arma garch model with standard infinitely divisible innovations empirical results for the daily dow jones industrial average index the england financial times stock exchange 100 index and the japan nikkei 225 index reveal that estimating avars for the arma garch model with standard infinitely divisible innovations offers an improvement over prevailing models for evaluating stock market risk exposure during periods of distress in financial markets and provides a suitable early

revisiting drivers of energy intensity in china during 1997 2007 a structural decomposition analysis the decline of china s energy intensity slowed since 2000 during 2002 2005 it actually increased reversing the long term trend therefore it is important to identify drivers of the fluctuation of energy intensity we use input output structural decomposition analysis to investigate the contributions of changes in energy mix sectoral energy efficiency production structure final demand structure and final demand category composition to china s energy intensity fluctuation during 1997 2007 we include household energy consumption in the study by closing the input output model with respect to households results show that sectoral energy efficiency improvements contribute the most to the energy intensity decline during 1997 2007 the increase in china s energy intensity during 2002 2007 is instead explained by changes in final demand composition and production structure changes in final demand composition are mainly due to increasing share of exports while changes in production structure mainly arise from the shift of chinese economy to more energy intensive industries changes in energy mix and final demand structure contribute little to china s energy intensity fluctuation from the consumption perspective growing exports of energy intensive products and increasing infrastructure demands explain the majority of energy intensity increase during 2002 2007

experiments with the pivot process for providing public goods interest in demand revealing mechanisms for providing public goods has both waned and then renewed over the past two decades the possibility of using such mechanisms in different venues than originally anticipated sparked the research reported here the specific motivation for this paper is to conduct a series of simple direct tests of one version of the class of mechanisms failure of demand revelation was much more expensive than we had expected even when compared to previous research with related mechanisms the reason for this remains an open question

on the normal inverse gaussian stochastic volatility model in this article the normal inverse gaussian stochastic volatility model of barndorff nielsen is extended the resulting model has a more flexible lag structure than the original one in addition the second and fourth order moments important properties of a volatility model are derived the model can be considered either as a generalized autoregressive conditional heteroscedasticity model with nonnormal errors or as a stochastic volatility model with an inverse gaussian distributed conditional variance a simulation study is made to investigate the performance of the maximum likelihood estimator of the model finally the model is applied to stock returns and exchange rate movements its fit to two stylized facts and its forecasting performance is compared with two other volatility models

energy intensity and investment ownership across chinese provinces abstract the main objective of this paper is to investigate whether openness and investment ownership are key factors in explaining the diffusion of energy saving technologies in china compared with previous studies the novel aspect of this work is the use of a rich dataset at provincial level which allows the high level of regional heterogeneity to be taken into consideration the unbalanced regional growth has been translated into differences in the need for energy resources across the vast territory of china a detailed analysis of these issues may provide new insights into the energy situation in this country the analysis is also disaggregated by type of energy coal electricity and petroleum we estimate the models by panel corrected standard errors developed by beck and katz 1995 over the period 1985 2008 results obtained confirm the hypothesis that both foreign and non state investments play a leading role in the decline of energy intensity across chinese regions whereas there is no evidence of a positive contribution of state investment the findings also reveal differences in energy intensity across regions thus confirming the importance of accounting for the regional dimension when analyzing energy consumption in china

can energy price regulations smooth price fluctuations evidence from china s coal sector abstract due to the dominance of coal in china s energy mix coal prices have always been a challenging part of pricing reform the recent frequent government interventions raise the key research questions what is the actual impact of price policies on coal price fluctuations and how can forward looking pricing policies be made by proposing a novel classification of coal pricing policies and introducing an expectation and forward looking coefficient the paper examines the relationship between coal price fluctuations and pricing policies using the generalized method of moments gmm method it shows that the lagging coal price and coal demand play a positive role in regulating coal prices while coal supply and marketization have significantly negative effects on coal price fluctuations the heterogeneous impacts of price policies are due to differences in market players expectations policy instruments and the methods of policy release in addition china s coal pricing policy portfolio from 2013 to 2016 exerted synergy effects on the restraint of coal price fluctuations as the forward looking coefficient was considerably low the government s intervention behaviors were obviously biased towards ex post facto responses the paper suggests short run and long run policies to advance marketization of coal prices amid the energy transition

full extraction of the surplus in bayesian and dominant strategy auctions we consider auctions for a single indivisible object in the case where the bidders have information about each other which is not available to the seller we show that the seller can use this information to his own benefit and we completely characterize the environ ments in which a well chosen auction gives him the same expected payoff as that obtainable were he able to sell the object with full information about each bidder s willingness to pay we provide this characterization for auctions in which the bidders have dominant strate gies and for those where the relevant equilibrium concept is bayesian nash in both set ups the existence of these auctions hinges on the possibility of constructing lotteries with the correct properties we consider the situation in which an agent the seller possesses one indivisible unit of a good to which he attaches no value but the good has value to a number of potential buyers and its transfer to one of them would increase social welfare in particular the transfer to the buyer with the highest valuation maximizes social welfare in this paper we completely characterize environments in which the seller can design an auction that will enable him to capture for himself the full increase in social welfare induced by the transfer of the good to the bidder with the highest willingness to pay if the seller had full information about the reservation prices of potential buyers his optimal selling strategy would be very simple he would announce a price equal or very close to the highest reservation value the optimal strategy for the bidder with the highest evaluation would be to accept the offer note that we are treating a situation in which the seller can commit himself to a price as a result of the exchange the utility of the seller increases by the full amount of the increase in social welfare and he has been able to fully extract the surplus in many circumstances however a seller has only imperfect knowledge of the buyers willingnesses to pay in this case he must find some mechanism or auction which will enable him to maximize his benefit from the sale of the object the auction literature starts with this observation and shows how the seller can by an astute choice of auction extract the largest possible fraction of the surplus in general the literature has shown that this proportion is strictly less than one in some circumstances the bidders will have information about each other which is not available to the seller for instance in auctions for petroleum drilling rights bidders know the results of geological tests which they have

