la dolce vita hedonic estimates of quality of life in italian cities colombo e michelangeli a and stanca l la dolce vita hedonic estimates of quality of life in italian cities regional studies this paper investigates quality of life in italian cities using the hedonic approach it analyses micro level data for housing and labour markets to estimate compensating differentials for local amenities within four domains weather environment services and society large compensating differentials in housing markets are found whereas the effects on wages are relatively small quality of life varies substantially across space and is generally better in large and medium sized cities of the centre north services and social conditions are strongly related to overall quality of life it is also found that across cities quality of life is positively and significantly related to subjective well being

the dynamics of real estate prices institute of university of i business and v california at i economic research berkeley fisher center for real estate and urban economics p working paper series working paper no 88 151 the dynamics of real estate prices by these papers are preliminary in nature their purpose is to i e z i d 2f iz e ey bradford case are nottobccited ortluotedin john mq quigley any publication without the ex press permission of the author walter a haas school of business

uniqueness of market equilibrium on a network a peak load pricing approach abstract in this paper we establish conditions under which uniqueness of market equilibrium is obtained in a setup where prior to trading of electricity transmission capacities between different market regions are fixed in our setup firms facing fluctuating demand decide on the size and location of production facilities they make production decisions constrained by the invested capacities taking into account that market prices partially reflect scarce transmission capacities between the different market zones for this type of peak load pricing model on a network we state general conditions for existence and uniqueness of the market equilibrium and provide a characterization of equilibrium investment and production the presented analysis covers the cases of perfect competition and monopoly the case of strategic firms is approximated by a conjectural variations approach our result is a prerequisite for analyzing regulatory policy options with computational multilevel equilibrium models since uniqueness of the equilibrium at lower levels is of key importance when solving these models thus our paper contributes to an evolving strand of literature that analyzes regulatory policy based on computational multilevel equilibrium models and aims at taking into account individual objectives of various agents among them not only generators and customers but also e g the regulator deciding on network expansion

a test of the law of one price in retail banking this paper investigates the level and the determinants of retail banking interest rate differences among spanish banks in the period 1989 2003 we find that the interest rates of twenty five different bank loan and deposit products adjust rather rapidly to their long term values in response to external shocks as the relative version of the law of one price predicts but the evidence runs contrary to the absolute version of the law credit risk premium part of the marginal cost of the loans granted by a particular bank is an important source of interest rate dispersion across banks and loan products both before and after spain joined the euro zone therefore differences in credit risk policies across banks must be taken into account when forming expectations about european retail banking integration

the formation of networks with transfers among players we examine the formation of networks among a set of players whose payoffs depend on the structure of the network when players may bargain by promising or demanding transfer payments when forming links we vary three aspects of the game i whether players can only make transfers to and receive transfers from players to whom they are directly linked or whether they can also subsidize links that they are not directly involved in ii whether or not transfers relating to a given link can be made contingent on the full resulting network or only on the link itself and iii whether or not players can pay other players to refrain from forming links we characterize the networks that are supported under these variations and show how each of the above aspects either accounts for a specific type of externality or deals with the combinatorial nature of network payoffs

investment in electricity networks with transmission switching we consider the application of dantzig wolfe decomposition to stochastic integer programming problems arising in the capacity planning of electricity transmission networks that have some switchable transmission elements the decomposition enables a column generation algorithm to be applied which allows the solution of large problem instances the methodology is illustrated by its application to a problem of determining the optimal investment in switching equipment and transmission capacity for an existing network computational tests on ieee test networks with 73 nodes and 118 nodes confirm the efficiency of the approach

an engineering economic approach to transmission planning under market and regulatory uncertainties wecc case study we propose a stochastic programming based tool to support adaptive transmission planning under market and regulatory uncertainties we model investments in two stages differentiating between commitments that must be made now and corrective actions that can be undertaken as new information becomes available the objective is to minimize expected transmission and generation costs over the time horizon nonlinear constraints resulting from kirchhoff s voltage law are included we apply the tool to a 240 bus representation of the western electricity coordinating council and model uncertainty using three scenarios with distinct renewable electricity mandates emissions policies and fossil fuel prices we conclude that the cost of ignoring uncertainty the cost of using naive deterministic planning methods relative to explicitly modeling uncertainty is of the same order of magnitude as the cost of first stage transmission investments furthermore we conclude that heuristic rules for constructing transmission plans based on scenario planning can be as suboptimal as deterministic plans

