on the impacts of oil price fluctuations on european equity markets volatility spillover and hedging effectiveness the objective of this paper is to investigate the volatility spillovers between oil and stock markets in europe as not all industries are expected to be equally affected by oil price changes we conduct our study at both the aggregate as well as sector levels empirically we make use of a recently developed var garch approach which allows for transmissions in volatilities in addition we analyze the optimal weights and hedge ratios for oil stock portfolio holdings based on our results on the whole our findings show significant volatility spillovers between oil price and sector stock returns and suggest that a better understanding of those links is crucial for portfolio management in the presence of oil price risk

the impact of population on co2 emissions evidence from european countries this paper analyses the impact of population growth on co2 emissions in european union countries traditionally researchers have assumed a unitary elasticity of emissions with respect to population growth in this study population is treated as a predictor in the model instead of being included as part of the dependent variable per capita emissions thus relaxing the above mentioned assumption of unitary elasticity we also contribute to the existing literature by taking into account the presence of heterogeneity in the sample and considering a dynamic specification the sample covers the period 1975 1999 for the current european union members our results show that the impact of population growth on emissions is more than proportional for recent accession countries whereas for old eu members the elasticity is lower than unity and non significant when the properties of the time series and the dynamics are correctly specified the different impact of population change on co2 emissions for the current eu members should therefore be taken into account in future discussions of climate change policies within the eu

asymmetric bidding in second price common value auctions abstract two comparative static characterizations for common value auctions under second price rules are extended to heterogeneous bidders the willingness to pay of the two highest bidders is enhanced on average by the release of public information and best responses are less aggressive when facing more rival bidders

multimarket contact imperfect monitoring and implicit collusion abstract this paper presents a theoretical foundation to the possibility that multimarket contact enhances firms ability to sustain implicit collusion when firms operate in a single market and cannot perfectly monitor their opponents choices it is impossible to achieve efficiency even if these firms have a long term strategic relationship we show that when firms encounter each other in a number of distinct markets and the extent of this market contact is large efficiency can be approximately sustained by a perfect equilibrium this efficiency with imperfect monitoring holds under almost the same condition on the discount factor as with perfect monitoring journal of economic literature classification numbers c70 c72 c73 d43 l11 l22 l41

empirical observations of bidding patterns in australia s national electricity market abstract for more than a decade electricity industries have been undergoing reform worldwide however there are various sometimes contradictory conclusions about the performance of these restructured electricity markets market performance depends largely on how each market participant responds to the market design including market rules market operational procedures and information revelation in this paper we identify and examine the strategies adopted by generators in australia s national electricity market based on publicly available data for the period from may 1 2002 to may 31 2003 we try to understand and answer some basic questions like how generators respond collectively or individually to changes in market conditions e g load changes and why they behave in this way the statistics calculated from the data show that wide variations in the frequency of strategic bidding and rebidding exist that generators more frequently use capacity offers as a strategic tool than price offers that large generating units are more likely to use capacity strategies to control market prices and that generators are capable of responding to changes in market conditions

bayesian estimation and selection of nonlinear vector error correction models the case of the sugar ethanol oil nexus in brazil nonlinear adjustment toward long run price equilibrium relationships in the sugar ethanol oil nexus in brazil is examined we develop generalized bivariate error correction models that allow for cointegration between sugar ethanol and oil prices where dynamic adjustments are potentially nonlinear functions of the disequilibrium errors a range of models are estimated using bayesian monte carlo markov chain algorithms and compared using bayesian model selection methods the results suggest that the long run drivers of brazilian sugar prices are oil prices and that there are nonlinearities in the adjustment processes of sugar and ethanol prices to oil price but linear adjustment between ethanol and sugar prices

democracy financial openness and global carbon dioxide emissions heterogeneity across existing emission levels summary the determinants of co 2 emissions have attracted many researchers over the past few decades most of studies however ignore the possibility that effect of independent variables on co 2 emissions could vary throughout the co 2 emission distribution we address this issue by applying quantile regression methods we examine whether greater democracy and more financial openness consistently reduce emissions among the most and least emission nations our results show that the effect of democracy on co 2 emissions is heterogeneous across quantiles among the most emissions nations greater democracy appears to reduce emissions but more financial openness does not appear to reduce it

electricity market integration decarbonisation and security of supply dynamic volatility connectedness in the irish and great britain markets abstract this study investigates the volatility connectedness between the irish and great britain electricity markets and how it is driven by changes in energy policy institutional structures and political ideologies we assess various aspects of this volatility connectedness including static unconditional vs dynamic conditional symmetric vs asymmetric characteristics between 2009 and 2018 we find that the volatility connectedness is time varying and it is significantly affected by important events policy reforms or market re designs such as brexit oil price slump an increasing share of renewables and fluctuations in the exchange rates our asymmetric analysis shows that magnitude of the good volatility connectedness is marginally larger than that of the bad volatility connectedness our result suggests that good volatility levels would be even higher once the irish market adopts the carbon price floor therefore supporting renewable generation by setting an appropriate price of carbon in interconnected wholesale electricity markets will improve market integration

private monitoring games and decisions under uncertainty abstract we investigate the value of delaying the punishment in private monitoring repeated games with almost public information when players use a grim trigger strategy if the effects of uncertainty and irreversibility are considered the equilibrium set would change

high frequency volatility connectedness between the us crude oil market and china s agricultural commodity markets abstract this paper investigates the realised volatility connectedness of us crude oil futures and five china s agricultural commodity futures using connectedness measures and high frequency data time varying volatility connectedness characteristics are identified by combining a multivariate heteroscedastic autoregressive har model with the dcc garch model the results verify the existence of volatility spillover from the us crude oil market to china s agricultural commodity markets although the magnitude of this spillover is weak furthermore the realised volatility is decomposed into positive and negative components to identify the asymmetric effect of volatility connectedness the results show that market interdependence has obviously increased for negative volatility relative to positive volatility implying that volatility transmission has a leverage effect across markets

the impact of renewable energy forecast errors on imbalance volumes and electricity spot prices abstract this paper contributes to the general consideration of whether a policy of incentivising system operators to improve the quality and market availability of forecasts for renewable energy outputs would be beneficial using data from the german electricity market we investigate the effect of wind and solar energy forecasts errors on imbalance volumes and subsequent spot electricity prices we use ordinary least squares regression quantile regression and autoregressive moving averages to identify these relationships using variables that have a quarter hourly data granularity the results show that higher wind and solar forecast errors increase the absolute values of imbalance volumes and that these can pass through into higher spot prices we find that wind forecast errors in germany impact spot prices more than solar forecasting errors policy incentives to improve the accuracy and availability of renewable energy forecasts by the system operators should therefore be encouraged

