a brain gain with a brain drain abstract we study human capital depletion and formation in an economy open to out migration as opposed to an economy which is closed under the assumption of asymmetric information the enlarged opportunities and the associated different structure of incentives can give rise to a brain gain in conjunction with a brain drain migration by high skill members of its workforce notwithstanding the home country can end up with a higher average level of human capital per worker

purchase bidding strategy for a retailer with flexible demands in day ahead electricity market the paper aims to determine the day ahead market bidding strategies for retailers with flexible demands to maximize the short term profit it proposes a short term planning framework to forecast the load under dynamic tariffs and construct biding curves stochastic programming is applied to manage the uncertainties of spot price regulating price consumption behaviors and responsiveness to dynamic tariffs a case study based on data from sweden is carried out it demonstrates that a real time selling price can affect the aggregate load of a residential consumer group and lead to load shift toward low price periods the optimal bidding curves for specific trading periods are illustrated through comparing the bidding strategies under different risk factors the case study shows that a risk averse retailer tends to adopt the strategies with larger imbalances the benefit lies in the reduction of low profit risk however the aversion to risk can only be kept in a certain level a larger imbalance may lead to a quick reduction of profit in all scenarios

magnitude and persistence of extreme risk spillovers in the global energy market a high dimensional left tail interdependence perspective abstract this paper studies the magnitude and persistence of extreme risk spillovers among stock returns of 124 energy companies worldwide between january 2006 and june 2019 as well as the corresponding firm specific determinants of firms extreme risk spillovers the high dimensional nonparametric method the coefficient of tail interdependence cti enables us to make better use of available information and to evaluate risk spillovers more precisely moreover we use spatial panel models that consider spatial heterogeneity among firms to explore the determinants of the risk spillovers the empirical findings from a study of energy firms risk spillover effects verify the necessity of persistence measurement also the most systemically risky energy companies are not necessarily the largest and some small firms can also generate large risk spillovers when they are in distress which indicates that determinants other than firm size could also affect the spillover effect such as business complexity and geographic location our regression results suggest that the extreme risk spillover of the energy companies exhibits significant heterogeneity in terms of business and region which deserves more attention for energy risk management the estimates can be used for making portfolio decisions and designing regulatory policies

human capital depletion human capital formation and migration a blessing or a curse abstract we specify conditions under which a strictly positive probability of employment in a foreign country raises the level of human capital formed by optimizing workers in the home country while some workers migrate taking along more human capital than if they had migrated without factoring in the possibility of migration a form of brain drain other workers stay at home with more human capital than they would have formed in the absence of the possibility of migration a form of brain gain

optimal bidding strategy of a plug in electric vehicle aggregator in day ahead electricity markets under uncertainty with a large scale introduction of plug in electric vehicles pevs a new entity the pev fleet aggregator is expected to be responsible for managing the charging of and for purchasing electricity for the vehicles we approach the problem of an aggregator bidding into the day ahead electricity market with the objective of minimizing charging costs while satisfying the pevs flexible demand the aggregator places demand bids only no vehicle to grid is considered the aggregator is assumed to potentially influence market prices in contrast to what is commonly found in the literature specifically the bidding strategy of the aggregator is formulated as a bilevel problem which is implemented as a mixed integer linear program the upper level problem represents the charging cost minimization of the aggregator whereas the lower level problem represents the market clearing since the bids of other market participants are not known to the aggregator ex ante a simple strategy is used to estimate them based on historical data an aggregated representation of the pev end use requirements as a virtual battery with time varying power and energy constraints is proposed derived from individual driving patterns since driving patterns cannot be perfectly forecasted we introduce a probabilistic virtual battery model we compare the results of the proposed bidding strategy with those of a bidding strategy assuming exogenous prices uncontrolled charging and a central dispatch of the fleet we also explore the impacts of different sources of uncertainty results show that with the proposed bidding strategy costs are significantly lower than under inflexible charging and are lower than assuming exogenous prices moreover the approach also performs well under uncertainty results also suggest that the aggregator only has limited market power potential at moderate pev penetrations

