congestion management and transmission rights in centralized electric markets a new congestion management system is proposed applied under nodal and zonal dispatches with implementation of fixed transmission rights ftr and flowgate rights fgr respectively the ftr model proves to be especially suitable for congestion management in deregulated centralized market structures with nodal dispatch while the fgr is suitable for decentralized markets the main contribution of this work is a nontraditional valuation of fgr under a centralized market such as those present in latin america that builds a link between both transmission rights under the same market structure to accomplish that a computational model is developed implementing marginal theory where congestion components are introduced in the pricing model an application to the chilean central interconnected system indicates that fgr presents advantages over ftr regarding signals on grid use but its application results in complications that make its implementation unattractive

transmission system management and pricing new paradigms and international comparisons the transmission system once the necessary but nearly invisible component of the electric power system is now the focus of physical electrical and financial attention of the utility and more significantly their potential suppliers customers this paper has three primary objectives the first is to present a discussion of a new paradigm for the electric power industry the second is to review transmission pricing options specifically those utilizing either long run lrmc or short run srmc marginal cost based approaches the third is to provide a review of innovative approaches to transmission asset management and finance as seen from international experience

a multi objective multi period stochastic programming model for public debt management while raising debt on behalf of the government public debt managers need to consider several possibly conflicting objectives and have to find an appropriate combination for government debt taking into account the uncertainty with regard to the future state of the economy in this paper we explicitly consider the underlying uncertainties with a complex multi period stochastic programming model that captures the trade offs between the objectives the model is designed to aid the decision makers in formulating the debt issuance strategy we apply an interactive procedure that guides the issuer to identify good strategies and demonstrate this approach for the public debt management problem of turkey

financial portfolio management through the goal programming model current state of the art abstract since markowitz 1952 formulated the portfolio selection problem many researchers have developed models aggregating simultaneously several conflicting attributes such as the return on investment risk and liquidity the portfolio manager generally seeks the best combination of stocks assets that meets his her investment objectives the goal programming gp model is widely applied to finance and portfolio management the aim of this paper is to present the different variants of the gp model that have been applied to the financial portfolio selection problem from the 1970s to nowadays

time variation in the persistence of unemployment over the past century abstract this paper investigates the persistence of the unemployment rate for the uk and the us over the past century by modeling the persistence to randomly evolve over time the estimated autoregressive coefficient exhibits significant variation over time indicating the fluctuation between the hysteresis and mean reverting phases we find that the hysteresis phase is to a considerable extent associated with economic downturns caused by macroeconomic shocks with the unemployment rate during this phase showing large deviations from the estimated natural rate of unemployment in contrast for the periods conforming to the natural rate theory the actual unemployment rate fluctuates relatively closely around the estimated natural rate of unemployment

an integrated framework for cost allocation in a multi owned transmission system this paper describes a methodology for allocating transmission costs among users of a centralized transmission service in the proposed approach the share of each participant is proportional to its impact on power system transmission investment requirements this allocation rule provides incentives for all participants to remain in the pool and ensures revenue reconciliation it is shown that under some simplifying assumptions the proposed scheme reduces to a modified mw mile rule thus providing some insight on that method s economic basis other issues such as credits for counterflows and distortions due to economies of scale are also addressed the methodology is illustrated in case studies with the brazilian power system

marginal pricing and supplement cost allocation in transmission open access the application of marginal costing to transmission pricing in open access schemes requires the collection of a supplement to finance the transmission systems the paper describes the application of marginal cost based pricing in the chilean power system and the difficulties faced in allocating the supplement among parties involved alternative methods for defining the allocation are formulated generalized generation and load distribution factors for cost allocation are formulated and implemented the methods are applied to allocate payments for transmission services provided by the transmission network and by a distribution company

transmission congestion relief using privately owned large scale energy storage systems in a competitive electricity market the trend of integrating more nondispatchable renewable sources into the electric grid and phasing out dispatchable fossil fueled power plants in the near future reduces the operational flexibility increases the chance of transmission congestion and endangers the stability of electric system utilities are investigating the application of large scale energy storage systems esss to address some of these imminent challenges to their power systems in this paper the application of privately owned large scale esss for the purpose of congestion relief in transmission systems as an ancillary service is investigated it is demonstrated that in conventional optimal dispatch algorithms for an ess the storage system cannot effectively contribute to congestion relief since the dispatch algorithm has not prepared the ess in advance hence a new real time optimal dispatch rtod algorithm is proposed that aims to generate revenue primarily by exploiting electricity price arbitrage opportunities in the day ahead electricity market while optimally preparing the ess to maximize its contribution to congestion relief as an ancillary service a compressed air ess is sized and employed for evaluations of the proposed rtod algorithm the efficacy and feasibility of the proposed algorithm are validated using real world price data from ontario s wholesale electricity market an analysis is presented regarding the appropriate amount of financial compensation for the ess owner due to this contribution to congestion relief in the studied electricity market