modeling returns and volatility transmission between oil price and us nigeria exchange rate article i nfo this paper models returns and volatility transmission between oil price op and us nigeria exchange rate exr consequently it provides five main innovations i it analyzes op and exr using the recently devel oped test by narayan and popp 2010 np which allows for two structural breaks in the data series ii it employs the narayan and liu 2011 nl garch unit root test to evaluate robustness of np test iii it con siders the newly developed var garch model to capture the spillover effects in the returns and volatility of op and exr iv it modifies the var garch model to account for structural breaks obtained from the np procedure and v using the results obtained from the var garch model it examines the optimal weights of holding oil and foreign exchange fx assets and also computes the hedging ratios in the presence of oil risk based on the np and nl tests it finds robust structural breaks that coincide with the period of global fi nancial crisis as well as period of fx crisis in nigeria also it establishes a bidirectional returns and spillover transmission between oil and fx markets finally its findings reveal evidence of hedging effectiveness involving oil and fx markets in nigeria and thus the inclusion of oil into a diversified portfolio of fx will improve its risk adjusted return performance

forecasting electricity prices and their volatilities using unobserved components abstract the liberalization of electricity markets more than ten years ago in the vast majority of developed countries has introduced the need of modelling and forecasting electricity prices and volatilities both in the short and long term thus there is a need of providing methodology that is able to deal with the most important features of electricity price series which are well known for presenting not only structure in conditional mean but also time varying conditional variances in this work we propose a new model which allows to extract conditionally heteroskedastic common factors from the vector of electricity prices these common factors are jointly estimated as well as their relationship with the original vector of series and the dynamics affecting both their conditional mean and variance the estimation of the model is carried out under the state space formulation the new model proposed is applied to extract seasonal common dynamic factors as well as common volatility factors for electricity prices and the estimation results are used to forecast electricity prices and their volatilities in the spanish zone of the iberian market several simplified alternative models are also considered as benchmarks to illustrate that the proposed approach is superior to all of them in terms of explanatory and predictive power

co2 emissions and intersectoral linkages the case of spain this paper proposes a methodology to identify the most relevant productive transactions in terms of co2 emissions in the most polluting sectors of an economy and applies this methodology to the spanish case emissions can be related to the co2 emissions intensity of sectors co2 intensity factor to the size of the economy s flows scale factor to the input output productive relationships within an economy technology production factor and to the structure of final demand of different sectors demand factor a formal analysis of these factors is carried out by means of an input output framework combined with a sensitivity analysis by considering key sectors and relevant transactions in terms of co2 emissions the most effective policy measures aimed at reducing co2 emissions can be identified

greener more integrated and less volatile a quantile regression analysis of italian wholesale electricity prices abstract this paper provides estimates of quantile regression models of the relationship between italian day ahead electricity prices the supply of renewables and the inception of a new cable sapei linking sardinia with the italian peninsula in the 2006 2015 time window the results confirm the merit order effects detected in the existing literature both for photovoltaics and wind power more strongly in market conditions characterised by moderately low price levels and with some implied increase in volatility the new cable has apparently challenged the ability of power generating companies to extract value through price spikes has mitigated volatility and its effects have been complementary with those of renewables effects from photovoltaics are more sensitive to robustness checks differences across zonal markets are nonetheless detected

global connectedness of msci energy equity indices a system wide network approach abstract the paper utilizes msci energy indices of 21 major energy consumer economies as a full sample to serve as a proxy indicator of the energy sector of these economies and then studies the squared return spillover interlinkages among them for the pre and post global financial crisis of 2008 and during the crude oil crises of 2008 09 and 2014 15 the squared return spillover connectedness has been analyzed on intra and inter regional basis based on the segregation of indices into regions viz europe north and latin america and asia pacific and africa the connectedness interlinkage has been quantified deploying generalized error variance decomposition gevd and the results have been visualized via network diagrams the result shows that the return spillover connectedness is significant and is more prominent in some economies primarily in europe and north america for the full sample however post crisis the squared return spillover connectedness of emerging economies of asia pacific has witnessed a boost surprisingly russia as a major oil exporter sends moderate shocks system wide in the post crisis era implying economic sanctions downplay the influence it could make in the energy sector during the crisis year though spillover risk transmission is high during the 2008 09 crisis it is more spread out during the 2014 15 crisis with the inclusion of the asia pacific emerging market energy indices

the role of consumption patterns demand and technological factors on the recent evolution of co2 emissions in a group of advanced economies changes in production structures and modifications of patterns of consumption are key factors in the fight against environmental harm initiatives such as agenda 21 promoted by the un highlight the need to evaluate the relationships among factors of production and consumption innovation and demographics and the environment in the attainment of sustainable development in this context our work studies in depth those factors underlying the economic activity of households in a representative group of european union countries and the us within the framework of an input output model a structural decomposition analysis is considered in order to identify the weight that growth in demand changes in patterns of consumption changes in the distribution of income the substitution of inputs and changes in energy intensity have all had on the evolution of co2 emissions the work specifically seeks to identify common patterns and differential behaviors among productive sectors in the european social environment the results show that growth in demand and therefore in production largely absorbs the limited effect of technological and efficiency improvements and the incipient changes observed in consumption patterns

cointegration analysis of spot electricity prices insights on transmission efficiency in the western us abstract the us energy policy act of 1992 promoted the development of spot markets for electric power by requiring utilities to open their transmission systems to wholesale power sales in this paper we specify and estimate a vector error correction model using peak and off peak electricity spot prices during 1994 1996 covering 11 regional markets in the western united states and test these prices for evidence of market integration the results show evidence of an efficient and stable wholesale power market

high penetration wind generation impacts on spot prices in the australian national electricity market this paper explores wind power integration issues for the south australian sa region of the australian national electricity market nem by assessing the interaction of regional wind generation electricity demand and spot prices over 2 recent years of market operation sa s wind energy penetration has recently surpassed 20 and it has only a limited interconnection with other regions of the nem as such it represents an interesting example of high wind penetration in a gross wholesale pool market electricity industry our findings suggest that while electricity demand continues to have the greatest influence on spot prices in sa wind generation levels have become a significant secondary influence and there is an inverse relationship between wind generation and price no clear relationship between wind generation and demand has been identified although some periods of extremely high demand may coincide with lower wind generation periods of high wind output are associated with generally lower market prices and also appear to contribute to extreme negative price events the results highlight the importance of electricity market and renewable policy design in facilitating economically efficient high wind penetrations

supply side structural effect on carbon emissions in china abstract this paper carries out a structural decomposition analysis sda of production related carbon emissions in china from 1992 to 2005 by adopting the ghosh input output model it finds that the supply side structure measured by sectoral shares in value added increased production related carbon emissions in 1992 2002 mainly due to the rapid growth of manufacturing sectors but reduced them in 2002 2005 thanks to the decreased shares of carbon intensive sectors whatever the supply side structure forward carbon multipliers of each sector or changes in supply side sectoral shares and related emissions effects calculated by adopting the ghosh input output model were different from their demand side counterparts estimated by adopting the leontief input output model the results suggest optimizing the supply side structure and lowering the forward carbon multipliers to control carbon emissions in the future

