Price Volatility and Banking in Green Certificate Markets

There is concern that prices in a market for Green Certificates (GCs) primarily based on volatile wind power will fluctuate excessively, leading to corresponding volatility of electricity prices. Applying a rational expectations simulation model of competitive storage and speculation of GCs the paper shows that the introduction of banking of GCs may reduce price volatility considerably and lead to increased social surplus. Banking lowers average prices and is therefore not necessarily to the benefit of “green producers”. Proposed price bounds on GC-prices will reduce the importance of banking and even of the GC system itself.The paper benefited from presentations at Copenhagen University, Stockholm School of Economics and University of Iceland. Thanks are due to Lars Bergman, Torstein Bye, Pauli Murto and participants in the Nordic Energy Research Program (NERP).     

Price Volatility and Risk Exposure: On the Interaction of Quota and Product Markets

We consider an industry with firms that produce a final good emitting pollution to different degree as a side effect. Pollution is regulated by a tradable quota system where some quotas may have been allocated at the outset, i.e. before the quota market is opened. We study how volatility in quota price affects firm behaviour, taking into account the impact of quota price on final-good price. The impact on the individual firm differs depending on how polluting it is??whether it is ??clean?? or ??dirty????and whether it has been allocated quotas at the outset. In the absence of long-term or forward contracting, a grandfathering regime??where clean firms are allocated no quotas and dirty firms are allocated quotas for a part of their emissions??minimizes the impact on firm behavior relative to a risk-neutral benchmark.With forward contracts and in the absence of wealth effects initial quota allocation has no effect on firm behaviour. Allowing for abatement does not change the qualitative nature of our results.     

Partial Pooling at the Reserve Price in Auctions with Resale Opportunities

Two features common to many auctions are the use of reserve prices and the existence of secondary markets for the goods being sold. Even in simple symmetric settings, the combination of these features can preclude existence of an equilibrium in symmetric separating bidding strategies. With a reserve price sufficiently far below the maximum (endogenous) valuation, a symmetric equilibrium still exists, but with some types pooling at the reserve. The optimal reserve price depends not only on the joint distribution of bidders' information before and after the auction, but also on how surplus is divided in the secondary market. Journal of Economic Literature Classification Numbers: D44, C7, L1, D82     

Designing Multi-unit Multiple Bid Auctions: An Agent-based Computational Model of Uniform, Discriminatory and Generalised Vickrey Auctions

Multi-unit auctions are being used by public agencies to allocate resources and to purchase services. These auctions resolve the lumpy bid problem inherent in single-bid auctions by allowing bidders to submit a supply or demand schedule. However, the choice of pricing formats for multi-unit auctions is controversial. Neither economic theory nor laboratory experiments depict a complete picture of how alternative pricing formats perform in terms of budgetary or allocative efficiency. This paper constructs an agent-based computational model to compare uniform, discriminatory and generalised Vickrey pricing formats under different degrees of competition and heterogeneity in the bidder population.     

玉米期货价格的波动分析

本文基于玉米期货价格数据,运用ARCH类模型和马尔科夫机制转换模型分析玉米期货价格的波动规律和特征。研究表明,玉米期货价格存在一阶ARCH效应和＂杠杆效应＂,玉米期货价格收益率具有显著的波动集簇性;TARCH和EGARCH模型估计结果,玉米市场中价格上涨信息引发的波动比价格下跌信息引发的波动要大,玉米价格波动具有显著的非对称性。我国玉米期货价格确实存在马尔科夫机制转换;在样本研究期间,我国玉米期货价格存在比较明显的三个上涨和下跌阶段,在波动中保持上涨趋势。     

Breaking Collusion in Auctions through Speculation: An Experiment on CO2 Emission Permit Markets

The European Emission Trading Scheme (EU‐ETS) has chosen to adopt an auctioning procedure to initially allocate CO₂ emission permits. Free allocation of permits will become an exception for the third phase (2013–2020) and most firms will have to buy all their permits on the market or via auctions. The ability of bidders to collude is a key concern about the design of the auction format. To counter collusion, the auction can be open to bidders without compliance obligations (speculators). This paper aims at studying experimentally speculation as a collusion‐breaking device in two different auction mechanisms: the uniform‐price sealed‐bid auction and the ascending clock auction. Our results suggest that a uniform sealed‐bid auction open to speculators should be chosen from a revenue maximization point of view. In this mechanism, compliance agents adopt an aggressive strategy toward speculators. This strategy significantly increases the seller's revenue, compared to the more collusive clock auction. In the latter, on the contrary, bidders accommodate speculators, letting them buy permits in the auction and buying their necessary permits on the secondary market. However, as opening the auction to speculators deteriorates efficiency, the regulator faces a trade‐off between these two objectives.     

