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on Energy Economics |
| By: | Zheng, Canran |
| Abstract: | This report presents an analysis of China’s transition to a low-carbon energy system, which requires multi-disciplinary approaches. As a world’s energy consumption driver, China will continue to play a significant role in the global energy transition in next few decades and its future choices in the energy sector will have a great impact on global energy demand and supply pattern. On the other hand, China’s unique political environment, complex geographic diversity, and ongoing US-China trade conflict have compounded the uncertainties associated with energy transition. To look into the future roles of different energy technologies, the report mainly covers the spectrum of coal, hydro, nuclear, solar and wind, unconventional oil and gas, as well as electric vehicles. With a specific focus on the power sector, the report aims to help understand the prospects for China’s energy sector based on current contexts, existing policies, announced national and regional plans, and ongoing debates. |
| Keywords: | Resource /Energy Economics and Policy |
| Date: | 2019–10–17 |
| URL: | http://d.repec.org/n?u=RePEc:ags:feemfe:294198&r=all |
| By: | Zhongxiang Zhang |
| Abstract: | China has determined to assign the market a decisive role in allocating resources. To that end, getting energy prices right is crucial because this sends clear signals to both producers and consumers of energy. While the overall trend of China’s energy pricing reform since 1984 has been moving away from the prices set by the central government in the centrally planned economy and towards a more market-oriented pricing mechanism, the pace and scale of the reform differ across energy types. This article discusses the evolution of price reforms for coal, petroleum products, natural gas, electricity and renewable power in China, and provides some analysis of these energy price reforms, in order to allow the market to play a decisive role in resource allocation and help China’s transition to a low-carbon economy. |
| JEL: | H23 H71 O13 O53 P22 Q41 Q43 Q48 Q53 Q58 |
| Date: | 2018–06 |
| URL: | http://d.repec.org/n?u=RePEc:een:ccepwp:1805&r=all |
| By: | Falbo, Paolo; Pelizzari, Cristian; Taschini, Luca |
| Abstract: | We investigate the combined effect of an Emissions Trading System (ETS) and renewable energy sources on electricity generation investments in energy-only markets. We study the long-term capacity expansion decision in fossil fuel and renewable technologies when electricity demand is uncertain. We model a relevant tradeoff: a higher share of renewable production can be priced at the higher marginal cost of fossil fuel production, yet the likelihood of achieving higher profits is reduced because more electricity demand is met by cheaper renewable production. We illustrate our theoretical results comparing the optimal solutions under business-as-usual and various ETSs and renewables scenarios. This illustration shows under which limiting market settings a monopolist prefers withholding investments in renewable energy sources, highlighting the potential distortionary effect introduced via the ETS. Our conclusions remain unaltered under varying key modelling assumptions. |
| Keywords: | Emissions Trading System; energy-mix; pass-Through; electricity Markets; electricity Sector; ES/R009708/1 |
| JEL: | R14 J01 L81 |
| Date: | 2019 |
| URL: | http://d.repec.org/n?u=RePEc:ehl:lserod:101704&r=all |
| By: | Ogden, Joan M. |
| Abstract: | Hydrogen is a high quality energy carrier that could be produced at global scale, via thermochemical processing of hydrocarbons, such as natural gas, coal or biomass, or water electrolysis using any source of electricity including renewables, such as wind or solar, or nuclear power. Hydrogen is receiving renewed attention driven by growing concerns about climate change, air quality and integration of variable renewable energy into the energy system. Recent energy/economic studies suggest that hydrogen and fuel cells could be important technologies for simultaneously addressing these challenges in a future renewable-intensive, low carbon energy system. In this paper, we review the technical and economic status of hydrogen and fuel cell technologies, progress toward commercialization, and the role of policy. We discuss timing, barriers, costs and benefits of a hydrogen transition, focusing on vehicle and energy storage applications. Finally, we suggest guidelines for future policies guiding a hydrogen transition. |
| Keywords: | Engineering |
| Date: | 2018–03–01 |
| URL: | http://d.repec.org/n?u=RePEc:cdl:itsdav:qt52s28641&r=all |
| By: | Nomsa Phindile Nkosi; Johane Dikgang |
| Abstract: | Excessive use of fossil fuels is widely acknowledged as one of the main causes of climate change. The energy sector is one of the sectors that make use of fossil fuels. Greenhouse gasses are released during the combustion of fossil fuels, such as coal, oil, and natural gas, to produce electricity. Generating electricity from nuclear reduces pollution externalities hence it is argued by some to be part of a sustainable solution to achieving low-carbon energy options. This option According to Ertor-Akyazi et al. (2012) since energy security is a critical element in an economy, nuclear energy can play a role in ensuring smooth supply of electricity; it is reliable, and can provide electricity on a larger scale, similar to fossil fuels. |
| Date: | 2018–08 |
| URL: | http://d.repec.org/n?u=RePEc:rza:wpaper:725&r=all |
| By: | Reyer Gerlagh; Roweno J.R.K. Heijmans; Knut Einar Rosendahl |
| Abstract: | For any emission trading system (ETS) with quantity-based endogenous supply of allowances, there exists a negative demand shock, e.g. induced by abatement policy, that increases aggregate supply and thus cumulative emissions. We prove this green paradox for a general model and then apply it to the details of EU ETS. In 2018, new rules for a Market Stability Reserve (MSR) were agreed on and implemented. We show that abatement policies announced in early periods but realized in the future, are inverted by the new rules and increase cumulative emissions. We provide quantitative evidence of our result for a model disciplined on the price rise in the EU ETS that followed the introduction of the MSR. |
| Keywords: | emissions trading, green paradox, EU ETS, environmental policy, dynamic modeling |
| JEL: | D59 E61 H23 Q50 Q54 Q58 |
| Date: | 2019 |
| URL: | http://d.repec.org/n?u=RePEc:ces:ceswps:_7862&r=all |
| By: | Jaffe, Amy M.; Dominguez-Faus, Rosa; Lee, Allen; Medlock, Kenneth; Parker, Nathan; Scheitrum, Daniel; Burke, Andrew; Zhou, Hengbing; Fan, Yueyue |
| Abstract: | The recent emergence of natural gas as an abundant, inexpensive fuel in the United States could prompt a momentous shift in the level of natural gas utilized in the transportation sector. The cost advantage of natural gas vis-à-vis diesel fuel is particularly appealing for vehicles with a high intensity of travel and thus fuel use. Natural gas is already a popular fuel for municipal and fleet vehicles such as transit buses and taxis. In this paper, we investigate the possibility that natural gas could be utilized to provide fuel cost savings, geographic supply diversity and environmental benefits for the heavy-duty trucking sector and whether it can enable a transition to lower carbon transport fuels. We find that a small, cost-effective intervention in markets could support a transition to a commercially sustainable natural gas heavyduty fueling system in the state of California and that this could also advance some of the state’s air quality goals. Our research shows that an initial advanced natural gas fueling system in California could facilitate the expansion to other U.S. states. Such a network would enable a faster transition to renewable natural gas or biogas and waste-to-energy pathways. Stricter efficiency standards for natural gas Class 8 trucks and regulation of methane leakage along the natural gas supply chain would be necessary for natural gas to contribute substantially to California’s climate goals as a trucking fuel. To date, industry has favored less expensive technologies that do not offer the highest level of environmental performance. |
