RESIDENTIAL PHOTOVOLTAIC ENERGY SYSTEMS IN CALIFORNIA: THE EFFECT ON HOME SALES PRICES

Relatively little research exists estimating the marginal impacts of photovoltaic (PV) energy systems on home sale prices. Using a large data set of California homes that sold from 2000 through mid‐2009, we find strong evidence, despite a variety of robustness checks, that existing homes with PV systems sold for a premium over comparable homes without PV systems, implying a near full return on investment. Premiums for new homes are found to be considerably lower than those for existing homes, implying, potentially, a trade‐off between price and sales velocity. The results have significant implications for homeowners, builders, appraisers, lenders, and policymakers. (JEL R31, D12, C33)     

Determinants of the premium in forward contracts

Whilst the benefits of forward contracting for goods and services have been extensively researched in terms of mitigating market power effects in spot markets, we analyse how the risk in spot price formation induces a counteracting premium in the contract prices. We consider and test a wide-ranging set of propositions, involving fundamental, behavioural, dynamic, market conduct and shock components, on a long data set from the most liquid of European electricity forward markets, the EEX. We show that part of what is conventionally regarded as the market price of risk in electricity is actually that of its underlying fuel commodity, gas; that market power has a double effect on prices, insofar as it increases spot prices and induces a forward premium; that oil price sentiment spills over and that the premium reacts to scarcity and the higher moments of spot price uncertainty. We observe that considerations of the scale and determinants of the forward premium are at least as important as the market power effects in spot market price formation when evaluating the efficiency of wholesale power trading.     

Incentives to invest and to give access to non-regulated new technologies

We analyze the incentives of a vertically integrated firm, which is a regulated monopolist in the wholesale market and competes with an entrant in the retail market, to invest and to give access to a new wholesale technology. The new technology represents a non-drastic innovation that produces retail services of a higher quality than the old technology, and is left unregulated. We show that for intermediate values of the access price for the old technology, the vertically integrated firm may decide not to invest. When investment occurs, the vertically integrated firm may be induced to give access to the entrant for a low access price for the old technology. Furthermore, when both firms can invest, investment occurs under a larger set of circumstances, and it is the entrant the firm that invests in more cases. We also discuss the implications for the regulation of the old technology.     

A novel measure of liquidity premium: application to the Korean stock market

This study proposes a novel measure for an asset’s liquidity premium. Applying Brownian first-passage time distribution properties, we derive an explicit form of liquidity premium embedded in the asset price. Our liquidity premium measure is intuitive because it assesses the extent to which the value of the asset should be increased from the current market price if investors were allowed to retain the asset until they achieve an investment goal. This measure is readily available for assessing an asset’s liquidity because it does not require information on the asset’s transactional characteristics. Our empirical experiment using Korean stock market data suggests that the liquidity premium in this study is inversely related to Amihud’s (2002) illiquidity ratio, which is commonly used to measure stocks’ illiquidity.     

IPO发行价溢价异象与投资者情绪研究

以2003—2011年沪深两市所有A股作为样本进行研究可以发现,IPO发行价与IPO溢价之间存在显著的负相关关系,IPO发行价越低,IPO溢价现象越明显,称之为“发行价溢价异象”。采用受限因变量Tobit模型对投资者结构进行分析又可发现,IPO发行价越低,个人投资者持股比例越高,机构投资者持股比例越低．由此表明,正是由于低发行价股票投资以个人投资者为主,个人投资者易于受到投资者情绪影响,高估股票价值,增加非理性投资需求,寸导致了“发行价溢价异象”产生。     

The effect of the National Food Reserve Agency on maize market prices in Tanzania