宏观经济与股票价格波动之间的关系研究

利用Copula模型,研究宏观经济变量与上证股指收益率之间的相关关系,在选择合适的边缘分布函数的基础上,分别建立了常相关的二元正态Copula函数、t—Copula函数、FrankCopula函数、ClaytonCopula函数以及Gum—belCopula函数模型,并且利用欧氏距离方法选择出最佳拟合Copula模型。选取2001年1月至2011年12月的月度数据作为处理对象,并利用最佳拟合模型分析宏观经济变量与上证股指收益率间相关关系及相关结构,从而揭示了中国宏观经济与股票市场之间的相关性。     

Consumer Ownership in Liberalized Electricity Markets. The Case of Denmark

The continuation of consumer ownership has been an important part of the Danish electricity reform from 1999. Consumer ownership refers to either a consumer co-operative or a municipal utility. Contrary to conventional wisdom, consumer ownership can be supported by solid arguments from modern economic theory of organization. These arguments are presented and confronted with both present and future situation in Denmark. The development of the electricity supply industry after the Second World War has emptied consumer ownership of much of its original content. Nowadays, most consumers consider their electric utility as the (monopoly) supplier of a good they demand and not as something they own. Therefore, obligatory consumer ownership as specified in the new Danish Electricity Act of 1999 cannot be relied on to guarantee security of supply and reasonable prices for small consumers     

Theory and Application of Linear Supply Function Equilibrium in Electricity Markets

We consider a supply function equilibrium (SFE) model of interaction in an electricity market. We assume a linear demand function and consider a competitive fringe and several strategic players having capacity limits and affine marginal costs. The choice of SFE over Cournot equilibrium and other models and the choice of affine marginal costs is reviewed in the context of the existing literature. We assume that bid rules allow affine or piecewise affine non-decreasing supply functions by firms and extend results of Green and Rudkevitch concerning the linear SFE solution. An incentive compatibility result is proved. We also find that a piecewise affine SFE can be found easily for the case where there are non-negativity limits on generation. Upper capacity limits, however, pose problems and we propose an ad hoc approach. We apply the analysis to the England and Wales electricity market, considering the 1996 and 1999 divestitures. The piecewise affine SFE solutions generally provide better matches to the empirical data than previous analysis.     

Price Dynamics in a Network of Decentralized Power Markets

In this paper, we model the dynamic behavior of prices in a network of interconnected, but decentralized, electric power markets—an architecture very different from the centralized exchanges and power pools currently being implemented by many state regulators. We estimate dynamic equations of unregulated, wholesale power prices at spot markets scattered over an eleven-state trading region. The results indicate that this decentralized system of power and transmission trading produces prices that are efficient and dynamically stable over this vast network. Price convergence in the power market is similar to what has been observed in the recently deregulated natural gas market.     

Green Electricity Markets as Mechanisms of Public-Goods Provision: Theory and Experimental Evidence

Utility-based green electricity programs provide market opportunities for consumers to reduce the carbon footprint of their electricity use. These programs deploy three types of public-goods contribution mechanisms: voluntary contribution, green tariff, and all-or-nothing green tariff (Kotchen and Moore, 2007). We extend the theoretical understanding of the all-or-nothing green tariff mechanism by showing that an assumption of warm-glow preferences is needed to explain widespread participation in programs deploying this mechanism. We conduct the first experimental test to compare the revenue generating capacity of a pure public good (based on the voluntary contribution mechanism) and an impure public good (based on the green tariff mechanism). In experimental play, the voluntary contribution mechanism raises 50% more revenue than the green tariff mechanism. With the all-or-nothing green tariff, experimental play and regression estimates show that a warm-glow preference positively affects participation, as predicted by the theory.     

短期国际资本对股票市场间波动传递效应的实证分析——以中美股票市场为例

本文关于短期国际资本对股票市场间波动的传递效应进行研究,首先运用GARCH模型,研究了美国的股票市场与中国股票市场的波动规律,并量化生成了中美股票市场的波动序列;其次运用Granger因果检验考察短期国际资本能否作为一种渠道,将美国股票市场的波动性影响传递到中国股票市场;最后选取短期国际资本流动性指标、资本和金融账户差额与外汇储备占比指标、中美股市收益率差指标等来构建中国股票市场价格指数的TARCH模型,发现中国股票市场存在明显的非对称效应,且短期国际资本流动对我国股市具有明显的传递效应。     

Equilibrium of Affiliated Value Second Price Auctions with Financially Constrained Bidders: The Two-Bidder Case

We study affiliated value second price auctions with two financially constrained bidders. We prove the existence of a symmetric equilibrium under quite general conditions. Comparative static results are provided. Journal of Economic Literature Classification Number: D44.     

发达证券市场的层次化综合化及我国证券市场的路径选择

一国证券市场是层次分化还是综合统一取决于该国证券发行人的融资规模、成本和风险及投资者的理性程度.英美等国的证券市场比较成熟,其在市场层次极大丰富的基础上逐渐走向综合化,相比而言,我国现阶段的证券市场还不够成熟,不宜过于追求市场的综合统一,应加强市场的层次化建设.     