decomposition analysis of co2 emissions from electricity generation in china abstract electricity generation in china mainly depends on coal and its products which has led to the increase in co2 emissions this paper intends to analyze the current status of co2 emissions from electricity generation in china during the period 1991 2009 and apply the logarithmic mean divisia index lmdi technique to find the nature of the factors influencing the changes in co2 emissions the main results as follows 1 co2 emission from electricity generation has increased from 530 96 mt in 1991 to 2393 02 mt in 2009 following an annual growth rate of 8 72 coal products is the main fuel type for thermal power generation which accounts for more than 90 co2 emissions from electricity generation 2 this paper also presents co2 emissions factor of electricity consumption which help calculate co2 emission from final electricity consumption 3 in china the economic activity effect is the most important contributor to increase co2 emissions from electricity generation but the electricity generation efficiency effect plays the dominant role in decreasing co2 emissions

volatility spillovers across international swap markets the us japan and the uk abstract this paper examines volatility spillovers across the three major international swap markets namely the us japan and the uk we apply a multivariate var egarch model by incorporating the slope of term structure and corporate spread variables to capture the time varying nature of swap spread volatility across countries our empirical findings show that the changes in the swap spreads are significantly influenced by the slope of term structure variable in all three currencies we find that the us swap market has a major influence on the japanese and uk swap markets but not vice versa we also find that reciprocal spillovers exist between japanese and the uk swap markets in almost all cases the degree of volatility persistence is fairly strong and in many cases we find asymmetric volatility spillovers across maturity and country

a variance spillover analysis without covariances what do we miss we evaluate the relevance of covariances in the transmission mechanism of variance spillovers across the us stock us bond and gold markets from july 2003 to december 2012 for that purpose we perform a comparative spillover analysis between a model that considers covariances and a model that considers only variances our results emphasise the importance of covariances including covariances leads to an overall increase of the spillover level and detects the beginnings of the financial crisis and of the us debt ceiling crisis earlier than the spillover measure that considers only variances even for the low dimensional system that we consider one misses important variance spillover channels when covariances are excluded

realized volatility and the influence of market measures on predictability analysis of nord pool forward electricity data abstract this is the first paper to utilize intra daily high frequency data and to apply known market measures for the prediction of volatility in the nord pool electricity forward market the work is based on recent methods of separating realized volatility into two components continuous and jump volatilities in addition the link between future price volatility and current observable economic variables is examined the measures trading volume time to maturity asymmetric effect from negative shocks and intra week seasonality are assessed to identify improvements in day ahead predictions the model where the total variation is separated into its continuous and jump components is compared with the simpler heterogeneous autoregressive model of realized variation both in and out of sample the results show a strong degree of persistence in realized volatility and significant impacts from the mentioned market measures when predicting nord pool forward price volatility hence there is a clear preference for models accounting for the systematic impact of market measures to improve volatility assessment for tomorrow moreover separating the total variation into continuous and jump components seems potentially useful when predicting day ahead volatility

drivers of intersectoral metal consumption intensity in china a combined input output and sensitivity analysis abstract as a country with a high level of metal consumption china must urgently formulate effective policies to improve its metal use efficiency this article identifies the key sectors with the highest metal consumption intensity mci and investigates the effect of the pure technical and final demand coefficients on the mci of key sectors using a combined input output and sensitivity analysis the results show that the average mci of key industries increased from 7 37 tonnes per ten thousand yuan to 32 13 tonnes per ten thousand yuan during the period from 2002 to 2012 and the manufacturing and processing of the metals sector n14 revealed the greatest mci moreover the elasticity of the mci in terms of the pure technical and final demand coefficients of key sectors also increased rapidly from 2002 to 2012 and the number of corresponding transactions leading to the increase in key sectoral mci significantly increased in terms of the elasticity of the technical coefficients their sensitivity exceeded that of the pure technical coefficients in most cases due to the influence of the demand structure and direct transactions between sectors had important impacts on the mci in most key industries meanwhile almost all the sectors exerted direct or indirect effects on the mci of the mining of metal ores industry n4 in addition the manufacturing of general and special purpose machinery n16 manufacturing of electrical machinery and apparatus n18 and construction n22 exerted influences on most sectors concerning the final demand coefficient elasticity the gross fixed capital formation of most sectors induced the greatest elasticity in the corresponding sectors and the greatest elasticity of all the sectors was related to the gross fixed capital formation of n22

evaluating the market splitting determinants evidence from the iberian spot electricity prices abstract this paper aims to assess the main determinants on the market splitting behaviour of the iberian electricity spot markets iberia stands as an ideal case study where the high level deployment of wind power is observed together with the implementation of the market splitting arrangement between the portuguese and the spanish spot electricity markets logit and non parametric models are used to express the probability response for market splitting of day ahead spot electricity prices as a function of the explanatory variables representing the main technologies in the generation mix wind hydro thermal and nuclear power together with the available transfer capacity and electricity demand logit models give preliminary indications about market splitting behaviour and then notwithstanding the demanding computational challenge a non parametric model is applied in order to overcome the limitations of the former models results show an increase of market splitting probability with higher wind power generation or more generally with higher availability of low marginal cost electricity such as nuclear power generation the european interconnection capacity target of 10 of the peak demand of the smallest interconnected market might be insufficient to maintain electricity market integration therefore pro active coordination policies governing both interconnections and renewables deployment should be further developed

assessing the influence of manufacturing sectors on electricity demand a cross country input output approach abstract the production and consumption of electricity is a major source of co2 emissions in europe and elsewhere in turn the manufacturing sectors are significant end users of electricity in contrast to most papers in the literature which focus on the supply side this study tackles the demand side of electricity an input output approach combined with a sensitivity analysis has been developed to analyse the direct and indirect consumptions of electricity by eighteen manufacturing sectors in fifteen european countries with indirect electricity demand related to the purchase of industrial products from other sectors which in turn require the consumption of electricity in their manufacturing processes we identify the industrial transactions and sectors which account for a greater share of electricity demand in addition the impact of an electricity price increase on the costs and prices of manufacturing products is simulated through a price model allowing us to identify those sectors whose manufacturing costs are most sensitive to an increase in the electricity price