Tanzania's National Food Reserve Agency has a mandate to ensure food security through procuring, reserving and recycling grain (primarily maize) in a cost‐effective manner. This mandate excludes a price stabilization role. Procurement prices, based on production costs, are often set above market prices to encourage production. Several disbursements channels exist: grain provided free or at a discount to targeted vulnerable households; subsidized sales to millers; and sales to prisons or nongovernmental aid programs, typically at market‐related prices. Given the perception that these activities are distortive, we use time‐series econometrics to model maize price dynamics in select wholesale markets to capture the Agency's market impact. We find that its pricing strategy had an insignificant impact on prices during 2010/11–2014/15 despite a fairly significant presence in at least some regional markets. We recommend that the Agency reconsiders offering a price premium on procured maize or selling maize at discount to millers, as limited market spill‐over effects imply the benefits are captured by only a few, even though its practice of providing subsidized or free maize to vulnerable people is not in question. Furthermore, current storage capacity expansion plans are not required and inconsistent with its food security mandate.     

Sources of business fluctuations: Financial or technology shocks?

Despite the widespread belief that technology shocks are the main source of business fluctuations, recent empirical studies indicate that in the absence of financial frictions, a shock to the marginal efficiency of investment is the main source and is closely related to financial conditions for investment. We incorporate a financial accelerator mechanism and two types of financial shocks to the external finance premium and net worth in a dynamic stochastic general equilibrium model with shocks to the marginal efficiency of investment, the investment-good price markup, and the rates of neutral and investment-specific technological changes. This model is estimated using eleven US time series that include data on loan, net worth, the loan rate, and the relative price of investment. Our estimation results show that the (non-stationary) neutral and investment-specific technology shocks primarily drive output and investment fluctuations, while the external finance premium shock plays an important role for investment fluctuations. This financial shock induced substantial falls and subsequent sharp hikes in the external finance premium and caused boom–bust cycles over the past two decades.     

Dynamic Pricing and the Peak Electricity Load Problem

Reforms to Australia's 45,000 MW electricity market were met with remarkable success, but wholesale market gains have been largely exhausted. Above‐trend growth in investment in energy infrastructure is driving retail prices to levels that triggered the sectoral assault in the first place. This pressure should initiate the last piece of the reform puzzle—removing price regulation, installing smart meters and implementing dynamic pricing to halt the primary cause of the problem, rapidly rising peak demand. We find that such a change can lead to non‐trivial reductions in household peak demand, with our sample load factor improving by 9 percentage points.     

Does asymmetry in price transmission exist in the rice market in Sri Lanka?

This study analyses asymmetry in price transmission between wholesale and retail rice markets in Sri Lanka, using the threshold autoregressive model. We found that the wholesale and the retail rice markets in Sri Lanka are integrated, with price changes moving from the wholesale to the retail market. However, the price transmission process is asymmetric. In particular, price increases at the wholesale market transmit immediately to the retail market while price decreases transmit more slowly. Parameter stability test and follow-up analysis indicated that the price transmission process is asymmetric only during periods of price surges, suggesting that the rice market is not efficient during these periods.     

General Equilibrium Impacts of Monetary and Fiscal Policies on Welfare of Households in South Asia

Impacts of fiscal and monetary policies are assessed in an open economy two sector multi‐household general equilibrium tax model with money for South Asia. Despite impressive growth rates there is evidence for alarming gaps in the distribution of income among households that require very careful design of economic policies. Generally the impacts of fiscal expansions are positive for all categories of households under the flexible price system but the gains are much higher for households in the upper income group than for those in the bottom. In theory the equilibrium relative prices guarantee the optimal allocation of resources in such economy. Simulation results show that demand, output and employment are sensitive to the preferences of consumers, confidence of producers and sector specific production technologies. Monetary policy is super‐neutral under flexible price regime but can complement fiscal policy well when aggregate prices are made sticky. Combination of monetary and fiscal policies in this manner can have extensive impacts in efficiency and redistribution. Higher taxes distort incentives to work and investment from richer households slowing down the economy. This reduces the welfare level of both rich and poor. Flexibility in prices enhances the market mechanism and makes the fiscal policy more effective and efficient.     