| Keywords: | Engineering |
| Date: | 2019–10–14 |
| URL: | http://d.repec.org/n?u=RePEc:cdl:itsdav:qt6663v5jc&r=all |
| By: | Hardman, Scott; Tal, Gil |
| Abstract: | Car buyers in California have the choice of several types of alternative fuel vehicles (AFVs) including battery electric vehicles (BEVs), plug-in hybrid electric vehicles (PHEVs), and fuel cell vehicles (FCVs). FCVs offer a different ownership proposition compared to BEVs, mostly relating to their refueling style. This policy brief summarizing findings from the study which investigated FCV buyers in California and compared them to BEV owners. The hope is to understand why some households choose a FCV rather than a BEV. View the NCST Project Webpage |
| Keywords: | Social and Behavioral Sciences, Fuel cell vehicle, battery electric vehicle, electric vehicle |
| Date: | 2019–10–01 |
| URL: | http://d.repec.org/n?u=RePEc:cdl:itsdav:qt8228z124&r=all |
| By: | Chatziantoniou, Ioannis; Degiannakis, Stavros; Filis, George |
| Abstract: | Oil price volatility forecasts have recently attracted the attention of many studies in the energy finance field. The literature mainly concentrates its attention on the use of daily data, using GARCH-type models. It is only recently that efforts to use more informative intraday data to forecast oil price realized volatility have been made. Despite all these previous efforts, no study has examined the usefulness of futures-based models for oil price realized volatility forecasting, although the use of such models is extensive for oil price predictions. This study fills this void and shows that futures-based forecasts based on intra-day data provide informative forecasts for horizons that span between 1-day and 66-days ahead. More importantly, these results hold true even during turbulent times for the oil market, such as the Global Financial Crisis of 2007-09 and the oil collapse period of 2014-15. |
| Keywords: | Brent crude oil, realized volatility, forecasting, futures-based forecasts |
| JEL: | C22 C53 G13 Q47 |
| Date: | 2019 |
| URL: | http://d.repec.org/n?u=RePEc:pra:mprapa:96446&r=all |
| By: | Knut Anton Mork (Department of Economics, Norwegian University of Science and Technology); Hanna Marisela Eap (Ernst & Young AS); Magnus Eskedal Haraldsen (Danske Bank) |
| Abstract: | We consider the portfolio choice of a government with a Sovereign Wealth Fund (SWF) when government revenues depend on exhaustible resources, such as oil and gas. The question is whether the SWF portfolio should underweight shares in the resource industry. Some studies have found that these shares prices correlate more closely with the overall stock market than the resource price, which would seem to weaken the case for underweighting. However, equity price movements depend not only on changes in expectations of future cash flows, but also on time-varying discount factors. Rather than trying to disentangle these effects, we analyze cash flows directly. We have collected cash-flow data for the companies in all the major industries of the FTSE Global All Cap index, the basis for the strategic index of the Norwegian Government Pension Fund Global. We then look at the correlations between each industry's cash flow and the Norwegian government's cash flow from oil and gas. We find a close, statistically significant, and persistent correlation for the oil and gas industry. The correlations for other industries are small and insignificant. We believe our findings can be used to support proposals for SWFs in countries with significant petroleum revenues to underweight shares in this industry. |
| JEL: | G11 G38 |
| Date: | 2019–10–10 |
| URL: | http://d.repec.org/n?u=RePEc:nst:samfok:17919&r=all |
| By: | Cristian Huse; Claudio Lucinda; Andre Ribeiro |
| Abstract: | We examine the effects on the valuation of energy efficiency of PERCEE, the largest temporary electricity savings program worldwide. Using data from a representative sample of Brazilian households, we estimate a structural model of appliance choice accounting for heterogeneity in prices and operating costs. We document that it is only through incentives introduced by the PERCEE program that one cannot reject the null of correct valuation of energy costs against the two-sided alternative. Moreover, once PERCEE ends, households essentially revert to pre-program valuations, suggesting the lack of long-run effects of the program. Despite increases in the valuation of energy costs, the heterogeneous responses imply that monetary savings and the social benefit of carbon savings are concentrated among few consumers. Finally, we exploit PERCEE's design to decompose the energy efficiency gap into incentives and information components to find that the former is about twice as large as the latter. |
| Keywords: | energy efficiency, energy paradox, energy efficiency gap, information label, electricity demand, energy demand, mixed logit, household appliance |
| JEL: | D12 D83 L15 L68 Q48 |
| Date: | 2019–10–08 |
| URL: | http://d.repec.org/n?u=RePEc:spa:wpaper:2019wpecon39&r=all |
| By: | Barry Ehinomen Ebhojie (O'Khona General Dealers and Projects) |
| Abstract: | Worldwide, more than one third of energy is used in buildings which account for about 15% of the total greenhouse gas that is emitted globally. Buildings in cities can account to about 80% for carbon monoxide emitted. Therefore, the built environment is a very critical part of the climate change mitigation. Evaluated in this research are energy efficiency measures that can be implemented through regulations and controls. From administered questionnaires, the issues of energy efficiency have become an imperative principle in the building sector and the way it is managed in South Africa. Based on the analysis provided, energy efficient behaviour is the predominant factor that influences energy consumption. According to the PCA results, seven variables (Age of building, number of bedrooms, roofing materials, energy for cooking and heating, window style and brick and concrete wall) were all dominant variables and these variables remain significant after implementing multiple regression models to estimate energy cost. |
| Keywords: | Buildings; Energy Efficiency; Greenhouse gas; PCA |
| JEL: | D10 A13 C83 |
| Date: | 2019–10 |
| URL: | http://d.repec.org/n?u=RePEc:sek:iacpro:9812036&r=all |
| By: | Bruninx, Kenneth; Ovaere, Marten; Gillingham, Kenneth; Delarue, Erik |
| Abstract: | With the Phase 4 cancellation provision, the cumulative emissions cap of the EU ETS has become dependent on the amount of surplus allowances and future emissions abatement costs. In this paper, we discuss how the design of the market stability reserve greatly increases uncertainty over cumulative emissions and implies that there will be more cancellation when future abatement is more costly, making the policy more stringent when the cost of compliance is higher. Moreover, we illustrate how overlapping policies may lead to paradoxical effects on cumulative emissions. |
| Keywords: | European Emission Trading System, Market Stability Reserve, Cancellation, Waterbed, Marginal Abatement Cost |
| JEL: | L5 L6 L94 L98 Q4 Q5 Q52 Q54 Q58 |
| Date: | 2019–10–09 |
| URL: | http://d.repec.org/n?u=RePEc:pra:mprapa:96437&r=all |
| By: | Idahosa; Love O; Marwa; Nyankomo; Akotey; Joseph O |