using an extended lmdi model to explore techno economic drivers of energy related industrial co2 emission changes a case study for shanghai china although investment and r d activities can exert significant effects on energy related industrial co2 emissions eice related factors have not been fairly uncovered in the existing index decomposition studies this paper extends the previous logarithmic mean divisia index lmdi decomposition model by introducing three novel factors r d intensity investment intensity and r d efficiency the extended model not only considers the conventional drivers of eice but also reflects the microeconomic effects of investment and r d behaviors on eice furthermore taking shanghai as an example which is the economic center and leading co2 emitter in china we use the extended model to decompose and explain eice changes also we incorporate renewable energy sources into the proposed model to carry out an alternative decomposition analysis at shanghai s entire industrial level the results show that among conventional macroeconomic factors expanding output scale is mainly responsible for the increase in eice and industrial structure adjustment is the most significant factor in mitigating eice regardless of renewable energy sources the emission reduction effect of energy intensity focused on by the chinese government is less than the expected due to the rebound effect but the introduction of renewable energy sources intensifies its mitigating effect partly resulting from the transmission from the abating effect of industrial structure adjustment the effect of energy structure is the weakest although all the three novel factors exert significant effects on eice they are more sensitive to policy interventions than conventional factors r d intensity presents an obvious mitigating effect while investment intensity and r d efficiency display an overall promotion effect with some volatility the introduction of renewable energy sources intensifies the promotion effect of r d efficiency as a result of the green paradox effect finally we propose that co2 mitigation efforts should be made by considering both macroeconomic and microeconomic factors in order to achieve a desirable emission reduction effect

cyclical properties of supply side and demand side shocks in oil based commodity markets abstract oil markets profoundly influence world economies through determination of prices of energy and transports using novel methodology devised in frequency domain we study the information transmission mechanisms in oil based commodity markets taking crude oil as a supply side benchmark and heating oil and gasoline as demand side benchmarks we document new stylized facts about cyclical properties of the transmission mechanism generated by volatility shocks with heterogeneous frequency responses our first key finding is that shocks to volatility with response shorter than one week are increasingly important to the transmission mechanism over the studied period second demand side shocks to volatility are becoming increasingly important in creating short run connectedness third the supply side shocks to volatility resonating in both the long run and short run are important sources of connectedness

dependence structure in the australian electricity markets new evidence from regular vine copulae abstract in this study regular vine copula was used to investigate the dependence structure of electricity prices at the state level in the australian national electricity market nem during three periods related to the adoption and abolition of the carbon tax in the pre carbon period we found evidence of tail dependence separately in the northern and southern nem but not across them during the carbon period the joint spike in the northern nem disappeared and the tail dependence in the southern nem decreased in the post carbon period the best dependence structure turned out to be a flexible structure of the regular vine which exactly matches the geographical infrastructure connectedness of transmission wires besides both upper and lower tail dependences were found in all adjacent states after the abolition of the carbon tax suggesting a more integrated market regarding tail dependence our findings have substantial implications for risk management in the nem especially for those participants exposed to multiple states

the effect of a new power cable on energy prices volatility spillovers abstract in this paper we estimate volatility spillovers before and after the introduction of a new cable linking different electricity market zones using wholesale electricity prices for sardinia and two neighbouring italian market zones for the period 2005 2015 we focus on the effects of the sapei cable fully operational since march 2011 var garch estimates indicate that the sapei cable allowed for stronger volatility transmission towards sardinia a smaller zone and a net importer from its new neighbour the central southern zone albeit the effect was significant only off peak higher conditional correlations between zonal prices are also observed after the cable was introduced some implications are drawn about the interaction between market size export positions congestion and volatility transmission

integration of regional electricity markets in australia a price convergence assessment abstract from an electricity market design perspective it is relevant and practical to know which market structures allow for price convergence and how long this takes to achieve this study employs the phillips and sul 2007 2009 methodology to test for the convergence of wholesale electricity prices across the australian states we identify a long run common price growth pattern that applies to a cluster formed by three eastern states that share common market characteristics and limited physical interconnection we also find another cluster with less competitive market structures that although not interconnected strongly converge towards their own trend these findings confirm theoretical expectations while quantifying the rate of convergence finally we also investigate the role that the carbon tax regime has played in the convergence process with new empirical showing that the previous results are not affected with the notable exception being the case of south australia

consumer electricity and gas prices across australian capital cities structural breaks effects of policy reforms and interstate differences abstract we detect and analyze the most significant structural changes in the quarterly growth rate of consumer electricity and gas prices in australia and estimate their corresponding seasonal effects to do so we apply the general modelling framework of the bai perron breaking regression to all available quarterly data for capital cities individually and australia as a whole 1989q3 2017q2 retail energy prices in most australian states were deregulated in the 2000s we find that increases in average quarterly growth rates of electricity and gas prices consistently occurred in the third september quarter and find very few instances of increases in any other quarters of the year in the post deregulation period price increases are significantly higher than in the pre deregulation era results for some capital cities are stark in perth third quarter growth in electricity prices has been five times higher after the structural break in australia as a whole third quarter growth in gas prices has been three times higher after the structural break we discuss several possible explanations for energy price rises in the period since deregulation

material implication of chile s economic growth combining material flow accounting mfa and structural decomposition analysis sda abstract over the last three decades the economic integration of the chilean economy into global markets has been taking place at a rapid pace for example in 1986 exports represented 29 of gdp while in 1996 they had increased to 38 of gdp this period of time was characterized by strong economic growth with an average annual growth rate of about 10 from a physical perspective material requirements more than doubled from 220 to 500 million tons of direct material inputs dmi during the same decade the rate of material growth requirements was around 13 per year the main objective of this study is to explain the changes in dmi by using a structural decomposition analysis sda the changes in material flow accounting mfa were broken down into the effects caused by changes in resource use per unit of output material intensity effect changes between and within sectors structural change effect changes in the composition of final demand mix effect changes due to shifting shares of domestic final demand and export categories category effect and finally changes in the overall level of economic activities level effects the results as a percentage of the total level of dmi used in 1986 indicate that economic growth was the major source of material changes 109 the material intensity and category effects explained 31 and 14 of the increase respectively the increase in the material intensity is mainly due to a declining quality of ores in copper production however these components were partly compensated by the structure 14 and mix 13 effects therefore for a southern american country such as chile the main causes of these changes in material consumption have been a combination of the nature of economic growth along with an increase in export production and material intensity of production

what drives intersectoral co2 emissions in china abstract aiming to identify the intersectoral linkage of larger co2 emissions sectors this paper studies the co2 emissions elasticity of technical and final demand coefficients using the input output technique the results show that the greatest emission coefficient elasticities are those related to transactions between construction and manufacture of non metallic mineral products between gross fixed capital formation and construction and between agriculture and processing and manufacture of food and production and supply of electric power and heat power and mining and washing of coal all these transactions between these sectors imply that co2 emissions control policy only for a specific sector maybe have no obvious co2 emissions mitigations if national government promote the growth of those sectors which have the biggest emission coefficient sensitivity with it now chinese government formulates the policy to promote new type urbanization urbanization will cause the gross fixed capital formation in construction and the more demands for the products of manufacture of non metallic mineral products production smelting and pressing of ferrous metals and supply of electric power and heat power so how to balance the carbon emissions in larger emissions sectors and rapid urbanization is a big challenge for decision makers