Multilevel assessment of diversity,innovation and selection in the solar photovoltaic industry

We undertake an empirical study of the solar photovoltaic (PV) industry using evolutionary-economic concepts. Experts regard solar energy as a realistic option for sustainable energy provision in the long run. We identify the innovation and selection forces that drive the changes in the solar PV industry. In addition, a quantitative analysis using diversity indexes is performed at four levels of the solar PV industry: countries, technologies, applications and companies. Richness (number of alternatives) and evenness are calculated in order to describe and identify the changes that have occurred over time at each level. Most remarkable is that evenness has increased at the company level and decreased at the other three levels. We draw a number of policy conclusions.     

中国生猪价格波动特征分析

使用2000—2009年中国生猪批发价格月度数据,分析了我国生猪批发价格运动的轨迹。研究结果表明:近年来我国生猪批发价格年度内震荡加剧且具有明显的季节性波动特征。并利用ARCH模型对生猪批发价格波动的动态过程进行了分析,发现滞后1期及滞后5期的生猪批发价格变动与当期价格变动的方向相同,而滞后2期的批发价格对当期价格有回调作用。     

Household response to dynamic pricing of electricity: a survey of 15 experiments

Since the energy crisis of 2000–2001 in the western United States, much attention has been given to boosting demand response in electricity markets. One of the best ways to let that happen is to pass through wholesale energy costs to retail customers. This can be accomplished by letting retail prices vary dynamically, either entirely or partly. For the overwhelming majority of customers, that requires a change out of the metering infrastructure, which may cost as much as $40 billion for the US as a whole. While a good portion of this investment can be covered by savings in distribution system costs, about 40% may remain uncovered. This investment gap could be covered by reductions in power generation costs that could be brought about through demand response. Thus, state regulators in many states are investigating whether customers will respond to the higher prices by lowering demand and if so, by how much. To help inform this assessment, this paper surveys the evidence from the 15 most recent pilots, experiments and full-scale implementations of dynamic pricing of electricity. It finds conclusive evidence that households respond to higher prices by lowering usage. The magnitude of price response depends on several factors, such as the magnitude of the price increase, the presence of central air conditioning and the availability of enabling technologies such as two-way programmable communicating thermostats and always-on gateway systems that allow multiple end-uses to be controlled remotely. In addition, the design of the studies, the tools used to analyze the data and the geography of the assessment influence demand response. Across the range of experiments studied, time-of-use rates induce a drop in peak demand that ranges between 3 and 6% and critical-peak pricing (CPP) tariffs induce a drop in peak demand that ranges between 13 and 20%. When accompanied with enabling technologies, the latter set of tariffs lead to a reduction in peak demand in the 27–44% range.     

中国利率期限结构的非线性动态调整:基于MS-VECM模型的研究途径

基于MS-VECM模型对预期理论调整作用下的中国利率期限结构非线性动态过程进行的实证研究,结果表明:预期理论在中国利率期限结构中是成立的;中国利率期限结构具有两区制的非线性动态特征,可以按预期理论的调整强度将两种区制分别描述为"强调整区制"与"弱调整区制";不同期限利率的平均变动幅度和平均风险溢价水平会随区制状态变化而发生变化,具有区制相依性,区制间的转移具有非对称性;利率期限结构与物价压力的非线性区制划分具有相似性,物价波动是利率期限结构非线性动态变化的重要原因。     

Evaluating the risk premium in the U.S.A. natural gas market: evidence from low-price regime

In recent years, the U.S.A. natural gas market has seen enormous changes. The expectations of abundant supply of shale gas and the slow U.S.A. economic recovery have pushed gas prices below US$ 4 MMBtu. Although shale gas is a new promising source of unconventional energy, investors face uncertain investment plans. In this study, we investigate the risk premium by comparing behaviour before and after the change point in agents risk perception. Unlike traditional empirical research on risk premium, we use the parametric, two-factor model of Schwartz and Smith (2000) to evaluate the implied risk premium term structure from futures prices traded on the New York Mercantile Exchange (NYMEX). We compare our findings with other empirical results and find that the change point lies at the beginning of the low-price regime. When we compare periods before and after the change point, we observe that the risk premium changed, not only in sign, but also in magnitude.     

