Time-varying pricing may increase total electricity consumption: Evidence from Costa Rica

We study the implementation of a time-varying pricing (TVP) program by a major electricity utility in Costa Rica. Because of particular features of the data, we use recently developed understanding of the two-way fixed effects differences-in-differences estimator along with event-study specifications to interpret our results. Similar to previous research, we find that the program reduces consumption during peak-hours. However, in contrast with previous research, we find that the program increases total consumption. With a stylized economic model, we show how these seemingly conflicted results may not be at odds. The key element of the model is that previous research used data from rich countries, in which the use of heating and cooling devices drives electricity consumption, but we use data from a tropical middle-income country, where very few households have heating or cooling devices. Since there is not much room for technological changes (which might reduce consumption at all times), behavioral changes to reduce consumption during peak hours are not enough to offset the increased consumption during off-peak hours (when electricity is cheaper). Our results serve as a cautionary piece of evidence for policy makers interested in reducing consumption during peak hours—the goal can potentially be achieved with TVP, but the cost is increased total consumption     

我国粮食产后损失情况概述

本文系统分析了粮食产后各环节损失的原因及损失量,针对相关粮食损失原因及状况,提出了减少粮食产后损失的措施及建议,以期为我国实现节粮减损提供支持。     

The economic burden of depression among adults with rheumatoid arthritis in the United States

Aims: Depression is the most frequent comorbidity reported among patients with rheumatoid arthritis (RA). Comorbid depression negatively impacts RA patients’ health-related quality-of-life, physical function, mental function, mortality, and experience of pain and symptom severity. The objective of this study was to assess healthcare utilization, expenditures, and work productivity among patients with RA with or without depression.

Materials and methods: Data from adult patients who had at least two visits each related to RA and depression over a 1-year period were extracted from the Truven Health MarketScan research databases. Outcomes comprised healthcare resource utilization, work productivity loss, and direct healthcare costs comparing patients with RA with depression (n?=?3,478) vs patients with RA without depression (n?=?43,222).

Results: Patients with RA and depression had a significantly greater relative risk of hospitalization and number of all-cause and RA-related hospitalizations, utilization of emergency services, days spent in the hospital, physician visits, and RA-related surgeries compared with RA patients without depression. Patients with RA and depression had a higher risk of and experienced more events and days of short-term disability compared with patients without depression. The incremental adjusted annual all-cause and RA-related direct costs were $8,488 (95% CI = $6,793–$10,223) and $578 (95% CI = –$98–$1,243), respectively, when comparing patients with RA and depression vs RA only.

Limitations: The current analysis is subject to the known limitations of retrospective studies based on administrative claims data.

Conclusions: This study suggested increased healthcare utilization, work productivity loss, and economic burden among RA patients due to comorbid depression. These findings emphasize the importance of managing depression and including depression as a factor when devising treatment algorithms for patients with RA.     

Do foreign exchange forecasters apply asymmetric loss functions? Evidence from three major exchange rates

This article investigates which type of loss function is consistent with the hypothesis that major exchange rate forecasts, i.e. the euro, the British pound, and the Japanese yen vis-à-vis the US dollar, are rational. We apply a comprehensive data set, which also allows us to examine different forecast horizons and heterogeneity of forecasters.     

Market impact: a systematic study of the high frequency options market

This paper deals with a fundamental subject that has seldom been addressed in recent years, that of market impact in the options market. Our analysis is based on a proprietary database of metaorders—large orders that are split into smaller pieces before being sent to the market—on one of the main Asian markets. In line with our previous work on the equity market [Said, E., Bel Hadj Ayed, A., Husson, A. and Abergel, F., Market impact: A systematic study of limit orders. Mark. Microstruct. Liq., 2018, 3(3&4), 1850008.], we propose an algorithmic approach to identify metaorders, based on some implied volatility parameters, the at the money forward volatility and at the money forward skew. In both cases, we obtain results similar to the now well-understood equity market: Square-Root Law, Fair Pricing Condition and Market Impact Dynamics.     

Fairness perception of ancillary fees: Industry differences and communication strategies

This study examines fairness perception of ancillary fees across different industries, and ways to communicate ancillary fees in a way that reduces customers' feeling that they are being unfairly treated. Through surveys and consumer experiments, we show that consumers’ perception of fairness decreases as the level of ancillary fees increases, with differences across industries. Also, when the customer is given a cue that the ancillary fees are necessary for low base prices, fairness perception increases, explained by the “dual entitlement” concept. Another effective communication strategy is early disclosure, as opposed to late disclosure which decreases fairness perception and willingness to recommend.     

现代资产定价理论的研究和发展——基于有效市场假说和资产定价模型的视角

围绕对有效市场假说的联合检验假设难题、资本资产定价模型的检验、“贝塔通缉令”“因子动物园”“多因素模型大战”等重点和核心话题,对现代资产定价理论文献的研究脉络进行梳理和评述,在此基础上对未来资产定价的研究重点和方向提出建议。     

INDIFFERENCE PRICES AND IMPLIED VOLATILITIES

We consider a general local‐stochastic volatility model and an investor with exponential utility. For a European‐style contingent claim, whose payoff may depend on either a traded or nontraded asset, we derive an explicit approximation for both the buyer's and seller's indifference prices. For European calls on a traded asset, we translate indifference prices into an explicit approximation of the buyer's and seller's implied volatility surfaces. For European claims on a nontraded asset, we establish rigorous error bounds for the indifference price approximation. Finally, we implement our indifference price and implied volatility approximations in two examples.     

European quanto option pricing in presence of liquidity risk

In this paper, we study the pricing problems of the European quanto options in which the underlying foreign asset is in imperfectly liquid markets. First, we assume that the dynamics of the underlying foreign asset price are affected by market liquidity and propose a liquidity-adjusted quanto model. This allows for the effects of market liquidity on European quanto option pricing. And then we derive the analytical pricing formulas for four different types of European quanto options. Finally, we empirically investigate the pricing performance of our proposed model with a European quanto construction involving the SSE 50 ETF, as the underlying asset, and the CNY/HKD exchange rate. Empirical results demonstrate that the pricing accuracy of the proposed model is markedly superior to that of the Black-Scholes quanto model. In other words, allowing for liquidity risk in the framework of European quanto option pricing can make markedly improvements in fitting the real market data. Particularly, the improvement rate is high for medium-term and out-of-the-money options. Moreover, these results are robust for different liquidity measures.     

The airfare pricing and seat allocation problem in full-service carriers and subsidiary low-cost carriers

This study investigates the competitive market situation in the air transport industry considering full-service carriers (FSC), subsidiary low-cost carriers (LCC) and rival LCCs on the flight-leg level while subsidiary LCCs are established by FSCs against rival LCCs to keep the market share and to make more profit. It is assumed that the demand of economy class for each airline follows a known distribution, and the mean value of that distribution is a function of its airfare and the airfare differences with other airlines. In addition, no-shows and cancellations are introduced to reflect a real situation. Based on this situation, a mathematical model is developed to derive efficient airfare pricing and seat allocation for each airline for maximizing the profit sum of both FSCs and subsidiary LCCs using a repeated game. A repeated game model integrated with a Tabu search algorithm and an EMSR based heuristic is suggested to deal with the proposed repeated game. A numerical example is provided to validate the model and solution procedure with hypothetical system parameter values under two kinds of market situations that show before and after the emergence of subsidiary LCCs.