does the basle capital accord reduce bank fragility an assessment of the value at risk approach abstract we examine the economic implications arising from a bank using a var constrained mean variance model for the selection of its trading portfolio as a consequence of the basle capital accord surprisingly we show that when a var constraint is imposed it is plausible that certain banks will end up selecting riskier portfolios than they would have chosen in the absence of the constraint accordingly regulators such as the basle committee on banking supervision should be aware that allowing a bank to use var to determine its minimum regulatory capital may increase its fragility alternatives to var based bank capital regulation that mitigate or even preclude its perverse implications are presented

assessing the risk return trade off in loan portfolios abstract this paper proposes a methodology to analyse the risk and return of large loan portfolios in a joint setting i propose a tractable model to obtain the distribution of loan returns from observed interest rates and default frequencies i follow a sectoral approach that captures the heterogeneous cyclical features of different kinds of loans and yields moments in closed form i investigate the validity of mean variance analysis with a value at risk constraint and study its relationship with utility maximisation finally i study the efficiency of corporate and household loan portfolios in an empirical application to the spanish banking system

markets versus planning an assessment of the swedish housing model in the post war period the purpose of this study is to present a comparative economic systems evaluation of the swedish housing model the evaluation examines success in achieving equity as well as efficiency goals and incorporates key comparisons with the market oriented us housing model from the late 1940s up to the major housing reforms of the early 1990s a form of strong economic planning characterised the swedish housing sector by the early 1970s the housing standard for all income groups had been raised markedly and urban slums eliminated yet sweden s success came at huge resource cost while at the same time important equity goals were compromised for example swedish building costs are among the highest in the world while in sweden s major cities socioeconomic segregation is more pronounced than ever before in the post war period

improved price indexes for real estate measuring the course of swedish housing prices this paper presents an improved methodology for estimating asset prices for real estate and other durables the method is used to analyze house price dynamics by exploiting an unusually rich and detailed body of data extensive descriptive and financial information on every house sale in sweden during a 12 year period the results confirm the importance of many aspects of quality in affecting the course of housing prices as well as the role of individual specific and idiosyncratic aspects of housing the results are compared with the price trends produced by more primitive methods and published by official sources q 1998 academic press

an exact solution method for binary equilibrium problems with compensation and the power market uplift problem abstract we propose a novel method to find nash equilibria in games with binary decision variables by including compensation payments and incentive compatibility constraints from non cooperative game theory directly into an optimization framework in lieu of using first order conditions of a linearization or relaxation of integrality conditions the reformulation offers a new approach to obtain and interpret dual variables to binary constraints using the benefit or loss from deviation rather than marginal relaxations the method endogenizes the trade off between overall societal efficiency and compensation payments necessary to align incentives of individual players we provide existence results and conditions under which this problem can be solved as a mixed binary linear program we apply the solution approach to a stylized nodal power market equilibrium problem with binary on off decisions this illustrative example shows that our approach yields an exact solution to the binary nash game with compensation we compare different implementations of actual market rules within our model in particular constraints ensuring non negative profits no loss rule and restrictions on the compensation payments to non dispatched generators we discuss the resulting equilibria in terms of overall welfare efficiency and allocational equity

evaluating the strategic behavior of cement producers an equilibrium problem with equilibrium constraints abstract this paper investigates the equilibria reached by a number of strategic producers in the cement sector through a technological representation of the market we present a bilevel model for each producer that characterizes its profit maximizing behavior in the bilevel model the upper level problem of each producer is constrained by a lower level market clearing problem representing cement trading and whose objective function corresponds to social welfare replacing the lower level problem by its optimality condition yields a mathematical program with equilibrium constraints mpec then all strategic producers are jointly considered representing their interaction requires solving jointly the interrelated mpecs of all producers which results in an equilibrium problem with equilibrium constraints epec a parametric analysis concerning cost capacity and demand fluctuations has been conducted our analysis shows that the european cement sector is mature and has lost its competitiveness african cement market can assume a prominent role in international markets in the coming future if investments in new and efficient capacity are carried out finally the far east will remain the reference exporter of cement at worldwide level