| Abstract: | In light of the high energy consumption associated with Heating Ventilation and Air Conditioning (HVAC) in tourism accommodation establishments, as well as the concern for guests’ satisfaction which limits the environmental actions of these establishments, this study tests the hypothesis that thermal comfort is socially constructed, and as such, social norms will be effective in influencing HVAC consumption towards more sustainable levels. Within the framework of a randomised field experiment, the response of hotel guests to message prompts to set their room thermostat to a prescribed temperature is observed. Response behaviour is monitored using Temperature data logging devises place in the rooms. Findings suggest that social norms are effective in influencing hotel guests’ room temperature settings, indicating that thermal comfort is largely socially constructed. The implication of this is that the future of the current unsustainable trend in resource consumption and Green House Gas pollution, driven by the increasing adoption of, and demand for, HVAC systems in buildings, can be modified towards more sustainable levels. The application of the behavioural intervention to testing the social construction of thermal comfort, as well as the technology adopted for observing behaviour, are a novel contribution to the existing body of knowledge. |
| Keywords: | Thermal Comfort, Social norms, Randomised Control Trial |
| Date: | 2018–07 |
| URL: | http://d.repec.org/n?u=RePEc:rza:wpaper:753&r=all |
| By: | Diogo Machado; Yilong Qu; Mario Cervantes |
| Abstract: | This monograph benchmarks innovation policies for sustainability, focusing on two key areas: low-carbon and environmental technologies, and “smart-city” initiatives in selected OECD countries as well as the European Union. Country coverage of low-carbon technologies includes both natural resource-based energy-rich countries (e.g. Canada and the United States) and energy-challenged countries (e.g. Germany and Japan). Country or regional coverage of smart cities programmes focuses on Australia, Austria, Finland and Sweden, as well as two international programmes operated by the European Commission and the Nordic Council. The monograph assess the policies’ sectoral priorities. It reviews their portfolio of instruments, budgets, and monitoring and evaluation strategies, international co-operation strategies and identifies critical success factors. |
| Date: | 2019–10–17 |
| URL: | http://d.repec.org/n?u=RePEc:oec:stiaac:80-en&r=all |
| By: | Liu, Yan (Beijing Institute of Technology); Chen, Xi (Yale University); Yan, Zhijun (Beijing Institute of Technology) |
| Abstract: | While adverse health effects of ambient air pollution have been well documented, there is scarce evidence on the impact of household air pollution (HAP) on mental health. We investigated the causal link between HAP exposure from the use of solid fuel on depressive symptoms using a nationally representative dataset of middle-aged and older population in China. Employing the propensity match score method (PSM), matching and adjusting for potential confounders, we found significantly higher Center for Epidemiological Studies Depression Scale (CES-D) score and risk of depressive symptoms among solid fuel users than clean fuel users. These associations were especially stronger for older females who were less educated, of lower income, of higher body mass index, or had chronic diseases. |
| Keywords: | depression, household solid fuel use, household air pollution, propensity score matching, CHARLS |
| JEL: | I31 Q51 Q53 |
| Date: | 2019–09 |
| URL: | http://d.repec.org/n?u=RePEc:iza:izadps:dp12654&r=all |
| By: | Patrick Criqui (GAEL - Laboratoire d'Economie Appliquée de Grenoble - Grenoble INP - Institut polytechnique de Grenoble - Grenoble Institute of Technology - INRA - Institut National de la Recherche Agronomique - CNRS - Centre National de la Recherche Scientifique - UGA - Université Grenoble Alpes); Sandrine Mathy (GAEL - Laboratoire d'Economie Appliquée de Grenoble - Grenoble INP - Institut polytechnique de Grenoble - Grenoble Institute of Technology - INRA - Institut National de la Recherche Agronomique - CNRS - Centre National de la Recherche Scientifique - UGA - Université Grenoble Alpes) |
| Abstract: | Il y a plus de quarante ans, le MIT posait pour la première fois dans son rapport au Club de Rome, The Limits to Growth, la question des limites globales à la croissance économique. Suivirent les chocs et contre-chocs pétroliers, la prise de conscience du changement climatique, puis une nou-velle envolée des prix du pétrole et des matières premières avant la crise financière de 2008. Depuis 2014, le front des prix est revenu à la normale et les observateurs des marchés annoncent même la fin durable du super-cycle des matières premières (Mc Kinsey Global Institute, 2017). Malgré cela, le péril climatique appelle à une grande transition techno-logique. Elle doit conduire, à l'horizon 2050, à la réduction massive des émissions de gaz à effet de serre, en particulier par la diminution des consommations d'énergies fossiles : charbon, pétrole et gaz naturel. Cela demande de déployer le plus rapidement possible l'efficacité énergétique, les énergies renouvelables et, dans les pays où c'est possible, l'énergie nucléaire. Le système énergétique fossile qui s'est déployé sur deux siècles de révolution industrielle doit, à très grands traits, être déconstruit et décarboné en 35 ans. La transition des énergies fossiles aux décarbonées, si elle se déroule comme nécessaire avant le milieu du siècle, constituera un évènement sans précédent historique. L'ampleur du défi conduit certains à douter alors qu'il en va de l'avenir du climat de la planète. Si l'on se place dans cette perspective de transition accélérée, la question se pose sur la manière dont elle pourrait être facilitée par des progrès rapides dans les technologies bas carbone. La transition énergétique pourrait, au contraire, être freinée par la disponibilité des ressources nécessaires au renouvellement complet du stock de capital énergétique. |
| Keywords: | transition énergétique,matériaux |
| Date: | 2019 |
| URL: | http://d.repec.org/n?u=RePEc:hal:journl:hal-02312133&r=all |
| By: | Zsuzsanna Csereklyei; David I. Stern (Arndt-Corden Department of Economics, Crawford School of Public Policy, The Australian National University) |
| Abstract: | We investigate the factors that affect airlines’ choice of fleet fuel economy using plane- level data for 1267 airlines in 174 countries. Larger and newer planes are usually more fuel- efficient. Controlling for the effect of aircraft size and age, we find that the technically achievable fleet fuel economy improves with the size of airlines and the price of fuel and worsens with higher capital costs. The elasticity of fuel economy with respect to the price of fuel is between -0.07 and -0.13. We find evidence for regional differences in fleet fuel economy that are attributable to the adoption of distinct groups of technologies. |
| JEL: | D22 L93 O14 Q40 |
| Date: | 2018–11 |
| URL: | http://d.repec.org/n?u=RePEc:een:ccepwp:1810&r=all |
| By: | Marion Davin (CEE-M, Univ Montpellier, CNRS, INRA, SupAgro, Montpellier, France); Mouez Fodha (University Paris 1 Panthéon-Sorbonne and Paris School of Economics, France); Thomas Seegmuller (Aix-Marseille Univ, CNRS, EHESS, Ecole Centrale, AMSE, Marseille, France) |
| Abstract: | This article analyzes the impacts of debt relief on production and pollution. We develop at wo-country overlapping generations model with environmental externalities, public debts and perfect mobility of assets. Pollutant emissions arise from production, but agents may invest in pollution mitigation. Could debt relief be an efficient tool to encourage less developed countries to engage in the fight against climate change? We consider a decrease of the debt of the poor country balanced by an increase of the richer country’s debt. We show that debt relief makes it possible to engage poor countries in the process of pollution abatement. Capital, environmental quality and welfare can increase in both countries. This result relies on the environmental sensitivity and the discount factor in the poor country relative to the rich one: the greater they are the more beneficial the debt relief is. |