transmission use of system charges based on trade offs between short run operation cost and long run investment cost previous studies on long run network charges assume that network reinforcement would be required when the loading level of a circuit reaches its designed capacity such assumption works well for a passive distribution network but is not valid for transmission networks as they have active congestion management capabilities transmission network operators normally can only justify for network investment when congestion costs exceed network expansion costs this trade off between operational cost and investment cost is not considered in any of the existing long run marginal or incremental cost pricing lric or lrmc

marginal loss pricing for hours with transmission congestion nodal electricity prices are designed to send efficient economic signals to market participants for operating and investment decisions the inherent nonlinearity of transmission losses and the use of marginal loss pricing can obscure the intended economic information in the loss component of nodal prices as one step in clarifying the determination of the marginal loss price component this paper discusses the calculation of nodal electricity prices in lossy networks and presents a variety of accepted methods for determining marginal loss this paper then proposes a method for calculating the marginal loss component of nodal prices during hours with congestion that reflects each market participant s contribution to marginal losses more accurately than current implementations the proposed method recognizes that increases in incremental energy flows cannot flow across constrained lines and thus system wide marginal losses should not be attributed to generators or loads in the constrained subregions the objectives of the discussion are to improve the understanding of how marginal losses are determined and also to improve the accuracy of the information conveyed in the marginal loss price component the ultimate goal is to promote more efficient price signals to electricity market participants for both transmission loss and congestion

complex biofuels related scenarios generated by qualitative reasoning under severe information shortages a review abstract there is a broad spectrum of br biofuel related models however the models are highly specific such models cannot flexibly support complex decision making activities to identify feasible trade offs among many objective functions they represent just one point of view e g engineering company economics therefore cbrms complex biofuel related model are studied in this paper cbrms must cover additional aspects e g macroeconomic ecology sociology and politics such models are inevitably unique partially subjective inconsistent vague and multidimensional ai artificial intelligence has developed a number of tools to solve such problems qualitative reasoning is one of them it is based on the least information intensive quantifiers i e trends there are just three trend qualitative values plus increasing zero constant negative decreasing there are many cbrm items related to soft aspects e g politics taxation etc which cannot be quantified by numbers they are too vague for example if the political sociological sensitivity of land ownership is increasing then the cost of biofuels is increasing such verbal knowledge item cannot be incorporated into a traditional numerical model the paper describes developments of cbrms based on expert knowledge and common sense a consensus among experts is often not reached because of substantial subjectivity of experts knowledge a qualitative intersection of cbrms developed by several experts is simple the case study presents a model based on integration of 10 heuristics using 9 variables e g refinery capacity cost of biofuel production and biofuel demand the result is represented by 13 scenarios the paper is self contained no a prior knowledge of qualitative models is required

finding the most preferred alliance structure between banks and insurance companies in this paper we have studied alternative alliances between banks and insurance companies first we defined six different possible structure models for such alliances and nine criteria used to evaluate the models the models and the criteria were introduced together with bank and insurance experts the experts are representatives of the top management of finnish banks and insurance companies searching for the most preferred alliance model is a multiple criteria decision making mcdm problem to solve the problem we used an expert panel and the analytic hierarchy process ahp based on the evaluations of the panel the alternatives financial conglomerate and cross selling agreement no overlapping service channels are most preferred which one is chosen depends on how risk is emphasized

a probabilistic approach for determining the optimal amount of transmission system usage over the past decade electric power systems have been restructured based on different models to introduce competition among market participants transmission open access for suppliers and customers is one of the most prevailing unbundling services usually a connection tariff is established based on different market factors including the actual usage of the transmission network in brazil most vertically integrated companies owned by the federal and state governments were unbundled and new transmission companies are being created these companies make their assets available to the independent system operator designated as operador nacional do sistema eleacutetrico ons one of the main objectives of ons is to manage transmission services over a certain voltage level to ensure nondiscriminatory access to the grid all transmission users including regional distribution companies pay wheeling transmission charges at each delivery or connection point with the major brazilian network administrated by ons this paper presents a methodology for determining the optimal amount of transmission system usage atsu that must be contracted by a regional distribution company at each connection point in the proposed approach the maximum flow at each connection is represented as a random variable in order to obtain the distribution probability of the transmission charges as a function of the atsu parameter besides providing the optimal amounts to be contracted the proposed probabilistic methodology allows quantifying the risks of violation of each contract and estimating possible penalties all methodology development steps are described and illustrated through numerical examples an application to a typical brazilian regional distribution company is also discussed