a broadened causality in variance approach to assess the risk dynamics between crude oil prices and the jordanian stock market within the new developed causality in variance approach this paper builds up a broad methodological framework to more accurately capture the risk spillover effects between global oil prices and jordanian stock market returns during the period 1 march 2003 31 january 2014 the sample period is divided on the basis of the 2008 financial crisis into pre crisis and post crisis periods results for the pre crisis period show a lack of risk spillovers between global oil and the jordanian stock market after the crisis however we find evidence for one way risk spillover running from the oil market these findings have implications for the design of appropriate asset allocation and regulatory policies to manage risk spillover effects

age and great invention great achievements in knowledge are produced by older innovators today than they were a century ago using data on nobel prize winners and great inventors i find that the age at which noted innovations are produced has increased by approximately 6 years over the 20th century this trend is consistent with a shift in the life cycle productivity of great minds it is also consistent with an aging workforce the paper employs a semi parametric maximum likelihood model to 1 test between these competing explanations and 2 locate any specifi cs hifts in life cycle productivity the productivity explanation receives considerable support i find that innovators are much less productive at younger ages beginning to produce major ideas 8 years later at the end of the 20th century than they did at the beginning furthermore the later start to the career is not compensated for by increasing productivity beyond early middle age i show that these distinct shifts for knowledge based careers are consistent with a knowledgebased theory where the accumulation of knowledge across generations leads innovators to seek more education over time more generally the results show that individual innovators are productive over a narrowing span of their life cycle a trend that reduces other things equal the aggregate output of innovators this drop in productivity is particularly acute if innovators raw ability is greatest when young

a lagrange multiplier test for causality in variance we adapt the lagrange multiplier lm principle to test for noncausality in variance of financial returns the new test is compared with a portmanteau statistic cheung y w ng l k 1996 a causality in variance test and its application to financial market prices journal of econometrics 72 33 48 a monte carlo study reveals superior power of the lm test

brain drain and economic growth theory and evidence we focus on the impact of migration prospects on human capital formation and growth in a small open developing economy we assume that agents are heterogeneous in skills and take their educational decisions in a context of uncertainty regarding future migrations we distinguish two growth effects an ex ante brain effect migration prospects foster investments in education because of higher returns abroad and an ex post drain effect because of actual migration flows the case for a beneficial brain drain bbd emerges when the first effect dominates i e when the average level of human capital is higher in the economy opened to migrations than in the closed economy we derive the theoretical conditions required for such a possibility to be observed using cross section data for 37 developing countries we find that the possibility of a bbd could be more than a theoretical curiosity

nash equilibrium in strategic bidding a binary expansion approach this paper presents a mixed integer linear programming solution approach for the equilibrium problem with equilibrium constraints epec problem of finding the nash equilibrium ne in strategic bidding in short term electricity markets a binary expansion be scheme is used to transform the nonlinear nonconvex ne problem into a mixed integer linear problem milp which can be solved by commercially available computational systems the be scheme can be applicable to cournot bertrand or joint price quantity bidding models the approach is illustrated in case studies with configurations derived from the 95 gw brazilian system including unit commitment decisions to the price maker agents

bidding for brains intellectual property rights and the international migration of knowledge workers we introduce international mobility of knowledge workers into a model of nash equilibrium ipr policy choice among countries we show that governments have incentives to use iprs in a bidding war for global talent resulting in nash equilibrium iprs that can be too high rather than too low from a global welfare perspective these incentives become stronger as developing countries grow in size and wealth thus allowing them to prevent the poaching of their brains by larger wealthier markets

relationships between oil price shocks and stock market an empirical analysis from china this paper investigates the interactive relationships between oil price shocks and chinese stock market using multivariate vector auto regression oil price shocks do not show statistically significant impact on the real stock returns of most chinese stock market indices except for manufacturing index and some oil companies some important oil price shocks depress oil company stock prices increase in oil volatility may increase the speculations in mining index and petrochemicals index which raise their stock returns both the world oil price shocks and china oil price shocks can explain much more than interest rates for manufacturing index