industry energy use and structural change a case study of the people s republic of china abstract this paper examines the effects of structural change and improvements in energy intensities of individual industries in aggregate industry energy intensity changes in china during 1980 88 the divisia index is used to decompose the energy intensity effect and structural effect a major finding of this analysis is that the main contribution to changed aggregate energy intensity was from the changes in energy intensities of individual industries during the period structural effects were found to contribute little to the aggregate energy intensity changes

samurai accountant a theory of auditing and plunder a risk neutral principal wishes to exact a payment from a risk neutral agent whose wealth he does not know but may verify through a costly auditing procedure we characterize efficient schemes for the principal when he is allowed to choose schedules for preaudit and postaudit payments and audit probabilities subject to the constraint that only monetary incentives can be used and that the principal may never make a net payment to the agent the main results are that efficient schemes involve preaudit payments which are increasing in the agent s wealth audit probabilities are decreasing in the agent s wealth and also satisfy certain constraints as equalities in general such schemes involve stochastic auditing and rebates after an audit in this paper we analyse the problem of a principal extracting wealth from an agent who is reluctant to part with it and is also better informed than the principal as to the amount he owns we assume that the principal has a costly means of discovering the agent s

the price variability volume relationship on speculative markets this paper concerns the relationship between the variability of the daily price change and the daily volume of trading on the speculative markets our work extends the theory of speculative markets in two ways first we derive from economic theory the joint probability distribution of the price change and the trading volume over any interval of time within the trading day and second we determine how this joint distribution changes as more traders enter or exit from the market the model s parameters are estimated by fiml using daily data from the 90 day t bills futures market the results of the estimation can reconcile a conflict between the price variability volume relationship for this market and the relationship obtained by previous investigators for other speculative markets this paper concerns the relationship between the variability of the daily price change and the volume of trading on speculative markets previous empirical studies 2 3 6 12 14 16 of both futures and equity markets always find a positive association between price variability as measured by the squared price change ap2 and the trading volume 2 there are two explanations for the relationship clark s 2 explanation which is secondary to his effort to explain why the probability distribution of the daily price change is leptokurtic emphasizes randomness in the number of within day transactions in clark s model the daily price change is the sum of a random number of within day price changes the variance of the daily price change is thus a random variable with a mean proportional to the mean number of daily transactions clark argues that the trading volume is related positively to the number of within day transactions and so the trading volume is related positively to the variability of the price change the second explanation is due to epps and epps 6 their model examines the mechanics of within day trading the change in the market price on each within day transaction or market clearing is the average of the changes in all of the traders reservation prices epps and epps assume there is a positive relationship between the extent to which traders disagree when they revise their reservation prices and the absolute value of the change in the market price that is an increase in the extent to which traders disagree is associated with a larger absolute price change the price variability volume relationship arises then because the volume of trading is positively related to the extent to which traders disagree when they revise their reservation prices

nash equilibrium and welfare optimality if is a set of social alternatives a social choice rule scr assigns a subset of a to each potential profile of individuals preferences over a where the subset is interpreted as the set of welfare optima a game form or mechanism implements the social choice rule if for any potential profile of preferences 1 any welfare optimum can arise as a nash equilibrium of the game form implying in particular that a nash equilibrium exists and 2 all nash equilibria are welfare optimal the main result of this paper establishes that any scr that satisfies two properties monotonicity and no veto power can be implemented by a game form if there are three or more individuals the proof is constructive

bridging the gap between the distribution of realized ecu volatility and arch modelling of the euro the garch nig model summary this paper bridges the gap between traditional arch modelling and recent advances on realized volatilities based on a ten year sample of five minute returns for the ecu basket currencies versus the us dollar we find that the realized volatilities constructed from the summation of the high frequency intraday squared returns conditional on the lagged squared daily returns are approximately inverse gaussian ig distributed while the distribution of the daily returns standardized by their realized volatilities is approximately normal moreover the implied daily garch model with normal inverse gaussian nig errors estimated for the ecu returns results in very accurate out of sample predictions for the three years of actual daily euro us dollar exchange rates copyright 2002 john wiley sons ltd

valuation of american call options on dividend paying stocks empirical tests abstract this paper examines the pricing performance of the valuation equation for american call options on stocks with known dividends and compares it with two suggested approximation methods the approximation obtained by substituting the stock price net of the present value of the escrowed dividends into the black scholes model is shown to induce spurious correlation between prediction error and 1 the standard deviation of stock return 2 the degree to which the option is in the money or out of the money 3 the probability of early exercise 4 the time to expiration of the option and 5 the dividend yield of the stock a new method of examining option market efficiency is developed and tested