market fundamentals competition and natural gas prices after the liberalisation of the gas industry trading hubs have emerged in europe although these hubs appear to be liquid market places fostering gas to gas competition the efficiency of the gas market remains a topic of interest as a fair share of gas is still traded through long term contracts with prices linked to the oil price while the number of gas suppliers to the european market is limited in order to assess the efficiency of the gas market we analyse the day ahead spot price at the dutch gas hub over the period 2011 2014 we find that the oil price had a small positive impact on the gas price changes in the concentration on the supply side did not affect the movement in gas prices the availability of gas in storages and the outside temperature negatively influenced the gas price we also find that the gas price was related to the production of wind electricity overall we conclude that the day ahead gas prices are predominantly determined by gas market fundamentals policies to further integrate gas markets within europe may extend this gas to gas competition to a larger region

frictionless commerce a comparison of internet and conventional retailers there have been many claims that the internet represents a new nearly frictionless market our research empirically analyzes the characteristics of the internet as a channel for two categories of homogeneous products books and cds using a data set of over 8 500 price observations collected over a period of 15 months we compare pricing behavior at 41 internet and conventional retail outlets we find that prices on the internet are 9 16 lower than prices in conventional outlets depending on whether taxes shipping and shopping costs are included in the price additionally we find that internet retailers price adjustments over time are up to 100 times smaller than conventional retailers price adjustments presumably reflecting lower menu costs in internet channels we also find that levels of price dispersion depend importantly on the measures employed when we compare the prices posted by different internet retailers we find substantial dispersion internet retailer prices differ by an average of 33 for books and 25 for cds however when we weight these prices by proxies for market share we find dispersion is lower in internet channels than in conventional channels reflecting the dominance of certain heavily branded retailers we conclude that while there is lower friction in many dimensions of internet competition branding awareness and trust remain important sources of heterogeneity among internet retailers

individual risk in an investment based social security system this paper examines the risk aspects of an investment based defined contribution social security plan we focus on the risk after the plan is fully phased in individuals deposit a fraction of wages to a personal retirement account pra invest these funds in a 60 40 equity debt mix and in a similarly invested annuity at age 67 the value of the assets follows a random walk with mean and variance of a 60 40 equity debt portfolio over the period 1946 95 a mean log return of 5 5 percent net of administrative costs of 0 4 percent and a standard deviation of 12 5 percent we study he stochastic distributions of this process by doing 10 000 simulations of the 80 year experience of the cohort that reached age 21 in 1998 the resulting annuities are compared to the future defined benefits specified in current law the benchmark benefits with no uncertainty a 5 5 percent log return would permit the benchmark benefits to be purchased with pra deposits of 3 1 percent of payroll only one sixth of the pay as you go tax needed for the benchmark benefits saving a higher share of wages provides a cushion that protects the individual from the risk of an unacceptably low level of benefits for example pra deposits of 6 percent of wages reduces the probability that the benefits are less than the benchmark to 0 17 and the probability that they are less than 61 percent of the benchmark to 0 05 pra deposits of 9 percent of wages half of the tax rate required in a pay as you go system would substantially reduce these risks this pure investment based plan is an extreme case the investment risk can be reduced further by using a mixed system that combines pay as you go and investment based components or that makes intergenerational transfers conditional on the performance of stock and bond prices this abstract was borrowed from another version of this item

toward the integration of european natural gas markets a time varying approach abstract over the past fifteen years european gas markets have radically changed in order to build a single european gas market a new regulatory framework has been established through three european gas directives the purpose of this article is to investigate the impact of the reforms in the natural gas industry on consumer prices with a specific focus on gas prices for industrial use the strength of the relationship between the industrial gas prices of six western european countries is studied by testing the law of one price for the period 1991 2009 estimations were carried out using both cointegration analysis and time varying parameter models results highlight an emerging and on going process of convergence between the industrial gas prices in western europe since 2001 for the six eu member states the strength and the level of convergence differ widely between countries strong integration of gas markets in continental europe except for the belgian market has been established it appears that the convergence process between continental countries and the uk is not completed thus the integration of european gas markets remains an open issue and the question of how far integration will proceed will still be widely discussed in the coming years