crude oil prices and sectoral stock returns in jordan around the arab uprisings of 2010 abstract in this paper we test for mean and variance causality between world oil prices and sectoral equity returns in jordan before and after the arab uprisings that started in 2010 the testing methodology is based on the sample of cross correlation functions that are computed from the standardized residuals of a garch process our results show that the influence is not uniform across the equity sectors the oil return shocks significantly impact the financials and the services sectors while its effect is insignificant on the industrials sector this result is more pronounced in the period that follows the arab uprisings in terms of risk transfer we find that oil is a negligible risk factor however there is still a significant evidence of risk transmission to the industrials sector particularly during the arab uprisings period these results represent a unique information transmission mechanism that is useful for risk management and portfolio diversification

can a brain drain be good for growth in the source economy this paper analyzes the interaction between income distribution human capital accumulation and migration it shows that when migration is not a certainty a brain drain may increase average productivity and equality in the source economy even though average productivity is a positive function of past average levels of human capital in an economy it is also shown how the temporary possibility of emigration may permanently increase the average level of productivity of an economy

oil prices exchange rates and emerging stock markets abstract while two different streams of literature exist investigating 1 the relationship between oil prices and emerging market stock prices and 2 the relationship between oil prices and exchange rates relatively little is known about the dynamic relationship between oil prices exchange rates and emerging market stock prices this paper proposes and estimates a structural vector autoregression model to investigate the dynamic relationship between these variables impulse responses are calculated in two ways standard and the recently developed projection based methods the model supports stylized facts in particular positive shocks to oil prices tend to depress emerging market stock prices and us dollar exchange rates in the short run the model also captures stylized facts regarding movements in oil prices a positive oil production shock lowers oil prices while a positive shock to real economic activity increases oil prices there is also evidence that increases in emerging market stock prices increase oil prices

immigrant selection in the oecd in this paper we examine the determinants of educational selectivity in immigration using immigrant stock data for 70 source countries and 21 oecd destination countries as observed in the year 2000 2001 we develop a variant of the roy model to estimate the determinants of educational selectivity two key findings emerge first the effect of the skill premium which is at the core of the roy model can be observed only after we take into account the poverty constraints operating in the source countries second cultural similarities colonial legacies and physical distance are often more important determinants of educational selectivity than wage incentives or selective immigration policy

global talent flows the global distribution of talent is highly skewed and the resources available to countries to develop and utilize their best and brightest vary substantially the migration of skilled workers across countries tilts the deck even further using newly available data the paper first reviews the landscape of global talent mobility which is both asymmetric and rising in importance next the determinants of global talent flows at the individual and firm levels are presented and some important implications are sketched third the national gatekeepers for skilled migration and broad differences in approaches used to select migrants for admission are reviewed looking forward the capacity of people firms and countries to successfully navigate this tangled web of global talent will be critical to their success

income maximization and the selection and sorting of international migrants abstract two prominent features of international labor movements are that the more educated are more likely to emigrate positive selection and more educated migrants are more likely to settle in destination countries with high rewards to skill positive sorting using data on emigrant stocks by schooling level and source country in oecd destinations we find that a simple model of income maximization can account for both phenomena results on selection show that migrants for a source destination pair are more educated relative to non migrants the larger is the absolute skill related difference in earnings between the destination country and the source results on sorting indicate that the relative stock of more educated migrants in a destination is increasing in the absolute earnings difference between high and low skilled workers we use our framework to compare alternative specifications of international migration estimate the magnitude of migration costs by source destination pair and assess the contribution of wage differences to how migrants sort themselves across destination countries

measuring financial asset return and volatility spillovers with application to global equity markets we provide a simple and intuitive measure of interdependence of asset returns and or volatilities in particular we formulate and examine precise and separate measures of return spillovers and volatility spillovers our framework facilitates study of both non crisis and crisis episodes including trends and bursts in spillovers and both turn out to be empirically important in particular in an analysis of sixteen global equity markets from the early 1990s to the present we find striking evidence of divergent behavior in the dynamics of return spillovers vs volatility spillovers return spillovers display a gently increasing trend but no bursts whereas volatility spillovers display no trend but clear bursts