Asymmetric responses of money demand to oil price shocks in Saudi Arabia: a non-linear ARDL approach

Saudi Arabia is an open oil-based economy with fixed exchange rates; therefore, it has limited monetary policy autonomy. Using non-linear autoregressive distributed lag approach, this article investigates the asymmetric effects of oil price shocks on the demand of money in Saudi Arabia over the period 1990:Q1–2014:Q4. The empirical results show evidence of positive long run but asymmetric effects of oil price shocks on the money demand. In particular, we find that the positive oil price shocks are more important than negative shocks. Therefore, two policy responses can be considered: either sustaining the fixed exchange rate regime and following an economic diversification policy or switching towards a flexible exchange rate regime to achieve price stability. In that case, the existence of a stable money demand function in Saudi Arabia is a necessary precondition for adopting a monetary policy strategy targeted to price stability using instruments like money targeting.     

价格下降的增长意义

理解经济增长的过程不但要从产业发展着手,而且要深入到企业行为层面。而标准的企业行为的理论没有考察其对经济增长的意义,为此文章研究了价格下降对于经济增长的作用,从而在此方面进行一定的努力。文章认为价格下降能从两方面促进经济增长,一方面能直接带来经济增长,另一方面能通过优化市场环境间接促进长远的经济增长。因此,应该鼓励企业进行价格竞争行为,这对于垄断行业的改革、经济持续增长以及收入分配问题的改善有着积极意义。     

Rockets and feathers meet markup margins: Applications to the oil and gasoline industry

This article investigates the existence of asymmetric price transmission between crude oil, rack (wholesale) and retail gasoline prices. A threshold cointegration technique is used, with regime switches being triggered by the size of the markup margin. There is consistent evidence of band‐TAR in which the crude, rack and retail prices are free to diverge until the markup margin is squeezed or stretched beyond a lower or upper critical threshold. This finding indicates that abnormally high markup margins cannot be sustained, which provides evidence against market power exertion. The threshold error correction models indicate that there is no systematic relationship between the speed of adjustment back to the long‐run relationship and the markup margin, which rules out the existence of “rockets and feathers.”     

Competition and price asymmetries in the Greek oil sector: an empirical analysis on gasoline market

This article attempts to investigate the issue of asymmetries in the transmission of shocks to input prices and exchange rate onto the wholesale and retail price of gasoline respectively. For this purpose, we utilise the error-correction methodology in the Greek gasoline market. The sample consists of monthly data covering the period of January 1988 to June 2006. We also try to analyse by using impulse response functions the effect of competition on the dynamic adjustment of gasoline price to which has been paid scant attention in the past. The results favour the common perception that retail gasoline prices respond asymmetrically to cost increases and decreases both in the long and the short-run. At the wholesale segment, there is a symmetric response of the spot prices of gasoline towards the adjustment to the short-run responses of the exchange rate. Lastly, after the deregulation, wholesale prices of gasoline tend to gradually restore equilibrium triggered by a price shock compared to the regulated period.     

房价与经济波动的区制转移——基于STAR系列模型的实证研究

本文运用平滑转移自回归(STAR)系列模型定量分析了1998-2010年间我国经济波动区制转移(Regime Transition)过程及房价波动在其中的作用。研究结果表明,我国经济在受到外生刺激时会产生跳跃冲动,但能否出现区制转移现象取决于外生刺激的持续性,单纯依靠以往经济的表现不能充分地解释这种现象;房价作为外生变量有效地解释了经济波动中存在的动态转移过程,这表明房价波动中存在着先行信息并可用于预测未来经济走向。此外,经济波动转移过程并非不可逆转,足够的反向推动力能够扭转经济势头,这使得政策干预成为可能。