tax policy and aggregate demand management under catching up with the joneses this paper examines the role for tax policies in productivity shock driven economies with catching up with the joneses utility functions the optimal tax policy is shown to affect the economy countercyclically via procyclical taxes i e cooling down the economy with higher taxes when it is overheating in booms and stimulating the economy with lower taxes in recessions to keep consumption up thus models with catching up with the joneses utility functions call for traditional keynesian demand management policies but for rather unorthodox reasons

pareto improving social security reform when financial markets are incomplete this paper studies an overlapping generations model with stochastic production and incomplete markets to assess whether the introduction of an unfunded social security system leads to a pareto improvement when returns to capital and wages are imperfectly correlated a system that endows retired households with claims to labor income enhances the sharing of aggregate risk between generations our quantitative analysis shows that abstracting from the capital crowding out effect the introduction of social security represents a pareto improving reform even when the economy is dynamically efficient however the severity of the crowding out effect in general equilibrium tends to overturn these gains

forward curves scarcity and price volatility in oil and natural gas markets the role of inventory in explaining the shape of the forward curve and spot price volatility in commodity markets is central in the theory of storage developed by kaldor kaldor n 1939 speculation and economic stability the review of economic studies 7 1 27 and working working h 1949 the theory of the price of storage american economic review 39 1254 1262 and has since been documented in a vast body of financial literature including the reference paper by fama and french fama e f and k r french 1987 commodity futures prices some evidence on forecast power premiums and the theory of storage journal of business 60 55 73 on metals the goal of this paper is twofold i validate in the case of oil and natural gas the use of the slope of the forward curve as a proxy for inventory the slope being defined in a way that filters out seasonality ii analyze directly for these two major commodities the relationship between inventory and price volatility in agreement with the theory of storage we find that i the negative correlation between price volatility and inventory is globally significant for crude oil ii this negative correlation prevails only during those periods of scarcity when the inventory is below the historical average and increases importantly during the winter periods for natural gas our results are illustrated by the analysis of a 15 year database of us oil and natural gas prices and inventory

costly bidding in online markets for it services internet enabled markets are becoming viable venues for procurement of professional services we investigate bidding behavior within the most active area of these early knowledge markets the market for software development these markets are important both because they provide an early view of the effectiveness of online service markets and because they have a potentially large impact on how software development services are procured and provided using auction theory we develop a theoretical model that relates market characteristics to bidding and transaction behavior taking into account costly bidding we then test our model using data from an active online market for software development services which yields contracts for 30 40 of posted projects in its current format however the studied market may induce excessive bidding by vendors consistent with our theoretical predictions and those of carr 2003 higher value projects attract significantly more bids with lower average quality greater numbers of bids raise the cost to all participants due to costly bidding and bid evaluation perhaps as a consequence higher value projects are also much less likely to be awarded

what drives volatility in natural gas prices abstract we examine the primary drivers of u s natural gas price volatility to do so we apply a structural heterogeneous autoregressive var shvar model accommodating structural breaks in both the coefficient and volatility to monthly time series data on natural gas supply demand and price between january 1978 and july 2018 we detect several structural changes in coefficients and shock volatility in the natural gas market our findings indicate that the response of natural gas prices differs significantly depending on the regime and type of shock in the natural gas market while demand shocks specific to the natural gas market are the primary drivers of natural gas price volatility structural supply shocks also play a significant role in explaining movements in natural gas prices our results suggest that failure to consider structural breaks in the coefficient and volatility may result in biased estimates and distorted impulse responses of the impact of shocks on natural gas price volatility

a portfolio approach to the optimal mix of funded and unfunded pensions abstractin this paper we address the optimal funding of pensions by means of portfolio choice approach considering the unfunded paygo pension system as a quasi asset with hedging and diversif