asymmetric volatility in european day ahead power markets a comparative microeconomic analysis this paper uses high frequency spot price data from fourteen wholesale electricity markets in europe to analyze asymmetric volatility in european day ahead power markets with exponential garch e garch and tarch models our data set ranges from 1992 to 2015 and consists of approximately 926 000 observations as such this paper constitutes the most extensive and comprehensive work conducted so far on european power markets to the best of our knowledge unlike most of the literature that treats price as a continuous variable and attempts to model its trajectory this paper adopts a unique approach and regards each hour in a day a separate market the results show in post 2008 period the most expensive electricity is consumed in turkey ireland and uk while the cheapest power is in russia nordic countries and czech republic russia poland and czech republic have the least volatile markets while france ireland and portugal have the most volatile ones volatility has decreased in many european countries in post 2008 period besides we find magnitude effect is usually larger than the leverage effect meaning that the absolute value of price change is relatively more important than the sign of the change whether it is an increase or a decrease to explain volatility in european day ahead power markets moreover the results imply there is not a uniform inverse leverage effect in electricity prices that is price increases are more destabilizing in some european markets e g poland slovenia ireland netherlands than comparable price decreases but vice versa also holds true in some other countries e g portugal and france leverage or inverse leverage effect in post 2008 period is relatively stronger in portugal france and ireland but its impact is quite limited in turkey and germany furthermore although the impact of seasonality on prices is obvious a specific pattern cannot be identified finally large changes in the volatility will affect future volatilities for a relatively longer period of time in nordic countries ireland and the uk while changes in current volatility will have less effect on future volatilities in czech republic russia and turkey

stochastic price modeling of high volatility mean reverting spike prone commodities the australian wholesale spot electricity market it is commonly known that wholesale spot electricity markets exhibit high price volatility strong mean reversion and frequent extreme price spikes this paper employs a basic stochastic model a mean reverting model and a regime switching model to capture these features in the australian national electricity market nem comprising the interconnected markets of new south wales queensland south australia and victoria daily spot prices from 1 january 1999 to 31 december 2004 are employed the results show that the regime switching model outperforms the basic stochastic and mean reverting models electricity prices are also found to exhibit stronger mean reversion after a price spike than in the normal period and price volatility is more than fourteen times higher in spike periods than in normal periods the probability of a spike on any given day ranges between 5 16 in nsw and 9 44 in victoria

forecasting the joint distribution of australian electricity prices using dynamic vine copulae abstract we consider the problem of modelling and forecasting the distribution of a vector of prices from interconnected electricity markets using a flexible class of drawable vine copula models where we allow the dependence parameters of the constituting bivariate copulae to be time varying we undertake in sample and out of sample tests using daily electricity prices and evidence that our model provides accurate forecasts of the underlying distribution and outperforms a set of competing models in their abilities to forecast one day ahead conditional quantiles of a portfolio of electricity prices our study is conducted in the australian national electricity market nem which is the most efficient power auction in the world electricity prices exhibit highly stylised features such as extreme price spikes price dependency between regional markets correlation asymmetry and non linear dependency the developed approach can be used as a risk management tool in the electricity retail industry which plays an integral role in the apparatus of modern energy markets electricity retailers are responsible for the efficient distribution of electricity while being exposed to market risk with extreme magnitudes

communication in repeated games with imperfect private monitoring this paper examines repeated games in which each player observes a private and imperfect signal on the actions played and in which players are allowed to communicate using public messages providing incentives for players to reveal their observations generates revelation constraints that combined with signal imperfections may be a source of inefficiencies however by delaying the revelation of their observations players may economize on the cost of deterring deviations and thereby avoid these inefficiencies because a player would not want to trigger a sanction that would penalize him too revelation constraints also tend to make sanctions difficult to enforce however with at least three players detecting deviations may not require that all the players reveal their observations in that case we obtain a nash threat version of the folk theorem with two players we do not obtain a similar result nevertheless we show that an efficient outcome can almost always be approximated

analyzing and forecasting volatility spillovers asymmetries and hedging in major oil markets crude oil price volatility has been analyzed extensively for organized spot forward and futures markets for well over a decade and is crucial for forecasting volatility and value at risk var there are four major benchmarks in the international oil market namely west texas intermediate usa brent north sea dubai oman middle east and tapis asia pacific which are likely to be highly correlated this paper analyses the volatility spillover and asymmetric effects across and within the four markets using three multivariate garch models namely the constant conditional correlation ccc vector arma garch varma garch and vector arma asymmetric garch varma agarch models a rolling window approach is used to forecast the 1 day ahead conditional correlations the paper presents evidence of volatility spillovers and asymmetric effects on the conditional variances for most pairs of series in addition the forecast conditional correlations between pairs of crude oil returns have both positive and negative trends moreover the optimal hedge ratios and optimal portfolio weights of crude oil across different assets and market portfolios are evaluated in order to provide important policy implications for risk management in crude oil markets

modelling interregional links in electricity price spikes abnormally high price spikes in spot electricity markets represent a significant risk to market participants as such a literature has developed that focuses on forecasting the probability of such spike events moving beyond simply forecasting the level of price many univariate time series models have been proposed to dealwith spikes within an individual market region this paper is the first to develop a multivariate self exciting point process model for dealing with price spikes across connected regions in the australian national electricity market the importance of the physical infrastructure connecting the regions on the transmission of spikes is examined it is found that spikes are transmitted between the regions and the size of spikes is influenced by the available transmission capacity it is also found that improved risk estimates are obtained when inter regional linkages are taken into account

supply and demand elasticities in the u s ethanol fuel market abstract the market for ethanol has grown from approximately 1 2 billion gallons in 1997 to almost 5 billion gallons in 2006 with the huge increase in ethanol demand in recent years the growth in derived demand for corn has driven up many food prices this paper uses monthly data from 1997 2006 to estimate the market supply and demand for ethanol at the national level the simultaneous determination of the supply and demand curves using two stage least squares allows for the calculation of supply and demand side elasticities which are important results in light of the tremendous growth in this market and recent legislation concerning ethanol