allocation of transmission losses to bilateral contracts in a competitive environment under open access market driven transactions have become the new independent decision variables defining the behavior of the power system understanding the impact of bilateral transactions on system losses is important to be able to allocate a loss component to each individual transaction and improve economic efficiency the theory presented here is based on the argument that it is always possible to compute the exact loss allocation corresponding to an infinitesimal bilateral transaction this leads to a set of governing differential equations whose solution yields the loss allocation for contracts of any size several examples illustrate the properties of both the proposed allocation equations and other methods the dependence of the proposed solution on the path of integration and a number of implementation issues

allocation of transmission fixed charges an overview the application of marginal cost in pricing the transmission services has shown not effective mainly due to revenue reconciliation problems to overcome this a set of other methods derived from the mw mile rule has been suggested to allocate transmission fixed costs this paper compares such methods known as embedded cost methods in a centralized transmission network environment although these methods actually share the total cost and are very simple they are usually rejected due to the lack of a good economic reasoning the economic issue and the impact on the system expansion planning of such allocation are addressed in this paper some examples with the brazilian transmission system illustrate the results derived from this analysis

a load flow based method for calculating embedded incremental and marginal cost of transmission capacity this paper describes the principles of a load flow based method for allocating the cost of transmission capacity the method estimates the usage of each transmission facility with cost defined on a per facility basis embedded incremental and marginal cost of transmission capacity are defined and compared to each other a discussion of other load flow based methods and their application to marginal cost is included

on deciding how to decide designing participatory budget processes abstract participatory budgets are becoming increasingly popular in many municipalities all around the world the underlying idea is to allow citizens to participate in the allocation of a municipal budget many advantages have been suggested for such experiences including legitimization and more informed and transparent decisions there are many conceivable variants of such processes however in most cases both its design and implementation are carried out in an informal way in this paper we propose a methodology to design a participatory budget process based on a multicriteria decision making model

challenges facing natural rate theory abstract this paper attempts to test the natural rate hypothesis by looking at historical unemployment data for france the uk and the us we find that the unemployment series can be described as stationary around an infrequently changing mean moreover that the speed of convergence towards mean unemployment is slower when unemployment is high and differs across the three countries the two european countries having more persistence we do not find any evidence that the persistence of a change in unemployment is a function of the size of the change we conclude that the data are consistent with multiple equilibria models where large shocks bring the economy from one equilibrium to another and also with models with a moving natural rate

pairs trading and outranking the multi step ahead forecasting case abstract pairs trading is a popular speculation strategy several implementation methods are proposed in the literature they can be based on a distance criterion or on co integration this article extends previous research in another direction the combination of forecasting techniques neural networks and multi criteria decision making methods electre iii the key contribution of this paper is the introduction of multi step ahead forecasts it leads to major changes in the trading system and raises new empirical and methodological questions the results of an application based on s p 100 index stocks are promising this methodology could be a powerful tool for pairs selection in a highly non linear environment

socially responsible investment a multicriteria approach to portfolio selection combining ethical and financial objectives abstract in a context of socially responsible investment sri this paper deals with portfolio selection for investors interested in ethical policies in the opportunity set there are ethical assets and other assets which are not characterized as ethical two goals are considered the traditional financial goal in the classical utility theory under uncertainty and an ethical goal in the same utility framework a new financial ethical bi criteria model is proposed with absolute risk aversion coefficients and targets depending on the investor s ethical profile this approach is relevant as an increasing number of mutual funds are becoming interested in sri strategies from the proposed model an actual case on green investment is developed concerning this case without generalizing to other contexts an analysis of the numerical results shows that efficient portfolios obtained by the traditional e v model outperform the strong green portfolios in terms of expected return and risk but this does not significantly occur with weak green investment

transmission congestion management in an electricity market managing transmission congestion in an unbundled electric power system poses a challenge to an independent system operator iso this paper considers an open transmission dispatch environment in which pool and bilateral multilateral dispatches coexist and proceeds to develop a congestion management strategy for this scenario prioritization of electricity transactions and related curtailment strategies are explored and a mechanism for coordination between market participants to achieve additional economic advantages is described

an intelligent agent based fuzzy group decision making model for financial multicriteria decision support the case of credit scoring credit risk analysis is an active research area in financial risk management and credit scoring is one of the key analytical techniques in credit risk evaluation in this study a novel intelligent agent based fuzzy group decision making gdm model is proposed as an effective multicriteria decision analysis mcda tool for credit risk evaluation in this proposed model some artificial intelligent techniques which are used as intelligent agents are first used to analyze and evaluate the risk levels of credit applicants over a set of pre defined criteria then these evaluation results generated by different intelligent agents are fuzzified into some fuzzy opinions on credit risk level of applicants finally these fuzzification opinions are aggregated into a group consensus and meantime the fuzzy aggregated consensus is defuzzified into a crisp aggregated value to support final decision for decision makers of credit granting institutions for illustration and verification purposes a simple numerical example and three real world credit application approval datasets are presented