social status and economic performance a survey abstract this survey combines ideas and results from sociology and economics recognizing that economic decisions are often shaped by social concerns and influences based on the sociological literature we define social status and describe its measurement we then describe the role of social status in economic analysis of saving and consumption wages and economic growth we review recent work on status determination in equilibrium including evolutionary models we conclude with some remarks on the need for further interaction between sociology and economics

designing social security a portfolio choice approach public social security systems may provide diversification of risks to individuals life time income capturing that a pay as you go program paygo may be considered as a quasiasset we study the optimal size of the social security program as well as the optimal split between a funded part and a paygo part by means of a theoretical portfolio choice approach a low yielding paygo system can benefit individuals if it contributes to hedge other risks to their lifetime resources moreover a funded part of the social security system can be justified by potential imperfections to the individuals free access to the stock market numerical calculations for sweden norway the us and the uk demonstrate that the optimal size of paygo part of the pension program varies considerably in response to differences in projected growth rates and the correlation between stock returns and growth our calculations suggest that a paygo program has an important role in the three former countries but not in the u k

optimal taxation when consumers have endogenous benchmark levels of consumption i examine optimal taxes in an overlapping generations economy in which each consumer s utility depends on consumption relative to a weighted average of consumption by others the benchmark level of consumption as well as on the level of the consumer s own consumption the socially optimal balanced growth path is characterized by the modi ed golden rule and by a condition on the intergenerational allocation of consumption in each period a competitive economy can be induced to attain the social optimum by a lump sum pay as you go social security system and a tax on capital income

the missing piece in policy analysis social security reform this lecture discusses the economic losses that result from an unfunded social security retirement system and the potential gain from shifting to a funded system the social security payroll tax distorts labor supply and the form in which compensation is paid although each individual s benefits are linked to that individual s previous payroll tax payments the low equilibrium rate of return inherent in an unfunded system implies a net payroll tax that causes distortions the resulting deadweight loss is 1 of each year s gdp in perpetuity an amount equal to 20 of payroll tax revenue and a 50 increase in deadweight loss of the personal income tax also there is the loss of investment income resulting from forcing employees to accept the low implicit return of an unfunded program rather than the much higher return paid on private saving or in a funded social security program the present value of the annual losses from using an unfunded system exceeds the benefit to those who received windfall transfers when the program began and when it expanded shifting to a funded program cannot reverse the crowding out of capital that has already occurred recognizing the existing unfunded obligation only makes that piece of the national debt explicit but shifting to a funded program limits crowding out of capital formation to the amount that already occurred future increases in annual saving that result from economic growth are able to earn the higher rate of return on real capital the present value of these gains is equivalent to a perpetuity of more than 2 of gdp a year the combi nation of improved labor market incentives and higher real return on saving has a net present value gain of more than 15 trillion an amount equivalent to three percent of each future year s gdp forever this abstract was borrowed from another version of this item

risk preferences in multi period consumption models the equity premium puzzle and habit formation utility abstract the relationship between the relative risk aversion measure for the utility function for consumption and that for the value function for wealth is a derived relationship whose properties depend on how consumption and wealth are defined and measured this fact together with information concerning estimates for these two relative risk aversion measures is used to give another perspective on the equity premium puzzle and to explain why it is that the habit formation utility function is effective in eliminating that puzzle a time separable utility function that can serve as an alternative to the assumption of habit formation is also presented

should we refinance unfunded social security within a continuous time overlapping generations model featuring endogenous intensive margin of the labour supply and retirement decision we analyse the issue of passing the burden of payroll revenues onto consumption or capital we find that large long run welfare gains occur when pension benefits are refinanced by consumption taxes however the transition to the new steady state is very painful for a large fraction of existing cohorts on the other hand the capital base is too small to sustain pension benefits but could be made larger if capital taxes are raised yet that would entail significant welfare losses

unanimity and compromise among probability forecasters when two forecasters agree regarding the probability of an uncertain event should a decision maker adopt that probability as his or her own a decision maker who does so is said to act in accord with the unanimity principle we examine a variety of bayesian consensus models with respect to their conformance or lack thereof to the unanimity principle and a more general compromise principle in an analysis of a large set of probability forecast data from meteorology we show how well the various models when fit to the data reflect the empirical pattern of conformance to these principles