collateral type of lender and relationship banking as determinants of credit risk abstract this paper analyses the determinants of the probability of default pd of bank loans we focus the discussion on the role of a limited set of variables collateral type of lender and bank borrower relationship while controlling for the other explanatory variables the study uses information on the more than three million loans entered into by spanish credit institutions over a complete business cycle 1988 2000 collected by the bank of spain s credit register central de informacion de riesgos we find that collateralised loans have a higher pd loans granted by savings banks are riskier and finally that a close bank borrower relationship increases the willingness to take more risk

risk in banking and capital regulation this paper investigates the role of bank capital regulation in risk control it is known that banks choose portfolios of higher risk because of inefficiently priced deposit insurance bank capital regulation is a way to redress this bias toward risk utilizing the mean variance model the following results are shown a the use of simple capital ratios in regulation is an ineffective means to bound the insolvency risk of banks b as a solution to problems of the capital ratio regulation the theoretically correct risk weights under the risk based capital plan are explicitly derived and c the theoretically correct risk weights are restrictions on asset composition which alters the optimal portfolio choice of banking firms the recent increase in bank failures especially after the 1980 and 1982 deregulatory acts has again ignited a controversy over the risk portfolio of the banking industry given the importance of this sector there has been increased scrutiny of the industry s motives for risk taking and possible regulatory changes to improve its stability these investigations have centered around two rather complementary areas the first of these is the role of deposit insurance and how its current pricing procedure encourages risk taking and justifies current bank regulations the works of buser chen and kane 4 kane 9 and benston et al 2 have made substantive contributions the authors demonstrates the way in which our current fixed rate insurance system rewards risk taking by the firm and insulates it through deposit insurance from the market discipline that needs to exist to ensure proper risk evaluation this realization has led these authors to propose a series of regulatory changes to encourage proper portfolio choice within the industry these include a shift to market value accounting risk based deposit insurance premiums and additional capital regulation the last of these serves as a method of coinsurance whereby higher capital levels require the bank to absorb greater losses in the event of failure and encourage additional prudence in management in essense it is one method of risk reduction that may offset the risk preference imposed on the industry due to the inappropriate insurance pricing because the amount of capital influences the probability of bank insolvency and thus the soundness of the entire banking system the regulators ceteris paribus prefer more capital to

generation flexibility in ramp rates strategic behavior and lessons for electricity market design abstract a ramp rate usually defines the speed at which an electric power producer can decrease or increase its production in limited time the availability of fast ramping generators significantly affects the economic dispatch especially in the systems with high penetration of intermittent energy sources e g wind power since the fluctuations in supply are common and sometimes unpredictable one of the regulatory practices of how to impel generators to provide their true ramp rates is to separate the stages of submitting the bids on ramp rate and production in this paper we distinguish two types of market structures one stage when electric power producers are deciding their production and ramp rate at the same time or two stage when generators decide their ramp rate first and choose their production levels at the second stage we employ one stage and two stage equilibrium models respectively to represent these market setups and use a conjectured price response parameter ranging from perfect competition to the cournot oligopoly to investigate the effect of the market competition structure on the strategic decisions of the generators we compare these two market setups in a symmetric duopoly case with two time periods and prove that in the two stage market setup the level of ramp rate is independent of the strategic behavior in the spot market and generally lower than the one offered in the one stage setup we also show that the ramp rate levels in one and two stage models coincide at the cournot oligopoly we extend the model to asymmetry several load periods portfolio bidding and uncertainty and show that withholding the ramp rate still occurs in both models our findings prove that market regulators cannot rely on only separating the decision stages as an effective measure to mitigate market power and in certain cases it may lead to an adverse effect