| Keywords: | pollution; abatement; overlapping generations; public debt; capital market integration |
| JEL: | F43 H23 Q56 |
| Date: | 2019–10 |
| URL: | http://d.repec.org/n?u=RePEc:aim:wpaimx:1925&r=all |
| By: | Dom, Roel; McCulloch, Neil |
| Abstract: | Tax expenditures occur when a government provides a reduction in a tax obligation such that it collects less tax than it would have otherwise collected. Tax expenditures are an integral, though controversial, part of all contemporary tax systems. This policy briefing first summarises the various ways in which tax expenditures can be defined and measured. Estimates of the size of tax expenditures are sensitive to these decisions about definition and measurement. The brief then focuses on energy-related tax expenditures (ERTEs). ERTEs are increasingly under attack, because they can result in significant revenue losses for governments and, because, by reducing consumer prices of fossil fuel products and thus incentivising their use, they contribute to air pollution and global warming. Yet, we know little about their size, especially in developing countries. The little data that exists on ERTEs comes from the OECD and a few emerging economies; these suggest that ERTEs are relatively small in these countries. There are very few estimates of ERTEs in developing countries. However, the available estimates of the size of energy subsidies (of which ERTEs are one component) suggest that the revenue benefits of removing such subsidies in developing countries may be much larger. |
| Keywords: | Economic Development, |
| Date: | 2019 |
| URL: | http://d.repec.org/n?u=RePEc:idq:ictduk:14739&r=all |
| By: | Billio, Monica; Costola, Michele; Pelizzon, Loriana; Riedel, Max |
| Abstract: | In this paper, we investigate the relation between buildings' energy efficiency and the probability of mortgage default. To this end, we construct a novel panel dataset by combining Dutch loan-level mortgage information with provisional building energy ratings that are calculated by the Netherlands Enterprise Agency. By employing the Logistic regression and the extended Cox model, we find that buildings' energy efficiency is associated with lower likelihood of mortgage default. The results hold for a battery of robustness checks. Additional findings indicate that credit risk varies with the degree of energy efficiency. |
| Keywords: | Mortgages,Energy Efficiency,Credit Risk |
| JEL: | G21 |
| Date: | 2019 |
| URL: | http://d.repec.org/n?u=RePEc:zbw:safewp:261&r=all |
| By: | Sangare Alkassoum Saadatou; Hamadou Daouda Youssoufou; Helene Maisonnave (ULH - Université Le Havre Normandie - NU - Normandie Université) |
| Abstract: | Développement minier et pétrolier et politiques de dépenses publiques au Niger : une analyse en équilibre général calculable dynamique 1 Résumé Cette étude analyse les options de dépenses publiques à partir des ressources minières et pétrolières attendues et leurs répercussions sur les variables économiques. Elle se base sur une Matrice de Comptabilité Sociale mise à jour pour l'année 2012, tenant compte de 4 secteurs miniers et pétroliers. Afin d'évaluer les différentes options de dépenses publiques, nous utilisons un modèle d'équilibre général calculable dynamique récursif qui intègre les mécanismes de diffusion des externalités liées aux investissements dans les infrastructures. Nous analysons deux scénarios : l'un dans lequel l'État utilise une partie des recettes générées par l'extraction minière et pétrolière pour investir dans l'infrastructure routière du pays, et le second dans lequel l'État investit dans le secteur agricole. Ces deux scenarios sont comparés à un scénario de référence dans lequel il n'y a aucune intervention de l'État, et donc les ressources générées sont allouées par le marché. Abstract This study analyzes public spending options from mining and oil resources and their impact on economic variables on the Nigerian economy. The model is based on an updated Social Accounting Matrix for 2012 that takes into account the structural changes in the economy. To analyze the different policy options, we use a dynamic Computable general equilibrium model (CGE) that takes into account spill over effect of public investment. Two scenarios are analyzed: (1) public spending in infrastructure and (2) specific investment in the agricultural sector. Both scenarios are compared to a situation where mining and oil revenues are not specifically allocated. |
| Date: | 2019–10–11 |
| URL: | http://d.repec.org/n?u=RePEc:hal:wpaper:hal-02314227&r=all |
| By: | Yao Axel Ehouman |
| Abstract: | Linkages between oil prices and stock prices of the US banking sector have become more complex with the strong rise in the US production of shale oil. The concern is whether the exposure of the US banking sector to shale oil companies has led to volatility spillover transmission between stocks’ prices of the exposed US banks and oil prices. Using stocks prices data of the four major US banks involved in oil and gas industries and the price of West Texas Intermediate crude oil, we investigate these volatility spillovers from 2006 to 2016, using a vector fractional integrated ARMA. Our results support the existence of such volatility spillovers, suggesting thus a new factor likely to trigger future turmoil on oil markets and in the banking sector. |
| Keywords: | Oil, US banks stock, Realized Volatility, VARFIMA model . |
| JEL: | G1 Q4 |
| Date: | 2019 |
| URL: | http://d.repec.org/n?u=RePEc:drm:wpaper:2019-19&r=all |
| By: | Marion Davin (CEE-M - Centre d'Economie de l'Environnement - Montpellier - FRE2010 - INRA - Institut National de la Recherche Agronomique - UM - Université de Montpellier - CNRS - Centre National de la Recherche Scientifique - Montpellier SupAgro - Institut national d’études supérieures agronomiques de Montpellier); Mouez Fodha (PSE - Paris School of Economics); Thomas Seegmuller (AMSE - Aix-Marseille Sciences Economiques - EHESS - École des hautes études en sciences sociales - AMU - Aix Marseille Université - ECM - Ecole Centrale de Marseille - CNRS - Centre National de la Recherche Scientifique) |
| Abstract: | This article analyzes the impacts of debt relief on production and pollution. We develop a two-country overlapping generations model with environmental externalities, public debts and perfect mobility of assets. Pollutant emissions arise from production, but agents may invest in pollution mitigation. Could debt relief be an efficient tool to encourage less developed countries to engage in the fight against climate change? We consider a decrease of the debt of the poor country balanced by an increase of the richer country's debt. We show that debt relief makes it possible to engage poor countries in the process of pollution abatement. Capital, environmental quality and welfare can increase in both countries. This result relies on the environmental sensitivity and the discount factor in the poor country relative to the rich one: the greater they are the more beneficial the debt relief is. |
| Keywords: | Capital market integra- tion,Pollution,Abatement,Overlapping generations,Public debt,Capital market integration |
| Date: | 2019 |
| URL: | http://d.repec.org/n?u=RePEc:hal:wpceem:halshs-02305967&r=all |
| By: | Paul J. Burke (Arndt-Corden Department of Economics, Crawford School of Public Policy, The Australian National University); Rohan Best; Frank Jotzo (Crawford School of Public Policy, The Australian National University) |