turbulent times uncovering the origins of us natural gas price fluctuations since deregulation abstract in this paper we investigate supply and demand shocks in the u s natural gas market focusing on how the effects of these shocks have changed over time using a sign identified structural vector autoregression svar model that allows for both time varying parameters and stochastic volatility we find that supply and demand shocks are the main drivers of natural gas price fluctuations during 1993 2015 with speculative activities playing a minor role during a portion of the sample period we also find that after the recent shale boom the supply and demand of natural gas in the us have become somewhat more elastic an examination of several volatile episodes during the sample period suggest that though natural gas price fluctuations are predominately determined by fundamental factors supply and demand shocks have significantly evolved over time

asymmetric and nonlinear pass through of crude oil prices to gasoline and natural gas prices in this article we use the recently developed nonlinear autoregressive distributedlags nardl model to examine the pass through of crude oil prices into gasoline and natural gas prices our approach allowsus to simultaneously test the short and long run nonlinearities through positive and negative partial sum decompositions of the predetermined explanatory variables it also offers the possibility to quantify the respective responses of gasoline and natural gas prices to positive and negative oil price shocks from the asymmetric dynamic multipliers the obtained results indicate that oil prices affect gasoline prices and natural gas prices in an asymmetric and nonlinear manner but the price transmission mechanism is not the same important policy implications can be learned from the empirical findings

inefficient hiring in entry level labor markets hiring inexperienced workers generates information about their abilities if this information is public workers obtain its benefits if workers cannot compensate firms for hiring them firms will hire too few inexperienced workers i determine the effects of hiring workers and revealing more information about their abilities through a field experiment in an online marketplace i hired 952 randomly selected workers giving them either detailed or coarse public evaluations both hiring workers and providing more detailed evaluations substantially improved workers subsequent employment outcomes under plausible assumptions the experiment s market level benefits exceeded its cost suggesting that some experimental workers had been inefficiently unemployed

euroization what factors drive its persistence household data evidence for croatia slovenia and slovakia the question asked in this article is why people continue to use foreign currencies even after their economies have stabilized survey data for croatia slovenia and slovakia are employed to provide an answer the results confirm the role of network effects and of remittances furthermore the extent of currency substitution is found to be positively associated with the level of income and education an important aspect of euroization seems to be age older people are more likely to hold foreign currencies in contrast neither expectations about inflation rates nor about exchange rates do seem to affect the degree of euroization in a systematic and predictable way trust in the banking system is found to affect the choice between foreign currency cash and foreign currency deposits overall the results support the view that the persistence in the use of foreign currencies is driven to a large extent by factors that are related to the past

natural gas from shortages to abundance in the united states abstract the history of natural gas wellhead and pipeline regulation deregulation and regulatory reforms are discussed these reforms brought natural gas shortages and pipeline inefficiencies to an end they also created an economic platform that could support unanticipated developments in the supply and costs of domestic natural gas such unanticipated developments emerged in the last few years as several technological innovations came together to make it commercially attractive to development us shale gas deposits located deep in the earth how and why shale gas supplies will lead to dramatic changes in the united states energy future with appropriate environmental regulatory reforms are discussed

modelling futures price volatility in energy markets is there a role for financial speculation this paper models volatility in four energy futures markets adopting garch models the variance equation is enriched with alternative measures of speculation based on cftc data the market share of non commercial traders the working s t index and the percentage of net long positions of non commercials over total open interest in future markets it also includes a control for market liquidity we consider four energy commodities light sweet crude oil heating oil gasoline and natural gas over the period 2000 2014 analysed at weekly frequency we find that speculation presents a negative and significant sign the robustness exercise shows that i results remain unchanged through different model specifications garch in mean egarch and tarch ii results are robust to different specifications of the mean and variance equation