the capitalization of interest subsidies evidence from sweden we analyze by far the most extensive database yet employed in estimating capitalization of below market interest rates into asset prices nearly 300 000 sales of owner occupied homes in sweden from 1981 to 1993 with 27 000 including government subsidized interest rates our estimates indicate very clearly that interest subsidies are capitalized into house prices the below market financing parameter is consistently significant in all model specifications irrespective of assumptions about the degree of foresight representation of the age structure and interest rate measure for all ten regions that we have studied in our favored model specification the estimated capitalization coefficients center on unity indicating full capitalization of after tax interest rate subsidies

transmission investments in a multilateral context more and more transmission planning has to cope with a multilateral context due to increased electricity exchanges between zones whereas investments are decided upon and approved at the zonal level policy goals can be formulated at a higher supranational level the zonal level however can have its own objectives or way to reach the policy goals this is possibly conflicting with the supranational or other zones viewpoints in this paper different transmission investment planners are compared conflicting outcomes are observed as a possible compromise a pareto planner is proposed he maximizes overall welfare while guaranteeing that all zones can at least keep their initial level of welfare these constraints ensure that the multilateral context is explicitly taken into account all planners are modeled as bilevel optimization problems and solved using mixed integer quadratic programming and genetic algorithm the models are applied on a three node and 14 node example

age time vintage and price indexes measuring the depreciation pattern of houses age time and vintage are key determinants of house prices yet they cannot be included together linearly or as dichotomous variables in hedonic regressions as construction time age of house sale time we introduce a method where the estimates of the age time and vintage effects on prices are obtained in a flexible manner without requiring us to specify a pre determined functional form for either of these variables applying our method to dutch data we find that the estimated depreciation pattern over the life of houses does not follow the functional forms typically specified for the age of houses in hedonic regressions

estimating capital asset price indexes this paper introduces an improved procedure for estimating capital asset price indexes we jointly estimate conventional hedonic and repeat sales models via maximum likelihood procedures thereby taking advantage of the unique features of the individual models and using all the data that are available our model captures depreciation within the repeat sales model and accounts for serial correlation in hedonic data the improvement in precision obtained by estimating the joint model is illustrated by smaller standard errors and narrower interval estimates for the resulting price indexes we also carry out a simulation experiment that shows estimation errors significantly smaller using the joint estimation technique than either of the individual models or the gls estimator of case and quigley 1991

measuring asset values for cash settlement in derivative markets hedonic repeated measures indices and perpetual futures two proposals are made that may facilitate the creation of derivative market instruments such as futures contracts cash settled based on economic indices the first proposal concerns index number construction indices based on infrequent measurements of nonstandardized items may control for quality change by using a hedonic repeated measures method an index number construction method that follows individual assets or subjects through time and also takes account of measured quality variables the second proposal is to establish markets for perpetual claims on cash flows matching indices of dividends or rents such markets may help us to measure the prices of the assets generating these dividends or rents even when the underlying asset prices are difficult or impossible to observe directly a perpetual futures contract is proposed that would cash settle every day in terms of both the change in the futures price and the dividend or rent index for that day this paper concerns problems in the measurement of asset values or present values problems that if solved may facilitate the creation of new hedging vehicles new cash settled futures options and other derivative financial products the greatest components of world wealth are not hedgeable at all and

endogenous price zones and investment incentives in electricity markets an application of multilevel optimization with graph partitioning in the course of the energy transition load and supply centers are growing apart in electricity markets worldwide rendering regional price signals even more important to provide adequate locational investment incentives this paper focuses on electricity markets that operate under a zonal pricing market design for a fixed number of zones we endogenously derive the optimal configuration of price zones and available transfer capacities on a network in order to optimally govern investment and production decisions in the long run in a multilevel mixed integer nonlinear model that contains a graph partitioning problem on the first level we determine welfare maximizing price zones and available transfer capacities for a given electricity market and analyze their impact on market outcomes using a generalized benders decomposition approach developed in grimm et al 2019 and a problem tailored scenario clustering for reducing the input data size we are able to solve the model to global optimality even for large instances we apply the approach to the german electricity market as an example to examine the impact of optimal zoning on key performance indicators such as welfare generation mix and locations or electricity prices it turns out that even for a small number of price zones an optimal configuration of zones induces a welfare level that almost approaches the first best