multilevel lmdi decomposition of changes in aggregate energy consumption a cross country analysis in the eu 27 abstract this paper aims at analysing the factors behind the change in aggregate energy consumption in the eu 27 also identifying differences between member states the logarithmic mean divisia index method lmdi is applied to multiplicatively decompose at the country level the variation in aggregate energy consumption in the eu 27 member states for the 2001 2008 period we also analyse the sensitivity of the results when several aggregation levels are considered with energy intensity used as the criterion to aggregate countries this allows us to check robustness of results also enabling an improved understanding of both inter and intra unit effects results indicate that improvements in energy efficiency in the eu 27 were not enough to overcome the pressure of european economic activity on aggregate energy consumption mediterranean countries and especially former communist states increased their energy consumptions most of them favoured by structural change the analysis also reveals that the impact of intra group movements on aggregate energy consumption is partially offset when moving from higher to lower aggregation levels

volatility spillovers between food and energy markets a semiparametric approach previous literature on volatility links between food and energy prices is scarce and mainly based on parametric approaches this article examines these links by using a semiparametric garch model recently proposed by long et al 2011 which is essentially a nonparametric correction of the parametric conditional covariance function the analysis focuses on price links between crude oil ethanol and sugar prices in brazil results suggest strong volatility links between the prices studied parametric approximations of the conditional covariance matrix may lead to misleading results that can be improved upon by using nonparametric techniques

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

modelling price and volatility inter relationships in the australian wholesale spot electricity markets this paper examines the inter relationships of wholesale spot electricity prices among the four regional electricity markets in the australian national electricity market nem namely new south wales queensland south australia and victoria using the constant conditional correlation and tse and tsui s tse y k tsui a k c 2002 a multivariate generalised autoregressive conditional heteroscedasticity model with time varying correlations journal of business and economic statistics 20 3 351 362 and engle s engle r 2002 dynamic conditional correlation a sample class of multivariate generalized autoregressive conditional heteroskedasticity models journal of business and economic statistics 20 3 339 350 dynamic conditional correlation multivariate garch models tse and tsui s tse y k tsui a k c 2002 a multivariate generalised autoregressive conditional heteroscedasticity model with time varying correlations journal of business and economic statistics 20 3 351 362 dynamic conditional correlation multivariate garch model which takes account of the student t specification produces the best results at the univariate garch 1 1 level the mean equations indicate the presence of positive own mean spillovers in all four markets and little evidence of mean spillovers from the other lagged markets in the dynamic conditional correlation equation the highest conditional correlations are evident between the well connected markets indicating the presence of strong interdependence between these markets with weaker interdependence between the not so well interconnected markets

on the theory of repeated games with private information part ii revelation through communication abstract we consider repeated games with private information discounting and communication similarly to abreu et al 1986 1987 we characterize supergame equilibrium allocations with truthful revelation in the two player case efficiency cannot be attained with supergame equilibria with truthful revelation

calculation and decomposition of indirect carbon emissions from residential consumption in china based on the input output model abstract based on the input output model and the comparable price input output tables the current paper investigates the indirect carbon emissions from residential consumption in china in 1992 2005 and examines the impacts on the emissions using the structural decomposition method the results demonstrate that the rise of the residential consumption level played a dominant role in the growth of residential indirect emissions the persistent decline of the carbon emission intensity of industrial sectors presented a significant negative effect on the emissions the change in the intermediate demand of industrial sectors resulted in an overall positive effect except in the initial years the increase in population prompted the indirect emissions to a certain extent however population size is no longer the main reason for the growth of the emissions the change in the consumption structure showed a weak positive effect demonstrating the importance for china to control and slow down the increase in the emissions while in the process of optimizing the residential consumption structure the results imply that the means for restructuring the economy and improving efficiency rather than for lowering the consumption scale should be adopted by china to achieve the targets of energy conservation and emission reduction

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

partial carbon permits allocation of potential emission trading scheme in australian electricity market emission trading is widely considered to be the most effective policy to minimize the overall costs for co2 abatement however the political feasibility of an emission trading scheme may crucially depend on the free initial allocation of emission permits to carbon intensive industries in order to offset the reduction in profits this paper aims to analyze these potential profit impacts and the possible compensation to affected generation companies through modeling the australian national electricity market under a potential emission trading scheme historical emission based and historical generation based allocation approaches are used in this paper to calculate and compare the percentages of carbon permits that should be freely allocated two carbon permit price scenarios are used to analyze the sensitivity of the optimal percentage of free allocation to carbon permit price

nonlinearities in the u s corn ethanol oil gasoline price system we use a smooth transition vector error correction model to assess price relationships within the u s ethanol industry monthly ethanol corn oil and gasoline prices from 1990 to 2008 are used in the analysis results indicate the existence of long run relationships among the prices analyzed strong links between energy and food prices are identified

optimal cartel equilibria with imperfect monitoring abstract there exist optimal symmetric equilibria in the green porter model 4 8 having an elementary intertemporal structure such an equilibrium is described entirely by two subsets of price space and two quantities the only production levels used by firms in any contingency the central technique employed in the analysis is the reduction of the repeated game to a family of static games

risk inflation and the stock market most explanations for the decline in share values over the past two decades have focused on the concurrent increase in inflation this paper considers an alternative explanation a substantial increase in the riskiness of capital investments we show that the variance of firms real gross marginal return on capital has increased significantly increasing the relative riskiness of investors returns on equity and that this can explain a large part of the market decline we also assess the effects of increase in the mean and variance of the inflation rate and a decline in firms expected return on capital this abstract was borrowed from another version of this item this abstract was borrowed from another version of this item this abstract was borrowed from another version of this item this abstract was borrowed from another version of this item this abstract was borrowed from another version of this item this abstract was borrowed from another version of this item this abstract was borrowed from another version of this item this abstract was borrowed from another version of this item this abstract was borrowed from another version of this item this abstract was borrowed from another version of this item this abstract was borrowed from another version of this item this abstract was borrowed from another version of this item this abstract was borrowed from another version of this item this abstract was borrowed from another version of this item this abstract was borrowed from another version of this item this abstract was borrowed from another version of this item this abstract was borrowed from another version of this item this abstract was borrowed from another version of this item

correlations and volatility spillovers between oil prices and the stock prices of clean energy and technology companies abstract in this paper multivariate garch models are used to model conditional correlations and to analyze the volatility spillovers between oil prices and the stock prices of clean energy companies and technology companies four different multivariate garch models bekk diagonal constant conditional correlation and dynamic conditional correlation are compared and contrasted the dynamic conditional correlation model is found to fit the data the best and generates results showing that the stock prices of clean energy companies correlate more highly with technology stock prices than with oil prices on average a 1 long position in clean energy companies can be hedged for 20 cents with a short position in the crude oil futures market

transmission of prices and price volatility in australian electricity spot markets a multivariate garch analysis this paper examines the transmission of spot electricity prices and price volatility among the five regional electricity markets in the australian national electricity market namely new south wales queensland south australia the snowy mountains hydroelectric scheme and victoria a multivariate generalised autoregressive conditional heteroskedasticity model is used to identify the source and magnitude of price and price volatility spillovers the results indicate the presence of positive own mean spillovers in only a small number of markets and no mean spillovers between any of the markets this appears to be directly related to the physical transfer limitations of the present system of regional interconnection nevertheless the large number of significant own volatility and cross volatility spillovers in all five markets indicates the presence of strong autoregressive conditional heteroskedasticity and generalised autoregressive conditional heteroskedasticity effects this indicates that shocks in some markets will affect price volatility in others finally and contrary to evidence from studies in north american electricity markets the results also indicate that australian electricity spot prices are stationary