| Abstract: | Around one-third of Australia’s coal-fired power stations closed during 2012–2017, with most of the remainder expected to close over coming decades. Current investment in generation capacity is primarily in the form of alternative power, especially wind and solar. In this paper we conduct an event study to assess the local unemployment effects of Australia’s coal-fired power station closures. This is an issue of considerable interest given the prominence of coal-fired power stations in local economies. Our analysis uses monthly regional labour force survey data from the Australian Bureau of Statistics. We find that there has on average been an increase in local unemployment of around 0.7 percentage points after the closures of coal-fired power stations, an effect that tends to persist beyond the months immediately after closure. The findings raise questions about appropriate policy responses for dealing with local structural adjustment issues facing coal-reliant communities. |
| JEL: | J65 E24 L94 |
| Date: | 2018–09 |
| URL: | http://d.repec.org/n?u=RePEc:een:ccepwp:1809&r=all |
| By: | Radecke, Julia; Hefele, Joseph; Hirth, Lion |
| Abstract: | The three D’s of the energy transformation – decarbonization, decentralization and digitalization – provide both chal-lenges and opportunities for distribution grids. Small-scale generation, batteries, electric heating, and e-mobility may put grids under considerable strain. However, if operated smartly, they also represent a deep pool of flexibility that can help grid operators relieve congestion and defer investment. One way of incentivizing such resources is to implement local markets for flexibility. In Europe, at least two dozen research pilots, stakeholder initiatives, and business cases have proposed specific designs for such markets. This paper provides an overview and analysis of these proposals. With many proposals being poorly documented, we largely rely on interviews for details on market design. We find that only one third of proposals allow free price formation, hence, despite their names, most are not what we consider a market. None of the proposals aims to replace existing congestion management mechanisms; rather they are meant as complementary tools. Usually markets employ dispatch payments; only few remunerate the reservation of flexibility availability. Though most proposals acknowledge market power and strategic interaction with other electricity markets (“inc-dec gaming”), few have developed concrete measures to address these problems. As they are in an early stage of development, market designs may still evolve. |
| Date: | 2019 |
| URL: | http://d.repec.org/n?u=RePEc:zbw:esprep:204559&r=all |
| By: | Kilian, Lutz |
| Abstract: | Baumeister and Hamilton (2019a) assert that every critique of their work on oil markets by Kilian and Zhou (2019a) is without merit. In addition, they make the case that key aspects of the economic and econometric analysis in the widely used oil market model of Kilian and Murphy (2014) and its precursors are incorrect. Their critiques are also directed at other researchers who have worked in this area and, more generally, extend to research using structural VAR models outside of energy economics. The purpose of this paper is to help the reader understand what the real issues are in this debate. The focus is not only on correcting important misunderstandings in the recent literature, but on the substantive and methodological insights generated by this exchange, which are of broader interest to applied researchers. |
| Keywords: | Bayesian inference; global real activity; IV estimation; Oil demand elasticity; oil price; oil supply elasticity; structural VAR |
| JEL: | C36 C52 Q41 Q43 |
| Date: | 2019–10 |
| URL: | http://d.repec.org/n?u=RePEc:cpr:ceprdp:14047&r=all |
| By: | Böhringer, Christoph (University of Oldenburg); Rosendahl, Knut Einar (School of Economics and Business, Norwegian University of Life Sciences); Briseid Storrøsten, Halvor (Statistics Norway) |
| Abstract: | Policy makers in the EU and elsewhere are concerned that unilateral carbon pricing induces carbon leakage through relocation of emission-intensive and trade-exposed industries to other regions. A common measure to mitigate such leakage is to combine an emission trading system (ETS) with output-based allocation (OBA) of allowances to exposed industries. We first show analytically that in a situation with an ETS combined with OBA, it is optimal to impose a consumption tax on the goods that are entitled to OBA, where the tax is equivalent in value to the OBA-rate. Then, using a multi-region, multi-sector computable general equilibrium (CGE) model calibrated to empirical data, we quantify the welfare gains for the EU to impose such a consumption tax on top of its existing ETS with OBA. We run Monte Carlo simulations to account for uncertain leakage exposure of goods entitled to OBA. The consumption tax increases welfare whether the goods are highly exposed to leakage or not. Thus, policy makers in regions with OBA can only gain by introducing the consumption tax. It can hence be regarded as smart hedging against carbon leakage. |
| Keywords: | Carbon leakage; output-based allocation; consumption tax |
| JEL: | D61 F18 H23 Q54 |
| Date: | 2019–10–10 |
| URL: | http://d.repec.org/n?u=RePEc:hhs:nlsseb:2019_004&r=all |
| By: | Shumilov, Andrei |
| Abstract: | The study compares the explanatory power of two alternative long-term determinants of the real effective exchange rate of the Russian ruble, oil prices and oil export revenues, in three variants of the error correction model. The linear model shows that during the period of managed nominal exchange rate from January 1999 to October 2014 explanatory properties of oil prices and oil export revenues are identical. In the model with structural break-in short-run parameters in November 2014 (when the Central Bank of Russia switched to a floating exchange rate and inflation-targeting policy) and in the Markov regime-switching model with two states, the oil price has higher explanatory power. This result could be explained, first, by the fact that since November 2014 oil revenue changes were mainly due to oil price movements rather than fluctuations in the volume of oil exports. In addition, information channel played an important role in the exchange rate dynamics. In this channel, with the non-instant adjustment of oil export price contracts, increase or decrease in the world price of oil forms expectations about the future rise (drop) of contract prices of exported oil, leading to an instant appreciation (depreciation) of the nominal and real exchange rates. |
| Keywords: | real effective exchange rate; Russia; oil export revenues; error correction model; Markov regime switching; impulse response functions |
| JEL: | C22 C51 E58 F31 F41 |
| Date: | 2019 |
| URL: | http://d.repec.org/n?u=RePEc:pra:mprapa:96400&r=all |
| By: | Kuo, Ying-Min (Oklahoma State University); Azam, Mehtabul (Oklahoma State University) |
| Abstract: | We use two waves of nationally representative India Human Development Survey to examine factors driving the cooking fuel choice in urban and rural India, separately. We utilize a random effects multinomial logit model that controls for unobserved household heterogeneity. We find that a clean-break with the use of traditional fuels is less likely in rural areas, but more probable in urban areas. The household characteristics (e.g. income, education) that are positively correlated with use of clean fuel also increases the probability of fuel stacking for rural households. We also find that access to paved road is an important determinant for rural household adopting clean fuel, and there exists evidence of social spillover effects in rural areas. Moreover, the bargaining power of women that is associated with economic status (e.g. education or economic freedom) is positively associated with the use of clean fuel. Finally, we find considerable impact of liquefied petroleum gas prices on the probability of use of clean fuel for urban households, but no significant impact for rural households. |