corporate failure prediction in the european energy sector a multicriteria approach and the effect of country characteristics this study examines the development of corporate failure prediction models for european firms in the energy sector using a large dataset from 18 countries the construction of the models is based on a multiple criteria decision aid mcda approach taking into account both ordinal criteria and nominal country sector effects the analysis is based on different modeling specifications first traditional financial variables are examined which are then extended with additional country level data related to the economic and business environment as well as data about the energy efficiency policies of the countries and the characteristics of their energy markets and networks the results indicate that energy related attributes have high discriminating power and add valuable information compared to the other attributes

transmission loss allocation through equivalent bilateral exchanges and economical analysis a new loss allocation la scheme based on the principle of equivalent bilateral exchanges ebes is presented and compared with other available techniques formulation and results from extensive simulations including consistency tests show that the suggested methodology has several desirable properties it is flow based requiring only a solved load flow for its implementation it is not dependent on the choice of a slack bus it is straightforward to apply undesirable negative loss allocation is not produced and low volatilities are shaped an economic analysis with various la methods is also carried out when these are integrated into a combined economic dispatch load flow dispatch strategy a likely scenario for la in a real system this combined dispatch strategy yields prices charged to the loads and rates received by the generators that account for loss allocation and loss supply results show that these economic indexes are very close to the marginal costs derived from an optimal power flow opf approach with the advantage of reducing volatility

a zonal congestion management approach using real and reactive power rescheduling in a deregulated electricity market it may always not be possible to dispatch all of the contracted power transactions due to congestion of the transmission corridors system operators try to manage congestion which otherwise increases the cost of the electricity and also threatens the system security and stability in this paper a new zonal cluster based congestion management approach has been proposed the zones have been determined based on lines real and reactive power flow sensitivity indexes also called as real and reactive transmission congestion distribution factors the generators in the most sensitive zones with strongest and nonuniform distribution of sensitivity indexes are identified for rescheduling their real power output for congestion management in addition the impact of optimal rescheduling of reactive power output by generators and capacitors in the most sensitive zones has also been studied the proposed new zonal concept has been tested on 39 bus new england system and a 75 bus indian system

multiple criteria decision making combined with finance a categorized bibliographic study abstract this paper provides a categorized bibliography on the application of the techniques of multiple criteria decision making mcdm to problems and issues in finance a total of 265 references have been compiled and classified according to the methodological approaches of goal programming multiple objective programming the analytic hierarchy process etc and to the application areas of capital budgeting working capital management portfolio analysis etc the bibliography provides an overview of the literature on mcdm combined with finance shows how contributions to the area have come from all over the world facilitates access to the entirety of this heretofore fragmented literature and underscores the often multiple criterion nature of many problems in finance

transmission loss allocation a comparison of different practical algorithms a pool operated electricity market based on hourly auctions usually neglects network constraints and network losses while applying its market clearing mechanism this mechanism determines the accepted and nonaccepted energy bids as well as the hourly market clearing prices as a result ex post procedures are needed to resolve network congestions and to allocate transmission losses to generators and demands this paper focuses on transmission loss allocation procedures and provides a detailed comparison of four alternative algorithms 1 pro rata pr 2 marginal allocation 3 unsubsidized marginal allocation and 4 proportional sharing a case study based on the ieee rts is provided different load scenarios covering a whole year are analyzed finally conclusions and recommendations are stated

an aumann shapley approach to allocate transmission service cost among network users in electricity markets this work presents a new methodology for the allocation of transmission service cost among network users in energy markets the proposed method is based on an optimization game theoretic framework aumann shapley that retains the desirable properties of other existing methodologies such as the average participations factors apf and long run marginal costs lrmc the approach is shown to be computationally feasible and presents desirable characteristics in terms of economic coherence and isonomy computational results are presented for the brazilian power system and compared with those obtained by three other methodologies lrmc apf and the current method adopted in brazil

multiple criteria decision aiding for finance an updated bibliographic survey finance is a popular field for applied and methodological research involving multiple criteria decision aiding mcda techniques in this study we present an up to date bibliographic survey of the contributions of mcda in financial decision making focusing on the developments during the past decade the survey covers all main areas of financial modeling as well as the different methodological approaches in mcda and its connections with other analytical fields on the basis of the survey results we discuss the contributions of mcda in different areas of financial decision making and identify established and emerging research topics as well as future opportunities and challenges

transmission loss allocation through complex power flow tracing this paper presents a new method for transmission loss allocation the method is based on tracing the complex power flow through the network and determining the share of each load on the flow and losses through each line transmission losses are taken into consideration during power flow tracing unbundling line losses is carried out using an equation which has a physical basis and considers the coupling between active and reactive power flows as well as the cross effects of active and reactive power on active and reactive losses a tracing algorithm which can be considered direct to a good extent as there is no need for exhaustive search to determine the flow paths as these are determined in a systematic way during the course of tracing results of application of the proposed method are also presented

