Two-settlement Systems for Electricity Markets under Network Uncertainty and Market Power

We analyze welfare and distributional properties of a two-settlement system consisting of a spot market over a two-node network and a single energy forward contract. We formulate and analyze several models which simulate joint dispatch of energy and transmission resources coordinated by a system operator. The spot market is subject to network uncertainty, which we model as a random capacity derating of an important transmission line. Using a duopoly model, we show that even for small probabilities of congestion (derating), forward trading may be substantially reduced, and the market power mitigating effect of forward markets (as shown in Allaz and Vila 1993) may be nullified to a great extent. There is a spot transmission charge reflecting transportation costs from location of generation to a designated hub whose price is the underlying for the forward contract. This alleviates some of the incentive problems associated with the forward market in which spot-market trading is residual. We find that the reduction in forward trading is due to the segregation of the markets in the constrained state, and the absence of natural incentives for generators to commit to more aggressive behavior in the spot market (the strategic substitutes effect). In our analysis, we find that the standard assumption of no-arbitrage across forward and spot markets leads to very little contract coverage, even for the case with no congestion. We present an alternative view of the market where limited intertemporal arbitrage enables temporal price discrimination by competing duopolists. In this framework, we assume that all of the demand shows up in the forward market (or that the market is cleared against an accurate forecast of the demand), and the forward price is determined using a market clearing condition.     

Stochastic growth with correlated production shocks

This paper extends the stochastic growth model of Brock and Mirman [J. Econ. Theory4 (1972), 497–513] to allow the production shocks to be correlated over time. The resultant optimal savings and consumption policies depend not only upon the current level of output but also upon the most recent realization of the random shock. The properties of these policy functions are studied and it is shown that the Markov process on output, capital stock and consumption resulting from the application of these policies converges to a stationary distribution.     

Organizational Wrongs,Moral Anger and the Temporality of Crisis

By engaging with multiple narratives of a police killing involving questionable legal procedures, known as a police encounter in India, we attempt to narrate stories of what happens to those who resist organizational wrongdoing by displaying moral anger against unethical actions. The State enables police encounters to occur by arguing that exceptional and alternate methods are required to engage with the crisis of terror and crime that the nation faces. Thus, police encounters are executed in the name of the collective morality of the greater common good. Those who resist police encounters argue from the standpoint of a democratic morality by suggesting that the very efficacy of democratic institutions will be eroded if encounters are normalized. We explore questions of organizational ethics from a temporal perspective while navigating between contending moral positions regarding police encounters.     

On the impact of shock persistence on the dynamics of a recursive economy

The present note relies exclusively on numerical computation of a parametric version of a (stochastic) version of the one-sector neoclassical growth model to derive the qualitative properties of the optimal consumption/investment policy functions and of the resultant steady state, and to study the manner in which these properties are affected by an increase in the degree of shock persistence. In particular, we measure the effects of (differing degrees of) shock persistence on the means and variances of the resulting (stationary) distributions on output, consumption, and capital stock. Furthermore, we explore the effects of increasing degrees of shock persistence on the dynamic time path of the economy.     

Junior is rich: bequests as consumption

We explore the consequences for asset pricing of admitting a bequest motive into an otherwise standard overlapping generations economy where agents trade equity, a risk free asset and consol bonds. With low risk aversion, the calibrated model produces realistic values for the mean equity premium and the risk free rate, the variance of the equity premium, and the ratio of bequests to wealth. However, the variance of the risk free rate is unrealistically high. Security prices tend to be substantially higher in an economy with bequests as compared to an otherwise identical one where bequests are absent. We are able to keep the prices sufficiently low to generate reasonable returns and premia by stipulating that a portion of the bequests skips a generation and is received by the young.

“You never actually own a Patek Philippe. You merely take care of it for the next generation.” Patek Philippe & Co.

We thank John Cox, Jean Pierre Danthine, Felix Kubler, Edward Prescott and seminar participants at The Bank of Italy, Columbia, Lausanne, Mannheim, MIT, Lugano, SIFR, the University of New South Wales, USC, Yale and the University of Zurich for insightful xcomments. The usual caveat applies.     

Implementing efficient graphs in connection networks

We consider the problem of sharing the cost of a network that meets the connection demands of a set of agents. The agents simultaneously choose paths in the network connecting their demand nodes. A mechanism splits the total cost of the network formed among the participants. We introduce two new properties of implementation. The first property, Pareto Nash implementation (PNI), requires that the efficient outcome always be implemented in a Nash equilibrium and that the efficient outcome Pareto dominates any other Nash equilibrium. The average cost mechanism and other asymmetric variations are the only mechanisms that meet PNI. These mechanisms are also characterized under strong Nash implementation. The second property, weakly Pareto Nash implementation (WPNI), requires that the least inefficient equilibrium Pareto dominates any other equilibrium. The egalitarian mechanism (EG) and other asymmetric variations are the only mechanisms that meet WPNI and individual rationality. EG minimizes the price of stability across all individually rational mechanisms.     

Fear and Violence as Organizational Strategies: The Possibility of a Derridean Lens to Analyze Extra-judicial Police Violence

Journal of Business Ethics - Governments and majoritarian political formations often present police violence as nationalist media spectacles, which marginalize the rights of the accused and...     

有没有新发现——零售银行业的产品创新原则

假如有100美元投资经费,美国零售银行业的决策者们只会拨出20美元用于新产品开发。现在,给金融服务产品线加足马力的时机来临了。     

The equity premium: A puzzle

Restrictions that a class of general equilibrium models place upon the average returns of equity and Treasury bills are found to be strongly violated by the U.S. data in the 1889–1978 period. This result is robust to model specification and measurement problems. We conclude that, most likely, an equilibrium model which is not an Arrow-Debreu economy will be the one that simultaneously rationalizes both historically observed large average equity return and the small average risk-free return.     

Exploiting Mobile Technology for Achieving Supply Chain Integration in Indian Retail

For decades supply chain coordination has been subject to research interest, and technology has been seen as an agent that accelerates this process. In developing countries, with far-flung markets and unorganized distribution networks, using technology for improving supply chain performances and accessing information is not an easy task. The research was directed to understand if mobile technology is being used by downstream supply chain partners for information sharing and thus improving supply chain performances. Findings suggest that supply chain integration with suppliers and customers is done through extensive use of mobile networks.