| Keywords: | fuel choice, fuel stacking, random eects multinomial logit, India |
| JEL: | Q42 O12 O13 C25 |
| Date: | 2019–10 |
| URL: | http://d.repec.org/n?u=RePEc:iza:izadps:dp12682&r=all |
| By: | Shigeru Matsumoto (Aoyama Gakuin University) |
| Abstract: | For the last several decades, governments have implemented various energy conservation measures aimed at reducing energy consumption and greenhouse gas emissions from the transportation sector. Among these measures, the spread of next-generation vehicles as an immediate policy goal has been particularly emphasized in recent years. By implementing subsidy programs for a limited period of time, governments try to influence the behavior of households that have not previously considered purchasing the products that have desirable properties. However, no literature has yet identified the households that switched from conventional gasoline vehicles to HVs. In this study, we compare the vehicle choice between three sampling periods (before/during/after the Eco-Car rebate program) and examine whether the rebate program changed the customer base of HVs.For the empirical analysis, we use micro-level data from the Japanese National Survey of Family Income and Expenditure (NSFE), which was collected in 2009 and 2014. NSFE collects data on households? socioeconomic characteristics, such as income/expenditure, savings/liabilities, and ownership of durable goods, as well as information related to houses, such as dwelling characteristics and site area. In addition, NSFE also collects vehicle-related information such as the number of vehicles owned, the year of purchase of each vehicle, and the type of vehicle.The empirical results by multinomial logit analysis demonstrate that the likelihood of HV selection increased substantially during the program period and remained at a high level after the program ended. We also find that households with large net wealth purchased HVs during the Eco-Car program period. Finally, we find that households having a higher income used to purchase HVs earlier. However, income has come to play a less important role in the choice between a HV and SGV after the end of the Eco-Car program. |
| Keywords: | Eco-Car rebate program, Hybrid Vehicle, Japanese National Survey of Family Income and Expenditure, Multinomial Logit Analysis |
| JEL: | O33 Q48 R20 |
| Date: | 2019–10 |
| URL: | http://d.repec.org/n?u=RePEc:sek:iacpro:9811334&r=all |
| By: | Jenn, Alan; Hardman, Scott; Lee, Jae Hyun; Tal, Gil |
| Keywords: | Social and Behavioral Sciences |
| Date: | 2019–10–01 |
| URL: | http://d.repec.org/n?u=RePEc:cdl:itsdav:qt01s8k5gt&r=all |
| By: | Christoph Boehringer (University of Oldenburg, Department of Economics); Knut Einar Rosendahl (Norwegian University of Life Sciences, Ås / Norway, and Statistics Norway, Oslo / Norway); Halvor Briseid Storroesten (Statistics Norway, Oslo / Norway) |
| Abstract: | Policy makers in the EU and elsewhere are concerned that unilateral carbon pricing induces carbon leakage through relocation of emission-intensive and trade-exposed industries to other regions. A common measure to mitigate such leakage is to combine an emission trading system (ETS) with output-based allocation (OBA) of allowances to exposed industries. We first show analytically that in a situation with an ETS combined with OBA, it is optimal to impose a consumption tax on the goods that are entitled to OBA, where the tax is equivalent in value to the OBA-rate. Then, using a multi-region, multi-sector computable general equilibrium (CGE) model calibrated to empirical data, we quantify the welfare gains for the EU to impose such a consumption tax on top of its existing ETS with OBA. We run Monte Carlo simulations to account for uncertain leakage exposure of goods entitled to OBA. The consumption tax increases welfare whether the goods are highly exposed to leakage or not. Thus, policy makers in regions with OBA can only gain by introducing the consumption tax. It can hence be regarded as smart hedging against carbon leakage. |
| Keywords: | Carbon leakage, output-based allocation, consumption tax |
| Date: | 2019–10 |
| URL: | http://d.repec.org/n?u=RePEc:old:dpaper:427&r=all |
| By: | Perekunah B. Eregha (Pan-Atlantic University, Lekki-Lagos. Nigeria); Ekundayo P. Mesagan (Pan-Atlantic University, Lekki-Lagos. Nigeria) |
| Abstract: | The study focuses on the political economy of oil resources management in Nigeria with the sole purpose of showcasing how far the country has gone in effectively managing its crude oil proceeds. It presents a brief history on the excess crude account as well as the sovereign wealth fund in Nigeria and then presents the models of excess oil resource management of some other countries. This is to enable Nigeria to draw some lessons and then take steps that guarantees the sustenance of growth and development. |
| Keywords: | Crude Oil; Political Economy; Sovereign Wealth Fund; Excess Crude Account; Growth; Nigeria |
| JEL: | D72 D73 D78 Q34 Q43 |
| Date: | 2019–01 |
| URL: | http://d.repec.org/n?u=RePEc:agd:wpaper:19/065&r=all |
| By: | Perekunah B. Eregha (Pan-Atlantic University, Lekki-Lagos, Nigeria); Ekundayo P. Mesagan (Pan-Atlantic University, Lekki-Lagos, Nigeria) |
| Abstract: | The study focuses on the political economy of oil resources management in Nigeria with the sole purpose of showcasing how far the country has gone in effectively managing its crude oil proceeds. It presents a brief history on the excess crude account as well as the sovereign wealth fund in Nigeria and then presents the models of excess oil resource management of some other countries. This is to enable Nigeria to draw some lessons and then take steps that guarantees the sustenance of growth and development. |
| Keywords: | Crude Oil; Political Economy; Sovereign Wealth Fund; Excess Crude Account; Growth; Nigeria |
| JEL: | D72 D73 D78 Q34 Q43 |
| Date: | 2019–01 |
| URL: | http://d.repec.org/n?u=RePEc:exs:wpaper:19/065&r=all |
| By: | John Cockburn; Martin Henseler; Hélène Maisonnave; Luca Tiberti (Université Laval) |
| Abstract: | This special issue contributes to the natural resource economics literature by shining a light on the specific challenges and opportunities faced by developing countries that have recently become dependent on natural resources or are particularly exposed to climate change. It is composed of five studies on countries from all regions of the developing world, involving a variety of natural resources and policy issues. Four of the five studies illustrate how computable general equilibrium models are particularly well-suited, despite their relatively limited past use, to the analysis of natural resources. All five studies are led by researchers based in these countries, providing unique insights into the specific local context. The studies underscore the extreme vulnerability that the introduction of significant natural resource revenues and climate change can create in developing countries. They also show how the choice of appropriate policies to avoid the resource curse varies according to country-specific economic conditions. |
| Keywords: | resource curse,Developing countries,economic growth,natural resources |
| Date: | 2018–10 |
| URL: | http://d.repec.org/n?u=RePEc:hal:journl:hal-02313304&r=all |
| By: | May, Nils G.; Neuhoff, Karsten; Richstein, Jörn |
| Date: | 2019 |
| URL: | http://d.repec.org/n?u=RePEc:zbw:esrepo:204599&r=all |
| By: | Serhiy Kandul; Bruno Lanz; Ghislaine Lang |