期货市场与现货市场之间的价格研究--中国农产品市场的经验

本文借助于信息共享模型与波动溢出效应模型对我国大豆和小麦的期、现货市场之间的价格发现进行了多层次的实证研究,定量描述了期、现货市场在价格发现中作用的大小,深入刻画了我国农产品期、现货市场之间的动态关系.研究结果显示:大豆期、现货价格之间存在双向引导关系,小麦仅存在期货对现货的单向引导关系;期、现货市场均扮演着重要的价格发现角色,且期货市场在价格发现中处于主导地位;期、现货市场之间均存在双向波动溢出关系,但现货市场来自期货市场的波动溢出效应均强于期货市场来自现货市场的波动溢出效应;并且,随着期货市场的发展,期、现货市场之间的波动溢出程度均呈逐渐增强态势.     

Volatility and Market Risk of Rubber Price in Malaysia: Pre- and Post-Global Financial Crisis

The volatility in rubber price is a significant risk to producers, traders, consumers and others who are involved in the production and marketing of natural rubber. Such being the case, forecasting the rubber price volatility is desired to assist in decision-making in this uncertain situation. The 2008 Global Financial Crisis caused some disruptions and uncertainties in the future supply or demand for natural rubber and thus leading to higher rubber price volatility. Using ARCH-type models, this paper intends to model the dynamics of the price volatility of Standard Malaysia Rubber Grade 20 (SMR 20) in the Malaysian market before and after the Global Financial Crisis. Additionally, Value-at-Risk (VaR) approach is implemented to evaluate the market risk of SMR 20. Our empirical result denotes the existence of volatility clustering and long memory volatility in the SMR 20 market for both crisis periods. Leverage effect is also detected in the SMR 20 market where negative innovations (bad news) have a larger impact on the volatility than positive innovations (good news) for post-crisis period. When tested with Superior Predictive Ability (SPA) test, FIGARCH model is the best model across five loss functions for short- and long-term forecasts for pre-crisis period. Meanwhile, over post-crisis period, FIGARCH and GJR GARCH indicate the superior out-of-sample-forecast results and better forecasting accuracy over short- and long-term horizons, respectively. In terms of market risk, the short trading position encounters higher risk or greater losses than the long trading position at both 1 and 5 % VaR quantile for pre-crisis period. In contrast, over post-crisis period, long traders of rubber SMR 20 tend to face limited gains but unlimited losses.

     

Regulatory Uncertainty and the Volatility of Regional Electricity Company Share Prices: The Economic Consequences of Professor Littlechild

This paper attempts to measure the effects of regulatory intervention by measuring the conditional variance of stock price changes in the 12 UK regional electricity companies before and after an unexpected intervention by the electricity regulator in March 1995. The analysis uses an ARCH model in which the conditional variance follows an autoregressive formation. The results indicate a significant increase in the volatility of the conditional variance for eight of the 12 companies.     

Effect of Macro Factor Volatility on the Returns of Financial Sector in Southeast Asian Stock Markets

The emphasis of this study is on the practice of the Pooled Mean Group （PMG） estimators to investigate the magnitude of macroeconomic performances： Real Gross Domestic Product （RGDP）, Foreign Exchange Rate （EX）, and Deposit Interest Rate （DINT） affecting on the rate of financial sector returns in Southeast Asian Stock Markets including Stock Exchange Of Thailand （SET） index （Thailand）, the Kuala Lumpur Composite Index （KLSE） index （Malaysia）, Financial Times Share Index （FTSI） （Singapore）, Philippine Stock Exchange （PSE）, and the Jakarta Composite Index （JKSE） （Indonesia）. The Panel Autoregressive Distributed Lag （Panel ARDL） is applied to model the relations. The study applies the Levin, Lin, and Chu （LLC） test （2002） and Im, Pesaran, and Shin （IPS） test （2003） to investigates a set of time series data to examine whether the determinants and the rate of financial sector returns contain a unit root, the next step is investigated the cointegration and causality relationship of the determinants of financial sector influencing on long-run rate of returns of financial sector in Southeast Asian Stock Markets.     

基于可持续发展的电价政策体系研究

近年来,我国已出台的电价政策存在一定的缺陷,而且也不能有效覆盖变化了的(厂、网分开)的电力行业。主要表现在:煤、电价格联动未能充分地反映电力的燃料成本变化,上网电价以基于经营期成本回收方法的单一电量制为主,不能适应变化了的电力行业结构。调节性能好的水电及抽水蓄能电价仍实行单一电量制,使该类电源的功能不能合理发挥。销售电价总水平监管尚未执行任何规范性方法,仍处于"相机抉择"状态,调整不及时、不到位,电价结构不合理,"交叉补贴"更加严重。针对这些问题,本文提出了完善我国电价政策体系的对策建议。