Price connectedness between green bond and financial markets

We study price connectedness between the green bond and financial markets using a structural vector autoregressive (VAR) model that captures direct and indirect transmission of financial shocks across markets. Using heteroskedasticity to identify the structural VAR model parameters, our empirical findings reveal that the green bond market is closely linked to the fixed-income and currency markets, receiving sizeable price spillovers from those markets and transmitting negligible reverse effects. We also show that, in contrast, the green bond market is weakly tied to the stock, energy and high-yield corporate bond markets. These findings have implications in terms of portfolio and risk management decisions for environmentally aware investors holding positions in green bonds.     

Strategic interaction between futures and spot markets

We study an oligopolistic industry where firms are able to sell in a futures market at infinitely many moments prior to the spot market. A kind of Folk-theorem is established: any outcome between perfect competition and Cournot can be sustained in equilibrium. We then find that the Cournot outcome can be sustained by a renegotiation-proof equilibrium. However, this is not true for the competitive outcome. Furthermore, only the monopolistic outcome is renegotiation-proof if firms can buy and sell in the futures market. These results suggest, contrary to existing literature, that the introduction of futures markets may have an anti-competitive effect.     

Primary energy substitution models: On the interaction between energy and society

This paper describes an attempt to develop a “synthetic” model of primary energy substitution, using certain rules which proved fruitful in describing the substitution of other commodities. This model will be used for forecasting, and for checking the validity of certain objectives set for R&D in the field of energy.     

International capital markets,oil producers and the Green Paradox

A rapidly rising carbon tax leads to faster extraction of fossil fuels and accelerates global warming. We analyze how general equilibrium effects operating through the international capital market affect this Green Paradox. In a two-region, two-period world with identical homothetic preferences and without investment, the global interest rate falls and the Green Paradox weakens. With investment or a relatively more impatient oil-importing region, the Green Paradox may be strengthened because the future oil demand function shifts downward or because the interest rate rises. If the oil-importing region is very much more patient than the oil-exporting region, the Green Paradox may be reversed but in our calibrated model the effects are tiny. With exploration and endogenous initial oil reserves, a future carbon tax lowers cumulative oil extraction in partial equilibrium. If the boost to current oil extraction is weakened, strengthened or reversed in general equilibrium, so is the fall in cumulative extraction. A partial and general equilibrium welfare analysis of a future carbon tax, both for full and partial exhaustion, is given. The effects of stock-dependent extraction costs are separately discussed in an Appendix.     

PowerPlay: Exploring decision making behaviors in energy efficiency markets

Computer models are widely used to analyze decisions about energy efficiency improvements in the residential and commercial sectors. Few models exist that can actually be run interactively by decision makers to play out alternative future scenarios. None are available that interactively capture the dynamics, subtleties and complexities of interdependent decisions by utilities, households and firms in an ever-changing technological and economic environment.This paper presents the features and experiences of PowerPlay, a computer-facilitated game which fills that gap and does more: it is a game to be played by at least a dozen player groups who interact with each other, make deals (or break them), plan for the future and revise decisions. The computer model functions like a game board to trace actions and offer choices. The observed behaviors can be analyzed to advance understanding of investment strategies and consumer choices; to generate experimentally-based data on energy efficiency changes; and to provide the basis for analyses that can substantiate or complement historical, time-series driven specifications of energy models.     

The turning black tide: energy prices and the Canadian dollar

Abstract.  This paper revisits the relationship between energy prices and the Canadian dollar, using an equation first developed by Amano and van Norden (1995) . They found evidence of a negative relationship between these two variables, such that higher real energy prices led to a depreciation of the Canadian dollar. Based on structural break tests, we find a break point in the sign of this relationship, which changes from negative to positive in the early 1990s. The timing of the break is consistent with major changes in Canada's energy policies and in energy-related cross-border trade and investment.     

Limited attention in residential energy markets: a regression discontinuity approach

It is well known that limited attention affects consumption decisions, in particular, when the decision environment is complex. The objective of this study is to determine whether or not, and to what extent, limited attention is prevalent in residential energy markets. We use data on more than 10,000 randomly selected customers of a California-based utility company and examine consumption responses as measured by changes in kilowatt-hours after a bill has crossed a salient threshold. The results of a sharp regression discontinuity design indicate that consumers use significantly less electricity in a month following the receipt of a bill that crossed a given threshold, such as $50 for lower-income households, who then show a 2–4% reduction in the consumption. We find that even at the threshold, the degree of inattention is roughly 0.75, consumers still tend to ignore the actual (i.e., full) cost of energy use. As previous studies have found inattention to be related to income, we focus primarily on lower-income households. However, there is some evidence that higher-income households have a similar response at higher thresholds. Considering the urgent need to reduce greenhouse emissions and increase energy savings, our results may contribute to the design of more effective billing and feedback mechanisms for energy-end-users.     