dynamic spillovers between oil and stock markets in the gulf cooperation council countries this article exploits a new spillover directional measure proposed by diebold and yilmaz 2009 2012 to investigate the dynamic spillover of return and volatility between oil and equities in the gulf cooperation council countries during the period 2004 to 2012 our results indicate that return and volatility transmissions are bi directional albeit asymmetric in particular the oil market gives other markets more than it receives in terms of both returns and volatilities these trends were more pronounced in the aftermath of the global financial crisis in 2008 as the net contribution of oil has intensified after a burst during the crisis the empirical evidence from the sample is consistent with a system in which oil is playing the dominant role in the information transmission mechanism between oil and equities in the gcc countries

crude oil and stock markets stability instability and bubbles abstract we analyze the long run relationship between the world price of crude oil and international stock markets over 1971 1 2008 3 using a cointegrated vector error correction model with additional regressors allowing for endogenously identified breaks in the cointegrating and error correction matrices we find evidence for breaks after 1980 5 1988 1 and 1999 9 there is a clear long run relationship between these series for six oecd countries for 1971 1 1980 5 and 1988 2 1999 9 suggesting that stock market indices respond negatively to increases in the oil price in the long run during 1980 6 1988 1 we find relationships that are not statistically significantly different from either zero or from the relationships of the previous period the expected negative long run relationship appears to disintegrate after 1999 9 this finding supports a conjecture of change in the relationship between real oil price and real stock prices in the last decade compared to earlier years which may suggest the presence of several stock market bubbles and or oil price bubbles since the turn of the century

self selection and the earnings of immigrants this paper analyzes the way in which the earnings of the immigrant population may be expected to differ from the earnings of the native population because of the endogeneity of the decision to migrate the empirical study shows that differences in the u s earnings of immigrants with the same measured skills but from different home countries are attributable to variations in political and economic conditions in the countries of origin at the time of migration excerpt

meteor showers or heat waves heteroskedastic intra daily volatility in the foreign exchange market this paper seeks to explain the causes of volatility clustering in exchange rates careful examination of intra daily exchange rates provides a test of two hypotheses heat waves and meteor showers the heat wave hypothesis is that the volatility has only country specific autocorrelation alternatively the meteor shower is a phenomenon of intra daily volatility spillovers from one market to the next using the garch model to specify the heteroskedasticity across intra daily market segments we find that the empirical evidence is generally against the null hypothesis of the heat wave using a volatility type of vector autoregression we examine the impact of news in one market on the time path of per hour volatility in other markets

developing science scientific performance and brain drains in the developing world abstract establishing a strong scientific community is important as countries develop and requires both producing and retaining of important scientists we show that developing countries produce a sizeable number of important scientists but that they experience a tremendous brain drain education levels population and per capita gdp are positively related to the number of important scientists born in and staying in a country our analysis indicates that democracy and urbanization are associated with the production of more important scientists although democracy is associated with more out migration

strategic bidding under uncertainty a binary expansion approach this work presents a binary expansion be solution approach to the problem of strategic bidding under uncertainty in short term electricity markets the be scheme is used to transform the products of variables in the nonlinear bidding problem into a mixed integer linear programming formulation which can be solved by commercially available computational systems the be scheme is applicable to pure price pure quantity or joint price quantity bidding models it is also possible to represent transmission networks uncertainties scenarios for price quantity plant availability and load financial instruments capacity reinforcement decisions and unit commitment the application of the methodology is illustrated in case studies with configurations derived from the 80 gw brazilian system

price maker self scheduling in a pool based electricity market a mixed integer lp approach this paper addresses the self scheduling problem faced by a price maker to achieve maximum profit in a pool based electricity market an exact and computationally efficient mixed integer linear programming milp formulation of this problem is presented this formulation models precisely the price maker capability of altering market clearing prices to its own benefits through price quota curves no assumptions are made on the characteristics of the pool and its agents a realistic case study is presented and the results obtained are analyzed in detail