combined pool bilateral dispatch i performance of trading strategies this three paper series deals with the dispatch of power networks under mixed pool bilateral trading the major questions examined are i to what degree does the relative level of pool versus bilateral trading influence performance in terms of individual power levels costs prices revenues and expenditures ii what is the comparative performance of mixed trading with firm and nonfirm bilateral contracts under various curtailment strategies and iii is the revenue derived from the pool and bilateral trading consistent with the corresponding unbundled costs the above issues are sequentially addressed in each of the three parts the eventual goal of these results is to help generator and load serving entities choose appropriate relative levels of pool versus bilateral trades while considering risk economic performance as well as physical constraints this paper proposes a one step optimal power flow model that dispatches the pool in combination with the privately negotiated bilateral contracts while minimizing cost and accounting for both losses and congestion in part i notions of pool bilateral demand and generation as well as a number of technical and economic performance measures for each competing entity are defined this dissection of total and individual financial measures according to pool or bilateral trading allows the market participant to evaluate the profitability of each component of its chosen pool bilateral mix a number of simulation results illustrate the effect of varying the relative levels of pool bilateral trading on the values of individual performance measures

priority service pricing investment and market organization tingent forward delivery contracts offered by a seller each customer s selection of one contract from the menu determines the customer s service order or priority in each contingency the seller rations supplies by serving customers in order of their selected priorities until the supply is exhausted or all customers are served various forms of priority service are widely

closure to discussion of transmission loss allocation part i single energy market for original article by a m leite da silva and j g de carvalho costa see ibid vol 18 p 1389 94 nov 2003 and for discussion by a j conejo and f d galiana see ibid vol 19 no 4 p 2111 nov 2004

prospective reconciliation of transmission loss cost in alberta one of the challenges in alberta s deregulated electricity market is to recover transmission loss costs in a fair and equitable manner the independent system operator iso the alberta electric system operator or aeso in alberta canada has introduced a new prospective methodology to reconcile the transmission loss revenue to loss cost on an annual basis since january 1 2006 in the reconciliation process a quarterly calibration factor cf is calculated to true up the difference between loss revenue and loss cost the cf is defined as the percentage of the combined actual and forecasted difference in loss revenue and loss cost divided by the loss factor customer volumes and pool price the focus behind this chosen methodology is to have a small cf in each quarter a stable reconciliation pattern and a small year end difference the new methodology has met these three goals in alberta s deregulated electricity market

marginal pricing of transmission services an analysis of cost recovery this paper presents an in depth analysis of network revenues computed with marginal pricing and in particular it investigates the reasons why marginal prices fail to recover the total incurred network costs in actual power systems the basic theoretical results are presented and the major causes of the mismatch between network costs and marginal revenues are identified and illustrated with numerical examples some tutorial and others of realistic size the regulatory implications of marginal network pricing in the context of competitive electricity markets are analyzed and suggestions are provided for the meaningful allocation of the costs of the network among its users

transmission management for congested power system a review of concepts technical challenges and development of a new methodology transmission networks have some constraints that should be addressed in order to ensure sufficient control to maintain the security level of a power system while maximising market efficiency the most obvious drawback of transmission constraints is a congestion problem that becomes an obstacle to perfect competition among the market participants since it can influence spot market pricing as the power flow violates transmission constraints redispatching generating units is required and this will cause the price at every node to vary this manuscript presents concepts technical challenges and methodology for investigating an alternative solution to the redispatch mechanism and then formulates lmp scheme using an optimisation technique that may well control congestion as the main issue the lmp scheme are varied and improved to take into account the energy price congestion revenue cost of losses as well as the transmission usage tariff by utilising shift factor based optimal power flow sf opf which is derived from the well known dc optimal power flow dc opf model

transmission loss unbundling and allocation under pool electricity markets this paper presents a methodology based on the circuit theories for unbundling and allocation of transmission losses among the participants of a pool based electricity market starting from a known operation point and using the basic network equations without additional assumptions an expression of the branch losses based on nodal current injections is derived since the power flow equations and circuit theories are satisfied the methodology turns explicit in a natural way separating the losses at each system branch and assigning the responsibility to the respective market participants it means that the loss allocation of each branch which is produced by each generator and consumer is obtained extensions and strategies considering unsubsidized and predefined proportion based loss allocation as well as issues related with the allocation fairness and transparency are also included comparisons with previous methods and validation tests of the proposed method are reported by using the ieee reliability test system