| Abstract: | This field experiment quantifies the impact of social norm information on the demand for indoor temperature. Based on high-frequency data from indoor temperature monitors, we provide participating households with a comparison of average temperature in their apartments relative to that measured in a control group. For more than 90 percent of participants, financial benefits of energy savings are only indirect, as building-level heating costs are shared across apartments in proportion to their volume. Despite the associated collective action problem, we estimate that the intervention induces a -0.28 °C reduction in average indoor temperature. This suggests that direct monetary incentives is not a pre-requisite for social comparison feedback to induce energy savings. |
| Keywords: | Informational intervention; Monetary incentives; Energy savings; Social comparison feedback; Social norms. |
| JEL: | C91 D12 D62 D91 H41 Q41 |
| Date: | 2019–10 |
| URL: | http://d.repec.org/n?u=RePEc:irn:wpaper:19-06&r=all |
| By: | Manuel Moreno (Department of Economic Analysis and Finance, University of Castilla-La Mancha, Toledo, Spain.); Alfonso Novales (Instituto Complutense de Análisis Económico (ICAE), and Department of Economic Analysis, Facultad de Ciencias Económicas y Empresariales, Universidad Complutense, 28223 Madrid, Spain.); Federico Platania (Léonard de Vinci Pôle Universitaire, Paris La Défense, France.) |
| Abstract: | This paper introduces a two-factor continuous-time model for commodity pricing under the assump- tion that prices revert to a stochastic mean level, which shows smooth, periodic fluctuations over long periods of time. We represent the mean reversion price by a Fourier series with a stochastic component. We also consider a seasonal component in the price level, an essential characteristic of many commodity prices, which we represent again by a Fourier series. We obtain analytical pricing expressions for futures contracts. Using futures price data on Natural Gas, we provide evidence on the presence of long-term fluctuations and show how to estimate the long-term component si- multaneously with a seasonal component using the Kalman filter. We analyse the in-sample and out-of-sample empirical performance of our pricing model with and without a seasonal component and compare it with the Schwartz and Smith (2000) model. Our findings show the in-sample and out-of-sample superiority of our model with seasonal fluctuations, thereby providing a simple and powerful tool for portfolio management, risk management, and derivative pricing. |
| Keywords: | Finance; Energy Markets; Seasonality; Long-term swings; Kalman filter. |
| Date: | 2019–09 |
| URL: | http://d.repec.org/n?u=RePEc:ucm:doicae:1929&r=all |
| By: | Jacques Fontanel (CESICE - Centre d'études sur la sécurité internationale et les coopérations européennes - UPMF - Université Pierre Mendès France - Grenoble 2 - UGA - Université Grenoble Alpes) |
| Abstract: | After being the heart of the civilization of humanity, the Mediterranean sinks into wars, economic crises, illegal immigration. It has lost its economic bearings in the process of economic globalization that has been inviting since the collapse of the Soviet Union. The analysis of its political and religious heritage, the heterogeneity of the economic development of its residents, the extent of the militarization of this "hot" sea, the evolutionary strategies of the great powers, the appearance of new rarities and at the same time the discovery of new energy resources are as many questions about the stability of states face new risks likely to create interstate conflicts. |
| Abstract: | Après avoir été le cœur de la civilisation de l'humanité, la Méditerranée s'enfonce dans les guerres, les crises économiques, les migrations incontrôlées. Elle a perdu ses repères économiques dans le processus de la globalisation économique qui s'est invitée depuis l'effondrement de l'Union soviétique. L'analyse de son héritage politique et religieux, l'hétérogénéité du développement économique de ses riverains, l'étendue de la militarisation de cette mer « chaude », les stratégies évolutives des grandes puissances, l'apparition de nouvelles raretés et en même temps la découverte de nouvelles ressources énergétique sont autant d'interrogations sur la stabilité des Etats face à de nouveaux risques susceptibles de créer des conflits interétatiques. |
| Keywords: | humanitarian policy,war,religion,conflicts,oil,water scarcity,illegal immigration,European Union,Mediterranean,economic crisis,geopolitics,environment,géopolitique,environnement,crise économique,Méditerranée,politique humanitaire,guerre,conflits,pétrole,eau,immigration,Union européenne,Mots : Méditerranée |
| Date: | 2019–09 |
| URL: | http://d.repec.org/n?u=RePEc:hal:journl:hal-02305889&r=all |
| By: | Ha-Hyun Jo (Yonsei Univ); Hyung-Woo Lim (Yonsei Univ); Hae-Dong Kim (Yonsei Univ) |
| Abstract: | In this study, we measure the energy poverty rate and the severity of energy poverty through various indicators. Energy voucher line, poverty line, TPR, MIS and MEPI are used for measuring the poverty rate and severity in Korea. There are few empirical comparative analysis in a real case about energy poverty. To overcome the limitation of TPR, the required energy consumption is estimated by quantile regression. Finally, we measure the severity of energy poverty classification, which is defined as a rate of nesting in the indicators. The main conclusion of this paper involves the next steps to reach an appropriate target of energy policies. |
| Keywords: | Energy poverty rate, severity of energy poverty, MEPI, required energy consumption |
| Date: | 2019–10 |
| URL: | http://d.repec.org/n?u=RePEc:yon:wpaper:2019rwp-150&r=all |
| By: | Raouf Boucekkine (Aix-Marseille Univ, CNRS, EHESS, Ecole Centrale, IMERA & AMSE, Marseille, France); Giorgio Fabbri (Univ. Grenoble Alpes, CNRS, INRA, Grenoble INP, GAEL, 38000 Grenoble); Salvatore Federico (Universita degli Studi di Siena, Dipartimento di Economia Politica e Statistica, Siena, Italy); Fausto Gozzi (Dipartimento di Economia e Finanza, LUISS Guido Carli, Rome, Italy) |
| Abstract: | We construct a spatiotemporal frame for the study of optimal growth under transboundary pollution. Space is continuous and polluting emissions originate in the intensity of use of the production input. Pollution flows across locations following a diffusion process. The objective functional of the economy is to set the optimal production policy over time and space to maximize welfare from consumption, taking into account a negative local pollution externality and the diffusive nature of pollution. Our framework allows for space and time dependent preferences and productivity, and does not restrict diffusion speed to be space-independent. This provides a comprehensive setting to analyze pollution diffusion with a close account of geographic heterogeneity. The involved optimization problem is infinite-dimensional. We propose an alternative method for an analytical characterization of the optimal paths and the asymptotic spatial distributions. The method builds on a deep economic concept of pollution spatiotemporal welfare effect, which makes it definitely useful for economic analysis. |
| Keywords: | optimal growth, spatiotemporal modelling, transboundary pollution, infinite dimensional optimal control |
| JEL: | Q53 R11 C61 R12 O41 |
| Date: | 2019–10 |
| URL: | http://d.repec.org/n?u=RePEc:aim:wpaimx:1926&r=all |
| By: | Mashekwa Maboshe; Akabondo Kabechani; Grieve Chelwa |
| Abstract: | This paper simulates the real household expenditure effects of electricity price increases in Zambia. First, we find that electricity subsidies are highly regressive. Second, our partial equilibrium model simulations of the welfare effects of electricity tariff rises show that poorer households suffer larger percentage losses in real expenditures compared to wealthier households. Naturally, this leads to increases in poverty. We find that removing electricity subsidies and transferring the realised fiscal savings to social cash transfers reduces extreme poverty significantly. This budget-neutral strategy is particularly attractive for Zambia, and other sub-Saharan economies currently facing the challenges of constrained growth, high budget deficits and high poverty rates simultaneously. |