prospects for social security reform preface part i what is the social security problem 1 an overview of the issues 2 measuring solvency in the social security system 3 criteria for evaluating social security reform 4 new opportunities for the social security system part ii assessing the economic impact of social security 5 social security money s worth 6 simulating benefit levels under alternative social security reforms 7 stochastic simulation of economic growth effects 8 thinking about social security s trust fund 9 government guarantees for old age income 10 means testing social security 11 social security and employer induced retirement part iii political and practical considerations regarding social security reform 12 compliance in social security systems around the world 13 employer responses to social security reform 14 an actuarial perspective on how social security reform could influence employer sponsored pensions 15 an organized labor perspective on social security reform 16 women as widows under a reformed social security system 17 investment and administrative constraints on individual social security accounts 18 americans views of social security and social security reforms contributors index

reputation transferability in online labor markets online workplaces such as odesk amazon mechanical turk and taskrabbit have been growing in importance over the last few years in such markets employers post tasks on which remote contractors work and deliver the product of their work online as in most online marketplaces reputation mechanisms play a very important role in facilitating transactions since they instill trust and are often predictive of the employer s future satisfaction however labor markets are usually highly heterogeneous in terms of available task categories in such scenarios past performance may not be an accurate signal of future performance to account for this natural heterogeneity in this work we build models that predict the performance of a worker based on prior category specific feedback our models assume that each worker has a category specific quality which is latent and not directly observable what is observable though is the set of feedback ratings of the worker and of other contractors with similar work his

the impact of the shale gas revolution on the u s and japanese natural gas markets we investigated whether the increase in the us shale gas production changed the structures of the us and japanese natural gas markets using market data for the period 2002 5 2012 5 our analysis consists of a structural break test and market integration analysis the bai and perron structural break test detected a break point of natural gas prices and consumption in 2005 as well as other external shocks hurricane katrina and the lehman shock that are irrelevant to shale gas development we eliminated the impact of these shocks by separating the data set using the breaks identified in our analysis we found the breaks skewed the estimation a market linkage existed between the us and japanese markets in the original data set while it did not in the separated data the vector autoregressive var model also indicated a significant change before and after the break point the us market had a one side influence on the japanese market before 2005 but the influence disappeared after 2005 our results implied that the shale gas revolution triggered by the increase in shale gas production in 2005 caused the change in the relationship between the us and japanese natural gas markets

measuring future grandparents preferences for equality and relative standing individuals aversion to risk and inequality and their concern for relative standing are measured through experimental choices between hypothetical societies it is found that on average individuals are both fairly inequality averse and have a strong concern for relative income the results are used to illustrate welfare consequences based on a utilitarian swf and a modified crra utility function it is shown that the social marginal utility of income may then become negative even at income levels that are far from extreme

the optimal mix between funded and unfunded pension systems when people care about relative consumption the paper studies the optimal portfolio mix between funded and unfunded pension systems when people care about relative consumption in pay as you go systems with fixed contribution rates pensions are tied to wages this lowers the uncertainty of individuals future relative position thereby increasing the attractiveness of unfunded systems the paper shows analytically that the optimal share of funding decreases with the importance of relative standing a calibrated version of the model suggests that the concern for relative standing has also a quantitatively important impact on the optimal share of funding for reasonable assumptions it is typically around 20

time varying threshold cointegration and the law of one price a theoretical model of the law of one price which allows for seasonality in transaction costs and supply and demand conditions between markets is developed bivariate three regime threshold vector error correction models are applied to natural gas markets to examine seasonality in threshold levels results indicate that there are nonlinear adjustments to the law of one price in seven pair wise markets chicago is used as the base market in the natural gas sector dynamic threshold effects relative to the chicago market vary depending on season geographical location and whether the market is an excess producing or consuming market

what drives natural gas prices a structural var approach abstract in this study we develop a structural vector autoregressive model var for the german natural gas market our setup allows us to analyze the determinants of the natural gas price in a comprehensive framework in particular we illustrate the usefulness of our approach by disentangling the effects of different fundamental influences on gas prices during three recent supply interruptions the russian ukrainian gas dispute of january 2009 the libyan civil war in 2011 and the withheld russian exports in february 2012 our results show that the natural gas price is affected by temperature storage and supply shortfalls in the short term while the long term development is closely tied to both crude oil and coal prices capturing the economic climate and the substitution relationship between the different energy commodities