unit root tests persistence and the unemployment rate of the u s states author affiliation diego romero avila department of economics carretera de utrera km 1 pablo de olavide university 41013 seville spain dromtor upo escarlos usabiaga professor department of economics carretera de utrera km 1 pablo de olavide university 41013 seville spain cusaiba upo es corresponding author acknowledgment the authors would like to thank seminar participants at the pablo de olavide university and dg economics at the european central bank carlos usabiaga acknowledges the financial support from centro de estudios andaluces ecod1 05 033 special thanks go to junsoo lee and nikolay gospodinov for making available to us the codes to implement some of the techniques used in the paper and to two anonymous referees for suggestions that substantially improved the paper the usual disclaimer applies 1 introductionthe high persistence in unemployment rates observed in the developed world since the first oil shock has led to a vivid debate over which paradigm can better explain the behavior of unemployment rates the traditional strand of the literature that forms the basis of the natural rate theory phelps 1967 1968 friedman 1968 assumes that the unemployment rate evolves around an equilibrium level describing stationary fluctuations this equilibrium level or natural rate is set depending on fundamentals of the economy while initially the absence of theories explaining the determination of the natural rate meant that in practice it was taken to be constant and exogenous subsequent developments have attempted to identify the structural factors behind differences across economies and over time including labor productivity technological change real interest rates real exchange rates and energy prices to name a few see phelps 1994 phelps and zoega 1998 according to the structuralist view phelps 1994 most shocks to unemployment are temporary but occasionally the natural rate permanently changes and is affected by variations in the aforementioned structural factors as a consequence the unemployment rate may be characterized as a process that is stationary once a small number of structural breaks are allowed for in contrast to the natural rate and structuralist approaches the hysteresis hypothesis see blanchard and summers 1986 1987 implies that the unemployment rate is path dependent and temporary shocks can affect unemployment permanently 1 while hysteresis is thought to imply that the natural rate is conditioned by the level of unemployment recorded in the past persistence in unemployment which is a special case of the natural rate hypothesis entails a slow adjustment process of reversion toward the mean thus hysteresis implies that unemployment is characterized by a unit root while persistence is characterized by a near unit root in the latter case shocks to unemployment though long lasting would not have a permanent effect to discriminate among theories explaining the behavior of unemployment rates unit root tests have been widely applied the hysteresis hypothesis has been formulated as a unit root process and its rejection lends support to the natural rate hypothesis if no breaks are included in the specification and the structuralist hypothesis if breaks are allowed for the purpose of this article is to investigate which theoretical paradigm most closely represents the behavior of unemployment rates in the states of the united states over the period 1976 2004 we first apply the individual lagrange multiplier lm t statistic proposed by schmidt and phillips 1992 to monthly data and we fail to reject the null hypothesis of a unit root in unemployment for forty states perron 1989 pointed out that the presence of structural changes could favor the nonrejection of the unit root null if they are not properly accounted for therefore we employ the minimum lm t statistic allowing for up to two endogenous changes in level proposed by lee and strazicich 2003

the new chilean transmission charge scheme as compared with current allocation methods we describe the new method used in chile to allocate transmission charges among generating companies and customers as defined in law 19 940 of march 2004 also known as ley corta or short law we show that the new chilean transmission charge scheme is a hybrid based on marginal cost pricing identification of use through economic benefits and flow identification methods and last a postage stamp to redistribute almost all the charges that customers have to pay we also estimate the direct per kilowatthour charge that customers will pay and discuss its effect on location and expansion signals

wheeling of power under deregulated environment of power system a bibilographical survey the power industry is moving rapidly from regulated conventional setup to a deregulated environment there is an urgent need to keep a track of international experiences and activities taking place in this emerging field this paper gives a bibliographical survey and general backgrounds of research and development in the field of power system wheeling under deregulated environment based on over 170 published articles wheeling in general and the establishment of wheeling rate in particular are subjects of extensive debate today this will be very much useful for all countries especially those developing countries which are moving toward the unbundling of electricity supply industry esi the collected literature have been divided into many section so that new researchers do not face any difficulty for obtaining literature particularly in the area of wheeling of power under deregulated environment

cost of wheeling methodologies the cost of wheeling and the methodology by which it is computed is a high priority problem throughout the power industry due to the growth in transmission facilities the cost differentials between utility companies and the dramatic growth in nonutility generation capacity this paper contains descriptions and summaries of computational procedures and data requirements of four embedded cost methodologies two long run incremental cost methods and the short run marginal cost method four methodologies are also presented for allocating the wheeling costs among a number of wheels when simultaneously present on a company s system as required for the standard long run incremental cost method

the costs of wheeling and optimal wheeling rates wheeling is the transmission of electrical energy from a buyer to a seller through a transmission network owned by a third party this paper provides a theoretically sound yet practical to implement basis for setting wheeling rates these wheeling rates are based on marginal costs determined by losses and effects of line flow and voltage magnitude constraints adjusted up or down as necessary to account for embedded capital costs i e revenue reconciliation simple numerical examples are provided to illustrate interesting phenomena such as negative wheeling rates which yield positive net revenue comparisons with present day wheeling rates show that major differences exist the wheeling rates of this paper yield a no lose situation for the buying selling and wheeling utilities