Negative price spikes at power markets: the role of energy policy

In Germany, substantial drops in wholesale power prices have become a regular phenomenon. While such price drops have far-reaching implications for the functioning of the power market, their underlying determinants remain poorly understood. To fill this gap, we propose a Markov regime-switching model to investigate low-price events at the European Power Exchange. Our analysis focuses on the role of energy policies that promote renewable energies and have led to significant reductions of nuclear capacities after the Fukushima accident. We find that high electricity infeed from renewable sources increases negative price spike probabilities, while the decommissioning of nuclear plants under the Nuclear Moratorium had an opposing effect. Simulations of market outcomes under different energy policies indicate that reaching ambitious renewable energy targets increases the frequency of low-price events and compromises the financial viability of conventional generation units, while a nuclear phase-out or an increase in storage capacities mitigates these effects.     

The asymmetric price adjustment between REIT and stock markets in Asia-Pacific markets

This paper applies the threshold error correction model to examine the relationship for real estate investment trusts (REITs) and stock, and their asymmetric adjustment behaviors in six Asian/Pacific financial markets: Australia, Japan, Singapore, Taiwan, Korea, and Hong Kong. Our results show that there has been long-term equilibrium in REIT and stock indices in most of these markets. To earn exceptional profits, it is recommended that investors can sell (buy) the REITs when the indices of REITs are lower (higher) than equilibrium in Australia, Singapore and Taiwan; on the other hand, they should sell (buy) when the REIT market goes up (down) in Hong Kong and Japan. A causality test revealed that previous information about stocks predicted changes in the REITs in all the Asian/Pacific markets. One can also find that the lead–lag relationships are significant. The threshold EC model predicts two-way causality under both the regimes for the financial markets in most countries during all the sample periods. In addition, the adjustment speeds for the stock indices are faster than that for the REIT indices as disequilibrium occurs. This paper also finds that the previous mentioned trading strategies generally remained the same during the period of sub-prime mortgage crisis. However, the threshold EC model predicts one-way causality for both the regimes for the financial markets in most countries during this crisis period. In addition, we also find that the severe shock in REIT markets led investors in Australia and Taiwan to be more conservative during this period. The REIT indices had more effect on stock indices after the sub-prime mortgage crisis. According to the empirical results, we can infer that the degree of market imbalance and the occurrence of the sub-prime mortgage crisis induce the changes in the investment behavior of market participants.     

Comparison between specific taxation and volume quotas in a free entry Cournot oligopoly

We revisit the classic discussion of the comparison between tax and quota, but in a free-entry Cournot oligopoly. We investigate a quantity ceiling regulation as a quota policy. We find that tariff-quota equivalence holds if the firms are symmetric and the number of firms is given exogenously. However the equivalence does not hold and taxes dominate quotas in the free entry market because quota can increases the number of entering firms and increases the loss caused by excessive entries.     

The relationship between developed equity markets and the Pacific Basin's emerging equity markets

Using a trivariate vector autoregression (VAR) model with a proper control for heteroscedasticity, this paper investigates the relationships between the two largest equity markets in the world—the U.S. and Japan—and the four Asian emerging equity markets: Hong Kong, Korea, Singapore, and Taiwan. Evidence indicates that the links between the developed markets and the Asian emerging markets (AEMs) began to increase after the stock market crash in October 1987, and have significantly intensified since the outbreak of the Asian financial crisis in July 1997.     

Dynamic linkages between stock markets: the effects of crises and globalization

This paper investigates changes in the dynamics of linkages between selected national stock markets during the period 1995–2009. The analysis focuses on the possible effects of globalization and differences between crisis and non-crisis periods. We model the dynamics of dependencies between the series of daily returns on selected stock indices over different time periods, and compare strength of the linkages. Our tools are dynamic copula models and a formal sequential testing procedure based on the model confidence set methodology. We consider two types of dependencies: regular dependence measured by means of the conditional Spearman’s rho, and dependencies in extremes quantified by the conditional tail dependence coefficients. The main result consists of a collection of rankings created for the considered subperiods, which show how the mean level of strength of the dependencies have been changing in time. The rankings obtained for Spearman’s rho and tail dependencies differ, which allows us to distinguish between the results of crises and the effect of globalization.     