international market integration for natural gas a cointegration analysis of prices in europe north america and japan this paper investigates the degree of integration of natural gas markets in europe north america and japan in the time period between the early 1990s and 2004 the relationship between international gas market prices and their relation to the oil price are explored through principal components analysis and johansen likelihood based cointegration procedure both of them show a high level of natural gas market integration within europe between the european and japanese markets as well as within the north american market at the same time the obtained results suggest that the european respectively japanese and the north american markets were not integrated

market integration and price transmission in the u s natural gas market from the wellhead to end use markets abstract examination of the upstream downstream pricing behavior in u s natural gas industry reveals that a natural gas markets are integrated but subject to regime shifts and asymmetric adjustments suggesting market imperfections b demand and supply side shocks play important roles in determining short run price movements as evidenced by tests of causality and impulse response functions c the response of end use prices to deviations from equilibrium with wellhead prices vary electrical industrial and city gate prices adjust fast while commercial and residential prices adjust slowly consistent with the role of administered pricing in later markets d long run variations in end use prices are primarily due to their own shocks while long run variations in wellhead prices are due to innovations in residential and electrical prices these findings point to the importance of demand shocks as the primary determinant of natural gas prices in the long run

relative consumption of housing marginal saving subsidies and income taxes as a second best policy this paper analyzes whether marginal taxation of labor and capital income are useful second best instruments for internalizing the externalities caused by conspicuous housing consumption when the

the gains from pension reform we classify social security pension systems in three dimensions actuarial versus non actuarial funded versus unfunded and defined benefit versus defined contribution systems recent pension reforms are discussed in terms of these dimensions shifting to a more actuarial system reduces labor market distortions although limiting the scope for redistribution shifting to a funded system may increase saving redistribute income to future generations and distort contermporary labor supply a partial shift to a funded system helps individuals diversify their pension assets a shift from a defined benefit to a defined contribution system means that income risk will be shifted from workers to pensioners

separated influence of crude oil prices on regional natural gas import prices this paper analyses the impact of global economic activity and international crude oil prices on natural gas import prices in three major natural gas markets using the panel cointegration model it also investigates the shock impacts of the volatility and the increase and decrease of oil prices on regional natural gas import prices the results show that both global economic activity and international crude oil prices have significant long term positive effects on regional natural gas import prices the volatility of international crude oil prices has a negative impact on regional natural gas import prices the shock impact is weak in north america lags in europe and is most significant in asia which is mainly determined by different regional policies for price formation in addition the response of natural gas import prices to increases and decreases in international crude oil prices shows an asymmetrical mechanism of which the decrease impact is relatively stronger

a portfolio approach to the optimal funding of pensions abstract fully funded pension systems are advocated for their higher rate of return but this return is typically risky using a simple mean variance model we find that mixed funded unfunded systems are desirable in this setting because they enable risk diversification

world crude oil and natural gas a demand and supply model abstract this paper examines world markets for crude oil and natural gas over the period 1918 1999 it analyzes the time series properties of output and prices and estimates demand and supply elasticities during 1918 1973 and 1973 1999 oil and gas prices were stable during the first period they became volatile afterwards reflecting deep changes in the market structure following the oil shock in 1973 demand price elasticities were too low however demand income elasticities were high supply price elasticities were also too low the elasticity estimates help to explain the market power of the oil producers and price volatility in response to shocks and corroborate elasticity estimates in energy studies

the role of underground storage in the dynamics of the us natural gas market a threshold model analysis abstract natural gas is an important source of energy in the global economy hence understanding the drivers of its prices is of significant interest for the many economic agents this paper investigates the role of inventories for the dynamics of the u s natural gas market our contribution is twofold first within the threshold structural var framework we demonstrate that in a low inventory regime spot prices are more responsive to economic fundamentals in comparison to situation in which the inventories are high second we present evidence that the level of natural gas inventories have a significant effect on the relationship between spot and futures prices