available transmission capability sell firm or interruptible available transfer capability atc is an important parameter for all companies participating in the power transaction activities one aspect of the atc analysis relates to the following important questions what part of the posted atc should be bought sold as firm and what as an interruptible nonfirm capacity in the emerging competitive electricity market this will perhaps be one of the crucial problems faced by the market participants this problem has not been discussed in the literature yet and is considered in this paper by calculating the optimal split between firm and interruptible atc using a dc load flow model and monte carlo optimization approach

a two tier matrix game approach for obtaining joint bidding strategies in ftr and energy markets transmission congestion results in revenue collected from the loads that often exceeds the payment made to the generators the financial transmission right ftr is an instrument that allows the independent system operator iso to redistribute the excess revenue congestion charge among the market participants generators and loads hold ftrs to hedge against congestion charges since the revenues from the ftr and energy markets are interdependent each generator and load must have a joint bidding strategy for ftr and energy markets to maximize its total payoff this paper presents a two tier matrix game model that allows the generators and loads to obtain joint bidding strategies the model also allows the isos and the market designers to assess the impact of various network configurations and rules on market performance e g market power the two tier model considers multiple participants multidimensional bid vectors network contingencies and varying demand we conducted a numerical validation of our model by analyzing the three node network studied by joskow and tirole 2000 additional numerical studies were conducted on a five node network to examine the impact of holding ftrs on the bidding strategies in the energy market and joint payoffs of the participants

combining accounting data and a structural model for predicting credit ratings empirical evidence from european listed firms abstract ratings issued by credit rating agencies cras play an important role in the global financial environment among other issues past studies have explored the potential for predicting these ratings using a variety of explanatory factors and modeling approaches this paper describes a multi criteria classification approach that combines accounting data with a structural default prediction model in order to obtain improved predictions and test the incremental information that a structural model provides in this context empirical results are presented for a panel data set of european listed firms during the period 2002 2012 the analysis indicates that a distance to default measure obtained from a structural model adds significant information compared to popular financial ratios nevertheless its power is considerably weakened when market capitalization is also considered the robustness of the results is examined over time and under different rating category specifications

framework for assessing the economic efficiencies of long run network pricing models this paper presents a framework for assessing the economic efficiency of different long run network pricing models the aim is to provide a quantifiable efficiency measure that will inform regulators network operators and network users when an alternative pricing model is contemplated the efficiency measure is derived from the long term network development costs that flow from a dynamic interaction between network pricing and planning that is the response of network users to differing charging models the consequential network investment and new financial incentives that follow reinforcement of the network to illustrate the approach the framework has been used to assess the relative efficiency of three broad class of distribution pricing models in a study undertaken for the great britain gb s regulator for gas and electricity markets in england wales and scotland ofgem the study contemplated three pricing models that are used in practice the efficiency assessment in the ofgem study was conducted on a pseudo distribution reference network on the assumption that the results from the reference network could be scaled up to the national level then the assessment suggests that by moving from the present drm model to the more economic lric approach gb distribution network operators could save in the region of pound200 m over the next 20 years in their network investment costs this paper draws heavily on the project undertaken for ofgem but any views expressed are solely those of the authors

transition to an electricity market a model for developing countries market oriented restructuring of the electricity supply industry esi in the west has led to a realization of the need for reform and competition in developing countries as well however there are fundamental differences between the two cases regarding the maturity of the esi structure economic priorities and the role of the state in development this paper therefore synthesizes a model of reform which is sensitive to these realities consequently the outlook is different from the prevailing tendency to simply transpose experience from elsewhere the core issue that we identify is the approach to the transmission system thailand since it is of medium size and reform oriented is used as the main reference point but short sections on sri lanka and china are included to widen the relevance of the discussion

combined pool bilateral dispatch part ii curtailment of firm and nonfirm contracts this paper deals with the dispatch of power networks under mixed pool bilateral trading the major questions that are examined are the following 1 to what degree does the relative level of pool versus bilateral trading influence performance in terms of individual power levels costs prices and revenues 2 what is the comparative performance of mixed trading with firm and nonfirm bilateral contracts under various curtailment strategies 3 is the revenue derived from the pool and bilateral trading consistent with the corresponding unbundled costs the above questions are sequentially addressed in separate parts of this three part paper the eventual goal of these results is to help generator and load serving entities choose appropriate relative levels of pool versus bilateral trades while considering risk economic performance and physical constraints in part ii two types of bilateral contracts firm and nonfirm are introduced together with their respective curtailment and noncurtailment bids the optimal power flow problem from part i is now modified to accommodate this new type of operation technical and economical performance measures defined in part i namely generation revenues from bilateral and pool sales pool demand payments plus generation and load expenditures to cover transmission loss and congestion management attributed to bilateral exchanges are also used here together with revenues from contract curtailment and expenditures due to noncurtailment bidding simulation results illustrate the effects of firm and nonfirm contracts and their bidding strategies on the relative levels of pool bilateral trading as well as on economic performance of market participants