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

the impact of australian ets news on wholesale spot electricity prices an exploratory analysis this article investigates the impact of news concerning the development of emissions trading in australia such as the carbon pollution reduction scheme cprs on wholesale electricity spot prices by using a database of 117 news announcements from december 1 1998 to july 1 2009 as power producers constitute the bulk of the participants of the proposed australian emissions trading scheme regulatory changes about allocation banking coverage targets are indeed likely to affect the five interconnected electricity markets in new south wales queensland south australia victoria and tasmania we assess these effects with an arma 1 1 garch 1 1 model where daily electricity spot prices are regressed against exogenous variables in the mean and variance equations this article constitutes the first empirical analysis of australian ets news effects on electricity wholesale spot prices our results show two asymmetric types of news effects depending on their information content

bigger cakes with fewer ingredients a comparison of material use of the world economy the amount of materials used worldwide in production and consumption increased by 56 from 1995 to 2008 using an index decomposition analysis based on the logarithmic mean divisia index we investigate the drivers of material use both on a global and a country scale we exploit a panel dataset of 40 countries accounting for 75 of worldwide material extraction and 88 of gdp from 1995 to 2008 the results show that economic growth and structural change towards material intensive countries explain most of the growth in global material use slight gains in material efficiency and falling importance of material intensive sectors have decelerating effects the country level analysis reveals substantial heterogeneity some nations exhibit stable or falling material use while it increases notably in most countries improving material efficiency is able to dampen growth of material use in important industrializing nations like china or india

managing the financial risks of electricity producers using options abstract electricity producers participating in electricity markets face risks pertaining to both selling prices and the availability of the production units among electricity derivatives options represent an adequate instrument to manage these risks in this paper we propose a multi stage stochastic model to determine the optimal selling strategy of a risk averse electricity producer including options forward contracts and pool trading a detailed case study highlights the advantages of an option vs a forward contract to hedge against the financial risks related to pool prices and unexpected unit failures

strategic bidding and rebidding in electricity markets abstract successful deregulation in electricity markets depends crucially on the ability of market regulation to promote and maintain free competition there are however important physical characteristics in electricity markets such as the constraints imposed by the physical transmission infrastructure that have the potential to undermine competition and provide opportunities for market participants to exploit temporary positions of market power in this paper the regional market of queensland australia is analysed it is found that strategic behaviour by generators exists and is closely related to the occurrence of the kind of extreme price events that characterise many deregulated electricity markets in addition rebidding behaviour by base load generators immediately after extreme price events is shown to have negative impacts on the operation of the market the key message is that promotion of competition in electricity markets can have undesirable consequences unless the regulatory policy is carefully designed to counter strategic behaviour by market participants

changes in carbon intensity in china empirical findings from 1980 2003 china experienced sustainable rapid economic growth over the period 1980 2003 but at the same time energy related carbon intensity showed a downward trend it begs the question therefore what factors were driving this decline in carbon intensity and will this decline be maintained in future moreover what measures can be adopted to ensure a continual decline in carbon intensity these questions led to increased research in the factors governing co2 emission in china this paper quantifies the driving force behind china s primary energy related carbon intensity and measures the material production sectors final energy related carbon intensity our results show that the overwhelming contributor to the decline of energy related carbon intensity was the reduction in real energy intensity however policies that focus only on the decline in energy intensity are insufficient to further decrease carbon intensity the change of primary energy mix can improve the decline of carbon intensity this should focus on the material production sectors development strategies and final energy use greater emphasis should be given to secondary industry which needs national and regional governments policy support

the hedging performance of electricity futures on the nordic power exchange the nordic power exchange nord pool the first multinational exchange for electricity trading has existed since january 1996 spot and futures contracts are traded on this exchange and its typical characteristics are very high volatilities as well as non normally distributed returns this article looks at electricity futures and how they can be used for short term hedging of positions taken in the spot market it studies the minimum variance hedge ratio and how it can be estimated in different ways the traditional naive hedge and the ols hedge are compared out of sample to more elaborate moving average and garch hedges and the empirical results indicate some gains from hedging with futures despite the lack of straight forward arbitrage possibilities in the electricity market furthermore we find a slightly better performance of the simple ols hedge compared to the conditional hedges

repeated games with private monitoring two players we investigate two player infinitely repeated games where the discount factor is less than but close to unity monitoring is private and players cannot communicate we require no condition concerning the accuracy of players monitoring technology we show the folk theorem for the prisoners dilemma with conditional independence we also investigate more general games where players private signals are correlated only through an unobservable macro shock we show that efficiency is sustainable for generic private signal structures when the size of the set of private signals is sufficiently large finally we show that cartel collusion is sustainable in price setting duopoly

speculation and volatility spillover in the crude oil and agricultural commodity markets a bayesian analysis this paper assesses factors that potentially influence the volatility of crude oil prices and the possible linkage between this volatility and agricultural commodity markets stochastic volatility models are applied to weekly crude oil corn and wheat futures prices from november 1998 to january 2009 model parameters are estimated using bayesian markov chain monte carlo methods speculation scalping and petroleum inventories are found to be important in explaining the volatility of crude oil prices several properties of crude oil price dynamics are established including mean reversion an asymmetry between returns and volatility volatility clustering and infrequent compound jumps we find evidence of volatility spillover among crude oil corn and wheat markets after the fall of 2006 this can be largely explained by tightened interdependence between crude oil and these commodity markets induced by ethanol production

an example of a repeated partnership game with discounting and with uniformly inefficient equilibria in this note we present an example of a repeated partnership game with imperfect monitoring in which all supergame equilibria with positive discount rates are bounded away from full efficiency uniformly in the discount rate provided the latter is strictly positive on the other hand if the players do not discount the future then every efficient one period payoff vector that dominates the one period equilibrium payoff vector can be attained by an equilibrium of the repeated game thus the correspondence that maps the players discount rate into the corresponding set of repeated game equilibrium payoff vectors is discontinuous at the point at which the discount rate is zero