market failures of market coupling and counter trading in europe an illustrative model based discussion the horizontal integration of the energy market and the organization of transmission services remain two open issues in the restructured european electricity sector the coupling of the french belgian and dutch electricity markets the trilateral market in november 2006 was a real success the extension of the system to germany in november 2010 also proceeded smoothly and the intent is to continue with the same market architecture but market coupling is based on a zonal system which has often failed in meshed grids this may cast doubts on what will happen in the future when electricity demand picks up again and wind develops the nodal system has generally been more successful than zonal architectures but its implementation is not currently foreseen in the eu this paper analyzes versions of market coupling that differ by the organization of counter trading while underplayed in current discussions counter trading could become a key element of market coupling as its geographic coverage expands and wind penetrates we simplify matters by assuming away strategic behavior between the energy and counter trading markets and conduct the analysis on a stylized six node example taken from the literature we simulate market coupling for different assumptions of zonal decomposition and coordination of transmission system operators tsos we show that these assumptions matter even in the absence of strategic behavior market coupling can be quite vulnerable to the particular situation on hand countertrading can work well or completely fail and it is not clear beforehand what will prevail our analysis relies on standard economic notions such as social welfare and generalized nash equilibrium but the use of these notions is probably novel the nodal organization is the reference first best scenario different zonal decompositions and degrees of coordination are then studied with respect to this first best solution

long memory and fractional integration in the housing price series of london and paris this article deals with the analysis of house price indexes from a long range dependence viewpoint in particular it estimates the fractional differencing parameter in the london and paris house price series recognizing in some cases the potential seasonality and allowing for breaks in the data moreover it analyses the stability of the parameters across the sample period examined it is concluded that the series are nonstationary but mean reverting in some cases and very persistent in others policy implications are derived

capital requirements and the behaviour of commercial banks abstract i study the consequences of capital regulations on the portfolio choices of commercial banks elaborating on previous work by kareken and wallace 1978 koehn and santomero 1980 and kim and santomero 1988 i obtain the following results if the objective of commercial banks is maximization of the market value of their future profits value maximizing banks capital regulations cannot prevent banks from choosing very specialized and very risky portfolios risk based insurance premia are in fact the relevant instrument for that purpose on the other hand if banks behave as portfolio managers utility maximizing banks capital regulations can be effective but only if the weights used in the computation of the ratio are proportional to the systematic risks of the assets their betas because of limited liability of commercial banks a minimum capital regulation or a closing rule may become necessary as well to prevent failing banks from betting for resurrection

a framework for assessing credit risk in depository institutions toward regulatory reform abstract this paper develops and illustrates a new method for evaluating the credit risk borne by depository institutions that may prove to be an important element in a regulatory mechanism sensitive to risk in our framework depository institutions are forced to bear the costs of their risk exposure and hence to internalize this cost when extending loans using various loan portfolios and alternative macroeconomic scenarios we present numerical calculations demonstrating the ability of our framework to capture variations in risk exposure and highlighting the significance of portfolio concentrations these calculations are based on an important new source of information that permits an econometric analysis of loan losses by industry

mean variance portfolio selection with at risk constraints and discrete distributions we examine the impact of adding either a var or a cvar constraint to the mean variance model when security returns are assumed to have a discrete distribution with finitely many jump points three main results are obtained first portfolios on the var constrained boundary exhibit k 2 fund separation where k is the number of states for which the portfolios suffer losses equal to the var bound second portfolios on the cvar constrained boundary exhibit k 3 fund separation where k is the number of states for which the portfolios suffer losses equal to their vars third an example illustrates that while the var of the cvar constrained optimal portfolio is close to that of the var constrained optimal portfolio the cvar of the former is notably smaller than that of the latter this result suggests that a cvar constraint is more effective than a var constraint to curtail large losses in the mean variance model 2007 elsevier b v all rights reserved