centurial evidence of breaks in the persistence of unemployment a novel procedure is applied to test for switches between hysteresis and the natural rate theory over more than a century of uk and usa unemployment data for both the countries we see a period conforming to hysteresis starting in the early 1920s for the uk and 1930 for usa

market plurality and manipulation performance comparison of independent system operators in this paper the authors present three different models that represent the coordinating functions of existing independent system operators isos and discuss their advantages and disadvantages max iso is a centralized operator based on the pool model and min iso is a decentralized operator based on the bilateral model mix iso is positioned in between having multiple power exchanges or bilateral contracts the performance of the different isos is compared by the total social welfare and the vulnerability to market manipulation a numerical example is presented to compare the performance of different isos the max iso is considered to be the most efficient model theoretically but it does not necessarily provide the best market in terms of vulnerability to market manipulation

a physical flow based approach to allocating transmission losses in a transaction framework a physical flow based approach to allocating transmission losses in a multiple transaction system is presented the allocation scheme is developed using a framework in which the transactions are explicitly represented the proposed scheme is based on expressing losses explicitly in terms of all the transactions in the system an important property of the allocation scheme is its effective capability to deal with counter flows that result in the presence of specific transactions extensive numerical testing indicates that the allocation scheme produces loss allocations that are appropriate and that behave in a physically reasonable manner test results on several systems are presented

transmission congestion and competition on power generation expansion generation expansion planning involves decisions on location and capacity of new generation which may lead to adding or relieving congestion in transmission lines and to increasing or reducing competition in deregulated markets generation expansion may encounter congestion in the transmission network by constrained single line flows as well as flowgate transfer capabilities in this paper a model to study the interaction between competition and transmission congestion on power generation expansion is proposed the generation expansion problem is modeled as a cournot competition game network transmission constraints are included in the optimal generation expansion problem to comply with power flow limits results from a five bus power network and the ieee 24 bus system are presented and discussed

tri criterion inverse portfolio optimization with application to socially responsible mutual funds we present a framework for inverse optimization in a markowitz portfolio model that is extended to include a third criterion the third criterion causes the traditional nondominated frontier to become a surface until recently it had not been possible to compute such a surface but by using a new method that is able to generate the nondominated surfaces of tri criterion portfolio selection problems we are able to compute via inverse optimization the implied risk tolerances of given funds that pursue an additional objective beyond risk and return in applying this capability to a broad sample of conventional and socially responsible sr mutual funds we find that after the screening process there appears to be no significant di erence between how assets are allocated in socially responsible and conventional mutual funds which is likely to be di erent from what most sr investors would expect

transmission loss allocation i single energy market this paper presents a new methodology for allocating transmission losses to the participants of a single energy market the proposed approach is based on the incremental transmission loss concept and is implemented through two models basic and extended in the basic model the total system losses are estimated through the linear dc load flow equations while the extended model uses the exact ac formulation the concept of center of losses is used a fictitious bus in the system network where all transactions are compensated for transmission losses both models provide a sharing of transmission losses among generators and loads based on a predefined proportion for instance 50 50 for each participant class some important aspects related with the allocation fairness and transparency are illustrated by numerical applications with the ieee reliability test system the extension of this methodology to interconnected energy markets is treated in a companion paper

economic inefficiencies and cross subsidies in an auction based electricity pool this paper compares two contrasting yet often used electricity market clearing procedures i an auction based algorithm including congestion management and transmission loss cost allocation and ii an optimal power flow the auction procedure produces a single period unit commitment and hence can be compared directly to an optimal power flow solution these algorithms are compared in terms of the economic efficiency of the solution attained and in terms of cross subsidies among generators and demands the purpose of this comparison is to quantify the actual cost to market participants of using a simple seemingly transparent procedure such as an auction based algorithm versus an integrated but computationally intensive one such as an optimal power flow

a new methodology for cost allocation of transmission systems in interconnected energy markets this paper presents a new methodology for allocating transmission system costs in single or interconnected energy markets initially the proposed method allows the decomposition of the total transmission cost into two components the first corresponds to the utilized network capacity estimated at a specified operating condition and the second refers to the transmission capacity available but not used in the system a technique for decomposing nodal tariffs per subsystem guarantees the applicability of the method to interconnected markets from the proposed procedure it is possible to determine the responsibility of each participant or group of participants in the use of any specified set of transmission elements the flexibility of this method allows the establishment of criteria based on economic and technical aspects for cost allocation of internal circuits of each subsystem as well as of the tie elements between the subsystems important characteristics of the proposed methodology such as transparency impartiality and flexibility are analyzed and illustrated based on numerical applications with the ieee reliability test system experience with the brazilian transmission network is also discussed