linear complementarity models of nash cournot competition in bilateral and poolco power markets two cournot models of imperfect competition among electricity producers are formulated as mixed linear complementarity problems lcps and a simple example is presented to illustrate their application the two models simulate bilateral markets the models include a congestion pricing scheme for transmission but other transmission pricing approaches can also be represented in this framework the two models differ from each other in that one has no arbitrage between nodes of the network while in the other model arbitragers erase any noncost based differences in price the latter bilateral model turns out to be equivalent to a cournot model of a poolco the models differ from other cournot market models in that they include both of kirchhoff s laws via a dc approximation can include arbitragers possess unique solutions and are readily solved by efficient lcp algorithms the key assumption that permits their formulation as lcps is that each producer naively assumes that its output will not affect transmission prices

discussion of hydrothermal market simulator using game theory assessment of market power the game theoretic model of cournot competition among owners of both thermal generation and reservoir constrained hydro facilities in an electricity market is similar to the papers of scott and read 1 and bushnell 2 the work here 3 offers a slightly different solution approach and an interesting application to data representing the circumstances in the chilean market a comparison of the results of these other markets new zealand and western u s respectively would be useful to understand the implications of small modeling differences in particular the bushnell model exploits a formulation as a linear complementarity problem which provides well known numerical procedures and a framework for analyzing the uniqueness of solutions villar and rudnick here motivate the contrast with chile s existing cost based pool by considering the example of the california market design of 1998 to 2000 however the california model includes much more and much that is not relevant to the analysis here given the problems of the california design it might be tempting to dismiss this paper but this would be a mistake the model analyzed here would be applicable for the market design in chile with only the move to a bid based rather than an audited cost based coordinated spot market the paper simplifies the analytical problem in two prominent features first the model assumes away the effects of transmission networks and the associated transmission constraints second the model employs the cournot assumption although the authors assert that something like the supply function equilibrium model would be closer to the observed behavior in the from of bid functions hence the role of the analysis is topro vide insight in tothe nature o f the strategic interactions rather than provide conclusive estimates of the magnitude of the exercise of market power hence the real value is in the authors interpretations and explanations of the results the analysis of physical and financial contracts and their effects on market power is a familiar result both types of contracts reduce the incentive toexercise seller s market po wer in the spo t market a novel result here about the greater volatility of the financial contracts flows from a particular modeling assumption in this model there is exact performance on physical contracts and therefore no effects of a failure to perform on a contract in reality of course failure to perform is normal through over or underdelivery to some degree depending on the balancing rules and payments this could eliminate any analytical difference between the contract types

finding multiple nash equilibria in pool based markets a stochastic epec approach we present a compact formulation to find all pure nash equilibria in a pool based electricity market with stochastic demands the equilibrium model is formulated as a stochastic equilibrium problem subject to equilibrium constraints epec the problem is based on a stackelberg game where the generating companies gencos optimize their strategic bids anticipating the solution of the independent system operator iso market clearing a finite strategy approach both in prices and quantities is applied to transform the nonlinear and nonconvex set of nash inequalities into a mixed integer linear problem milp a procedure to find all nash equilibria is developed by generating holes that are added as linear constraints to the feasibility region the result of the problem is the set of all pure nash equilibria and the market clearing prices and assigned energies by the iso a case study illustrates the methodology and proper conclusions are reached

a simulation model for a competitive generation market the simulation of a wholesale electricity market should go beyond a simple optimization based on the operating costs of the generating units a model of a competitive electricity market must consider the market structure the strategy of the market participants and any other factor that lead to prices different from costs this paper presents cosmee a model of a wholesale electricity market based on simple bids that estimates expected bid prices and quantities system hourly prices and generation schedules taking into account the bidding strategies of generators and the structure of the market the model reflects the profit maximizing behavior of the market agents subject to different types of constraints cosmee has been used to simulate a real wholesale market