perspectives on implementing energy efficiency in existing swedish detached houses in this study we first analyse energy efficiency measures in existing electrically heated houses in sweden from a societal economic perspective measures to a house envelopes and to energy supply chains are evaluated through a system analysis approach and we include the external costs of climate change and the effect of different swedish climatic zones we find that in a typical house from the 1970s conversion from electric heating is highly motivated since the mitigation cost of conversion is lower than the estimated external costs of emitted co2 both conversions and house envelope measures are more motivated in the northern part of the country where there is a higher heat demand a successful implementation of changes requires them to be attractive for consumers to adopt we therefore secondly analyse the economic conditions for swedish house owners to implement societal economic cost efficient measures we include the economic influence of an investment subsidy for heating system conversion an income tax deduction for changing windows customer electricity tax real estate tax and of the cost of purchased energy from different energy suppliers apart from the economics several other factors affect a house owner s decision to change heating systems we therefore thirdly analyse house owners perceptions of different heating supply alternatives based on the results of two comprehensive questionnaires these different perspectives are combined in a discussion whether the studied policy instruments encourage house owners to implement changes in accordance with the energy efficiency goals of decision makers we find that the investment subsidy could be useful to break the lock in effect of resistance heaters which house owners seemed to experience the electricity tax makes heating systems in line with national goals more competitive and efficiency measures to the house envelope more profitable the reduction of the electricity tax in the northern part of the country has the opposite effect also the increase in real estate tax when implementing energy efficiency measures gives a contradictory message the price differences between energy suppliers has a larger impact on the house owners economic conditions than both subsidies and tax rate changes and possibly also affect the house owner s attitudes towards various systems

cross border investment expenditure spillovers in european gas infrastructure we investigate the implications of an integrated vis a vis a national perspective regarding investment in natural gas infrastructure in particular we analyze cross border spillovers related to the investment expenditure of five western european countries we develop a practical approach to estimate such cross border investment expenditure spillovers using a multi regional input output model we find that international spillovers are generally larger for employment compensation compared to capital compensation and that the spillovers are unevenly distributed among the countries and the types of labor both high skilled and medium skilled labor is impacted most in the country where the investments take place whereas low skilled labor is mostly generated outside the eu we argue that an integrated european gas infrastructure investment policy is to be recommended

equilibria in an oligopolistic electricity pool with stepwise offer curves we study the equilibria reached by strategic producers in a pool based network constrained electricity market the behavior of each producer is modeled by a mathematical program with equilibrium constraints mpec whose objective is maximizing profit and whose complementarity constraints describe market clearing the joint solution of all these mpecs constitutes an equilibrium problem with equilibrium constraints epec the equilibria associated with the epec are analyzed by solving the strong stationarity conditions of all mpecs which can be linearized without approximation by mixed integer linear programming milp techniques the resulting mixed integer linear conditions can be reformulated as an optimization problem that allows establishing diverse objectives to differentiate among alternative equilibria

national strategic investment in european power transmission capacity abstract the transformation of the european electricity system requires substantial investment in transmission capacity to facilitate cross border trade and to efficiently integrate renewable energy sources however network planning in the eu is still mainly a national prerogative in contrast to other studies aiming to identify the pan european continental welfare optimal transmission expansion we investigate the impact of zonal planners deciding on network investment strategically with the aim of maximizing the sum of consumer surplus generator profits and congestion rents in their jurisdiction this reflects the inadequacy of current mechanisms to compensate for welfare re allocations across national boundaries arising from network upgrades we propose a three stage equilibrium model to describe the nash game between zonal planners i e national governments regulators or system operators each taking into account the impact of network expansion on the electricity spot market and the resulting welfare effects on the constituents within its jurisdiction we propose a novel way to solve the resulting gne epec type problem using a variation of a disjunctive constraints reformulation this allows to solve this problem without a priori assumptions on the relative valuation of shared constraints by each player using a four node sample network we identify several nash equilibria of the game between the zonal planners this example illustrates the failure to reach the first best welfare expansion in the absence of an effective framework for cross border cost benefit allocation