| Keywords: | electricity prices, subsidies, distributions, poverty, social transfers, Zambia |
| JEL: | H22 D30 I3 C6 |
| Date: | 2018–09 |
| URL: | http://d.repec.org/n?u=RePEc:rza:wpaper:767&r=all |
| By: | Serena Fatica (European Commission – Joint Research Centre, Directorate for Innovation and Growth, Economy and Finance Unit); Roberto Panzica (European Commission – Joint Research Centre, Directorate for Innovation and Growth, Economy and Finance Unit); Michela Rancan (European Commission – Joint Research Centre, Directorate for Innovation and Growth, Economy and Finance Unit) |
| Abstract: | The financial system plays a major role in the transition to a low-carbon economy. We investigate this issue analyzing the recent developments and challenges in the bond and debt markets. First, we study the pricing of green bonds at issuance. We find a premium when green bonds are issued by supranational institutions and corporates while there is no effect for financial institutions. We also document an effect for external review and repeated access to this market. Second, we investigate lending decisions by banks issuing green bonds. Our results show that these lenders reduce their funding towards more polluting segments of the economy but limited to the amount of loans they granted as lead bank in the deal. This evidence may explain why we do not find a green premium for financial issuers. Yet it also suggests that the banking system may play a much larger role in channelling funds towards low-carbon activities, and thus reducing the environmental risks also for the financial system. |
| JEL: | G12 G20 Q52 Q53 Q54 |
| Date: | 2019–10 |
| URL: | http://d.repec.org/n?u=RePEc:anc:wmofir:157&r=all |
| By: | Akimitsu Yagata (Aoyama Gakuin Univiersity); Kaoru Kuramoto (Aoyama Gakuin Univiersity); Yosuke Kurihara (Aoyama Gakuin Univiersity); Toshiyuki Matsumoto (Aoyama Gakuin Univiersity); Satoshi Kumagai (Aoyama Gakuin Univiersity) |
| Abstract: | Socially responsible investment (SRI) involves investors selecting companies based on their level of social responsibility. An eco-fund is an SRI-type investment trust that invests in environment-friendly companies, also known as ?eco-excellent? companies. In many cases, the process of choosing the companies to be included in the trust is not transparent and, due to subjective decisions by fund managers, it is not clear how the investment rate is determined.In this study, we propose four eco-funds and evaluate their performance. Since the risk of the eco-fund should be distributed, the investment rate will be determined so that the percentage of the top brands is low. The portfolio should consist of brands with high efficiency in environmental investment.First, we evaluate a company?s environmental management capability and profitability using quantitative data such as the amount of sales, greenhouse gas emissions, and ROE (return on equity). We then determine a set of brands for the eco-funds to invest in. To determine the investment rate for each stock or portfolio, an environmental minimum variance frontier is calculated.The proposed eco-funds are (1) EEC fund, (2) Beta fund, (3) Expanded beta fund, and (4) Environmental index fund. (1) The EEC fund invests in brands that perform well both in terms of environmental management based on carbon productivity and profitability based on ROE. (2) The Beta fund invests in brands that perform well both in environmental management based on carbon productivity beta values and earnings efficiency based on ROE. (3) The Expanded beta fund invests in brands that perform well only in environmental management based on carbon productivity beta values; it includes more brands than the Beta fund. (4) The Environmental index fund invests in all the brands considered and is a benchmark to measure the performance of the other eco-funds. |
| Keywords: | Eco-funds, Carbon Productivity, Environmental Investment, Portfolio |
| JEL: | Q59 Q56 M00 |
| Date: | 2019–10 |
| URL: | http://d.repec.org/n?u=RePEc:sek:iacpro:9811732&r=all |
| By: | Julio-Román, Juan Manuel; Gamboa-Estrada, Fredy Alejandro |
| Abstract: | We study the relationship between daily oil prices and nominal exchange rates between 1995 and 2019 in Colombia through a Time-Varying Vector Auto-Regressions with residual Stochastic Volatility, TV-VAR-SV, model. For this task we also employ co-integration, Univariate Auto-Regressions with residual Stochastic Volatility, UAR-SVTV, and De-trended Cross Correlation, DCC analyses. We found that a stable lon-grun relationship between the two processes is lacking. We also found significant time variation in residual volatility and co-volatility. More specifically, we found that both periods of time, the international financial crisis and the oil price drop of 2015, behave conspicuously different from other “more normal” times. These results are consistent with a shift in the features of the DCC at the start of the crisis. Before the crises the DCCs are positive but weak for different windows sizes, turning negative and significant after it. The latter DCCs and their significance increase with the window size. These results are concurrent, also, with two clearly differentiated periods of time; one when oil production was not financially feasible, and thus production, exports and oil related currency inflows were small, and the other when oil production became feasible because of the price increase, which led to a boom in exploration, production, exports and oil related currency inflows. |
| Keywords: | Nominal Exchange Rate; Oil prices; Small Open Economy; Co-Volatility |
| JEL: | C22 C51 F31 F41 G15 |
| Date: | 2019–10 |
| URL: | http://d.repec.org/n?u=RePEc:rie:riecdt:22&r=all |
| By: | Diana Paola Moreno Alarcon (CRC - Centre de recherche sur les Risques et les Crises - PSL - PSL Research University - MINES ParisTech - École nationale supérieure des mines de Paris); Jean François Vautier (CEA - Commissariat à l'énergie atomique et aux énergies alternatives); Guillaume Hernandez (CEA - Commissariat à l'énergie atomique et aux énergies alternatives); Franck Guarnieri (CRC - Centre de recherche sur les Risques et les Crises - PSL - PSL Research University - MINES ParisTech - École nationale supérieure des mines de Paris) |
| Abstract: | The French Atomic Energy and Alternative Energies Commission (CEA) employ preventive and detective controls, fundamental elements of risk management in the nuclear facilities of the French nuclear sector. Using an ago-antagonistic systems (AAS) approach, CEA managers balance two ago-antagonistic (AA) forces (preventive and detective controls) that together make an AA couple, to mitigate subcontracting risks. The systemic vision of AAS, underpinned by systems thinking, enables managers to consider the collective impact of adjusting either a single force or both forces, particularly as action(s) on the couple may rebalance the overall system. This paper illustrates how preventive and detective controls meet Bernard-Weil's eight principal characteristics of AAS. The temporal aspect of preventive and detective controls, at the nucleus of the AA model, and their time-sensitive role in averting and detecting an event are also discussed. Examples are provided of how CEA managers mitigate risk through AA couples by pursuing forces and considering them collectively in terms of "both /and" rather than separately in terms of "either/or". |
| Keywords: | Systems Thinking,Ago-antagonistic Systems (AAS),Management Controls,Subcontracting,Nuclear Sector,Defence in Depth,Temporal aspects,Detective Controls,Preventive Controls,Risk Management |
| Date: | 2019–09–22 |
| URL: | http://d.repec.org/n?u=RePEc:hal:journl:hal-02308657&r=all |