collusion in dynamic bertrand oligopoly with correlated private signals and communication abstract this paper studies collusion in repeated bertrand oligopoly when stochastic demand levels for the product of each firm are their private information and are positively correlated it derives general sufficient conditions for efficient collusion through communication and a simple grim trigger strategy this analysis is then applied to a model where the demand signal has multiple random components which respond differently to price deviations in this model it is shown that the above sufficient conditions hold if idiosyncratic noise terms are sufficiently small journal of economic literature classification numbers c72 d82

good volatility bad volatility what drives the asymmetric connectedness of australian electricity markets efficient delivery of network services and the electricity infrastructure to meet the long term consumer s interests are the main objectives and the strategies of a national electricity market while the main interests of generators are to maximize their profit through pricing strategies therefore the objective of this study is to explore whether electricity prices across the four australian states display symmetric price volatility connectedness the study is the first attempt in the literature to make use of intraday 5 min australian dispatch electricity prices spanning the period december 8th 1998 to may 5th 2016 to quantify asymmetries in volatility connectedness emerging from good and bad volatility the results provide supportive evidence that the australian electricity markets are connected asymmetrically implying the presence of some degree of market power that is exercised by generators across regional electricity markets

carbon emissions embodied in demand supply chains in china abstract using the multi regional input output model mrio the paper distinguishes the carbon emissions embodied in commodities for domestic final consumption cbes consumption based emissions and those for export ebes export based emissions and then calculates carbon emissions embodied in the demand supply chains for consumption and export based on technical coefficients matrix of the mrio for one country taking china as an example we provide a dynamic analysis of cbes ebes and carbon emissions embodied in consumption and export demand supply chains at the sub national level based on the mrio tables for 1997 and 2007 the results show that in china the transferred carbon emissions embodied in demand supply chains driven by consumption and export both showed rapid growth during 1997 2007 and the net transferred carbon emissions embodied in the demand supply chains showed an increasing trend as well less developed regions with abundant fossil fuels tend to net flow out carbon emissions

germany s nuclear power plant closures and the integration of electricity markets in europe this paper examines the potential implications of national policies that lead to a sudden increase of wind power in the electricity mix for interconnected european electricity markets more specifically it examines market integration before and after the closures of eight nuclear power plants that occurred within a period of a few months in germany during 2011 the short and long run interrelationships of daily electricity spot prices from november 2009 to october 2012 in apx endex belpex epex de epex fr nordpool omel and swissix and wind power in the german system are analysed two mgarch multivariate generalized autoregressive conditional heteroscedasticity models with dynamic correlations are used to assess spot market behaviour in the short run and a fractional cointegration analysis is conducted to investigate changes in the long run behaviour of electricity spot prices results show positive time varying correlations between spot prices in markets with substantial shared interconnector capacity a negative association between wind power penetration in germany and electricity spot prices in the german and neighbouring markets and for most markets a decreasing speed in mean reversion

renewable energy regulation and structural breaks an empirical analysis of spanish electricity price volatility abstract international experience proves that electricity prices have undergone major changes in volatility since the entry of green technologies the intermittency of renewable sources is one of the reasons for these changes as it leads to higher volatility in periods of higher participation by renewables we argue that the development of the regulatory system promoting renewable electricity also plays a crucial role we raise a question that deserves attention could an incentive scheme induce higher share of renewables and lower volatility simultaneously in this paper we conduct an empirical analysis with spanish data we analyze possible ensuing structural changes in spanish electricity spot price volatility from january 2002 to december 2017 we identify two structural breaks linked to important measures related to renewable electricity i the abolishment of the feed in tariff scheme and ii the establishment of a more market oriented regulation based on investment and operating costs we conclude that stable regulatory policies reduce volatility even though the presence of renewable sources is greater furthermore market based policy measures achieve lower volatility encouraging good integration of intermittent renewable electricity

carbon dioxide emission drivers for a typical metropolis using input output structural decomposition analysis as the capital of china beijing is regarded as a major metropolis in the world study of the variation in temporal co2 emissions generated by the driving forces in beijing can provide guidance for policy decisions on co2 emissions mitigation in global metropolises based on input output structural decomposition analysis io sda we analysed the driving forces for the increment in co2 emissions in beijing from both production and final demand perspectives during 1997 2010 according to our results the co2 emission growth in beijing is driven mainly by production structure change and population growth partly offset by co2 emission intensity reduction as well as the decline in per capita final demand volume during the study period final demand structure change has a limited effect on the change in the co2 emissions in beijing from the final demand perspective urban trades urban residential consumption government consumption and fixed capital formation are mainly responsible for the booming emissions this study showed how the top down io sda methodology was implemented on a city scale policy implications from this study would be helpful for addressing co2 emissions mitigation in global capital cities and metropolises

a combined input output and sensitivity analysis approach to analyse sector linkages and co2 emissions abstract this paper proposes a methodology which identifies the main productive linkages between activity branches in terms of co2 emissions and applies this methodology to the spanish case it suggests that emissions are related to the input output productive relationships within an economy to the co2 emissions intensity of sectors and to the structure of final demand of different sectors a formal analysis of these factors is carried out by means of an input output framework combined with sensitivity analysis and lineal programming the most co2 emissions intensive productive relationships in spain are shown this consideration of the main linkages contributes to the identification of the key sectors and facilitates the design of effective policy measures aimed at co2 emissions abatement

the folk theorem for repeated games with observation costs abstract the folk theorem literature has been relaxing the assumption on how much players know about each other s past action here we consider a general model where players can buy precise information every period each player decides whether to pay a cost to accurately observe the actions chosen by other players in the previous period when a player does not pay the cost he obtains only imperfect private signals observational decisions are unobservable to others known strategies such as trigger strategies do not work since they fail to motivate players to pay for information this paper shows that the folk theorem holds for any level of observation costs unlike existing folk theorems with private monitoring ours imposes virtually no restriction on the nature of costless imperfect signals the theorem does not use explicit or costless communication thereby having implications on antitrust laws that rely on evidence of explicit communication the main message is that accurate observation alone however costly enables efficient cooperation in general repeated games

a dynamic network analysis of spot electricity prices in the australian national electricity market abstract this study applies dynamic network analysis to the power sector examining the relationship between regional spot electricity prices in the australian national electricity market nem in particular we employ principal component analysis and generate granger causality networks to examine the degree of interconnectedness of the nem in a time varying setting we find that the derived measures of interdependence can be related to actual market events such as price spikes unexpected high demand for electricity sudden increases in price volatility rebidding of dominant generators the temporary or permanent outage of major power stations and upgrades and limitations in transmission capacity in the analysed network we find that stronger dependence is exhibited by regional markets that are linked through interconnectors while the direction of granger causality can be related to interregional trade we further examine the usefulness of the derived measures for forecasting distributional characteristics of spot prices such as the maximum price volatility price spreads or upcoming periods of price spikes our results suggest that the derived network measures have predictive power albeit limited for the behaviour of spot electricity prices in the nem