regional carbon policies in an interconnected power system how expanded coverage could exacerbate emission leakage abstract interconnected regional electricity markets are often subject to asymmetric carbon policies with partial coverage for co2 emissions while the resulting problem of carbon leakage has been well studied its mitigation has received relatively less attention we devise a proactive carbon policy via a bi level modelling approach by considering the impact of an emission cap that limits the cost of damage from a regional power market in particular a welfare maximising policymaker sets the cap when facing profit maximising producers and the damage costs from their emissions at two nodes a partial coverage policy could degrade maximised social welfare and increase total regional co2 emissions with potential for carbon leakage due to a higher nodal price difference a modified carbon policy that considers co2 emissions from both nodes tightens the cap which increases maximised social welfare and decreases total co2 emissions vis a vis the partial coverage policy albeit at the cost of greater scope for carbon leakage as it causes nodal prices to diverge as a compromise an import coverage policy implemented by california that counts only domestic and imported co2 emissions could alleviate carbon leakage at the cost of lower maximised social welfare with higher total emissions vis a vis the modified coverage policy

hedging familiarity and portfolio choice we exploit the restrictions of intertemporal portfolio choice in the presence of non nancial income risk to design and implement tests of hedging that use the information contained in the actual portfolio of the investor we use a unique dataset of swedish investors with information broken down at the investor level and into various components of wealth investor income tax positions and investor demographic characteristics portfolio holdings are identi ed at the stock level we show that investors do not engage in hedging but invest in stocks closely related to their non nancial income we explain this with familiarity that is the tendency to concentrate holdings in stocks with which the investor is familiar in terms of geographical or professional proximity or that he has held for a long period we show that familiarity is not a behavioral bias but is information driven familiarity based investment allows investors to earn higher returns than they would have otherwise earned if they had hedged

transmission and generation investment in electricity markets the effects of market splitting and network fee regimes abstract we propose an equilibrium model that allows to analyze the long run impact of the electricity market design on transmission line expansion by the regulator and investment in generation capacity by private firms in liberalized electricity markets the model incorporates investment decisions of the transmission system operator and private firms in expectation of an energy only market and cost based redispatch in different specifications we consider the cases of one vs multiple price zones market splitting and analyze different approaches to recover network cost in particular lump sum generation capacity based and energy based fees in order to compare the outcomes of our multilevel market model with a first best benchmark we also solve the corresponding integrated planner problem using two test networks we illustrate that energy only markets can lead to suboptimal locational decisions for generation capacity and thus imply excessive network expansion market splitting heals these problems only partially these results are valid for all considered types of network tariffs although investment slightly differs across those regimes

new methodology for constructing real estate price indices applied to the singapore residential market this paper develops a new methodology for constructing a real estate price index that utilizes all transaction price information encompassing both single sales and repeat sales the method is less susceptible to specification error than standard hedonic methods and is not subject to the sample selection bias involved in indexes that rely only on repeat sales the methodology employs a model design that uses a sale pairing process based on the individual building level rather than the individual house level as is used in the repeat sales method the approach extends ideas from repeat sales methodology in a way that accommodates much wider datasets in an empirical analysis of the methodology we fit the model to the private residential property market in singapore between q1 1995 and q2 2014 covering several periods of major price fluctuation and changes in government macroprudential policy the index is found to perform much better in out of sample prediction exercises than either the s p case shiller index or the index based on standard hedonic methods in a further empirical application the recursive dating method of phillips et al 2015a b is used to detect explosive behavior in the singapore real estate market explosive behavior in the new index is found to arise two quarters earlier than in the other indices

the eu regulation on cross border trade of electricity a two stage equilibrium model the regulation on cross border exchanges of electricity in the european union is meant to enhance the trade of electricity between member states by facilitating access to the network and improving the management of congestion at the interconnections this paper presents a computational model that embeds these two features the problem is cast in the form of a two stage equilibrium between regional regulators in the first stage they decide on the allocation of their regional network costs between generators and customers either they maximise their regional welfare non cooperatively nash equilibrium or they centralise the decision as a super regulator leading to a cooperative equilibrium in the second stage equilibrium the consequences of first stage s decisions are assessed by modelling the energy market as the result of imperfect competition equilibrium on competitive market coupled with regulated pricing on the domestic less competitive markets the rules that come out of the first stage game largely influence the final equilibrium we illustrate this on an extensive numerical example showing that the model behaves properly and identifying policy issues worth of further investigations c 2006 elsevier b v all rights reserved