Interrelationship between crude oil and the stock markets of major demanders and suppliers in emerging and developed markets

This paper investigates the time-varying relationship between the stock markets of advanced and emerging oil-exporting and oil-importing countries and the international crude oil price indices. The results reveal that the time-varying among the oil-exporting and oil-importing countries responds similarly to aggregate supply- and demand-side effects. Oil-exporting countries have a slightly higher integration with the oil markets, while oil supply shocks have a slightly higher impact on emerging oil-exporting countries. The oil markets exhibit a lower time-varying relationship with the Asia-Pacific oil-importing markets, which indicates those markets may be attractive to investors during periods of turbulence in the oil market.     

关于我国股票市场与债券市场收益率联动性的实证研究

股票和债券的资产组合在证券投资领域是一种传统而常见的投资组合方式.为了从组合中获取最大收益和最大限度地规避风险,研究这两种资产之间的联动性问题具有重要意义.基于对股票市场与债券市场收益率联动性进行的实证分析,我们发现股票市场与债券市场收益率之间存在长期影响;股票市场与债券市场收益率之间存在领先-滞后关系;股票市场与债券市场收益率之间的月度相关性是时序变化的,可以用模型进行描述与预测.     

The role of financial speculation in the energy future markets: A new time-varying coefficient approach

To study whether speculating behavior plays an important role in oil futures markets, this paper proposes a time-varying coefficient version of the model of Llorente, Michaely, Saar, and Wang (2002) and estimates the effect of the speculating behavior using a sieve maximum likelihood estimation method. Using the time-varying coefficient model and the data of crude oil and heating oil futures markets, we find that neither the speculative motive nor the hedging motive dominates the markets over the whole sample period. However, we find that one of the two motives dominates the markets over some subsample periods. More importantly, speculation dominates in both the crude oil and heating oil futures markets around 2008. These empirical findings support the argument that the speculating behavior significantly affected the sharp rise in the price of crude oil in 2008.     

On the co-movement between coffee and cocoa prices in international markets

In this article, we study the movement between cocoa and coffee prices, two close substitute commodities. Using the ARDL approach developed by Pesaran et al. (2001), we found that the two prices are cointegrated. The long-run elasticity of coffee price with respect to the cocoa one is estimated at 0.88. Also, using the lag-augmented VAR approach of Toda and Yamamoto (1995), which is valid whatever the order of integration of the data, the cocoa price is found to granger cause the coffee price and not vice versa. This finding suggests that models aiming at forecasting coffee prices should incorporate cocoa prices as well.     

马克思主义绿色发展观与当代中国的绿色发展——兼评环境与发展不相容论

在中国经济转型进程中,有关中国环境与发展不相容的国内外言论不绝于耳,考验着中国的发展自信。绿色发展理念的提出正是有力地驳斥了这些言论。绿色发展理念以马克思主义绿色发展观为理论源泉。在东西方有关环境保护理论的发展演变的背景中,本文梳理了马克思主义绿色发展观的形成与发展,指出了绿色发展理念的创新内核以及马克思主义绿色发展观对人类绿色发展的理论创新。立足中国长期以来的环境保护实践,文章阐述了中国绿色发展是从思想到行动上对马克思主义绿色发展观的创新发展和对全球环境保护的理论贡献。加快中国绿色发展还应把握好地位、投入、力度、配置、定位等关键问题,确保绿色发展落到实处,展现中国在全球环境保护与绿色转型发展中的样板作用,从根本上回击对绿色发展的质疑,树立中国经济转型的强大自信。     

Futures markets and commodity options: Hedging and optimality in incomplete markets

This paper examines the allocational roles of futures markets and commodity options in multi-good and multi-period economies. In a continuous-time model with time-additive utilities and homogeneous beliefs, trading in “unconditional” futures contracts, the market portfolio and a riskless asset gives any Pareto-optimal allocation. Individuals' optimal holdings of futures contracts in the continuous-time model are related to their consumption bundles and to their risk tolerances. It is shown that both hedging and “reverse hedging” behavior are possible. In the general model with discrete trading, options on portfolios of commodity options are shown to permit any unconstrained Pareto-optimal allocation.     

城市绿色消费问题对策--绿色工程

本文针对城市绿色消费问题提出了全面化、社会化的绿色工程概念，对绿色工程框架进行了详细的分析和阐述，并给出了支持绿色工程有力实施的平台体系。借此，希望本研究有助于我国循环经济的建设与发展。     

中国A股与B股的市场分割性检验

本文以布莱克版CAPM(资本资产定价模型 )作为理论模型 ,修正国外先进的市场分割检验模式 ,运用较复杂的计量经济估计方法对我国A、B股市场的一体化 (或分割性 )进行实证研究。实证结果表明 ,中国A、B股市场在很大程度上是一体化的。