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on Energy Economics |
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Issue of 2009‒11‒27
sixteen papers chosen by Roger Fouquet Basque Climate Change Centre, Bilbao, Spain |
| By: | Janczura, Joanna; Weron, Rafal |
| Abstract: | We calibrate Markov regime-switching (MRS) models to mean daily spot prices from the EEX market. Our empirical study shows that (i) models with shifted spike regime distributions lead to more realistic models of electricity spot prices and that (ii) introducing heteroskedasticity in the base regime leads to better spike identification and goodness-of-fit than in MRS models with the standard mean-reverting, constant volatility dynamics. |
| Keywords: | regime-switching; heteroskedasticity; electricity spot price |
| JEL: | C51 L94 C22 |
| Date: | 2009–04 |
| URL: | http://d.repec.org/n?u=RePEc:pra:mprapa:18784&r=ene |
| By: | Chen , Guifu; Hamori, Shigeyuki |
| Abstract: | This paper uses the CCF approach to analyze and determine whether there is a causal relationship between the world energy price index and China’s international competitiveness. The data on the volatility of energy prices can provide information in addition to that available in the price data alone. Our analysis suggests that the volatility of energy prices has significant implications concerning information linkages between the energy market and China’s international competitiveness. |
| Keywords: | energy prices; international competitiveness; CCF approach; Chinese economy |
| JEL: | Q43 |
| Date: | 2009–11 |
| URL: | http://d.repec.org/n?u=RePEc:pra:mprapa:18827&r=ene |
| By: | Valadkhani, Abbas (University of Wollongong) |
| Abstract: | This paper examines the long-run and short-run determinants of unleaded petrol prices in Australia’s capital cities using monthly data to test whether prices respond asymmetrically to external shocks. In the long-run petrol prices are mainly determined by the Tapis crude oil and Singapore petrol prices. There is some evidence of asymmetric price adjustments in the short-run since petrol price increases have been mostly passed on to the consumer faster than price decreases in four capital cities. One can thus argue that there are a significant degree of market inefficiency and/or collusion, requiring closer government price monitoring and scrutiny. |
| Keywords: | Petrol prices; Asymmetric effects; Australia. |
| JEL: | C22 E31 L11 |
| Date: | 2009 |
| URL: | http://d.repec.org/n?u=RePEc:uow:depec1:wp09-08&r=ene |
| By: | Kapsalyamova, Zhanna |
| Abstract: | Interesting stylized models that discuss the implications of the oil boom or oil export price increase on an oil-rich economy must involve a tension between effects that tend to boost oil sector and harm non-oil sector and effects that vice versa tend to boost non-oil sector and harm oil sector. This paper explores such models and examines at large the implications of the oil export price increase through the prism of interaction between these two effects. This paper applies the 1-2-3-model of Devarajan et al. (1990) and develops two stylized models that examine the effects of the world price increase and oil export price increase on the economy respectively. A central feature of the developed stylized models is that they can distinguish between the two effects generated by the oil export price increase, namely the balance-of-trade effect and the import-competing effect. The balance-of-trade effect shows the response of the economy to the oil export price increase, depending on whether the economy runs a trade surplus or a trade deficit in the benchmark equilibrium, with the import-competing effect set equal to one. It shows conditions that cause changes in the producers’ real costs and hence determines which sector grows and which sector shrinks in the wake of the oil export price increase. The import-competing effect, under the assumption that trade is balanced, shows the effect of the variation in the Armington elasticity of substitution between oil goods in the second model and non-oil goods in the third model. It shows how competition between imported and import-competing goods affects producers’ real costs and hence determines which sector grows and which sector shrinks in the wake of the oil export price increase. |
| Keywords: | oil export price increase; Armington elasticity of substitution; balance-of-trade effect; import-competing effect |
| JEL: | O13 Q33 |
| Date: | 2009–11–10 |
| URL: | http://d.repec.org/n?u=RePEc:pra:mprapa:18800&r=ene |
| By: | Aliyu, Shehu Usman Rano |
| Abstract: | Nowadays, the impact of oil price shocks is pervasive as it virtually affects all facets of human endeavor. As such, it is pertinent that we should know the relationship between oil price shocks and the macroeconomy. Therefore, this paper assesses empirically, the effects of oil price shocks on the real macroeconomic activity in Nigeria. Granger causality tests and multivariate VAR analysis were carried out using both linear and non-linear specifications. Inter alia, the latter category includes two approaches employed in the literature, namely, the asymmetric and net specifications oil price specifications. The paper finds evidence of both linear and non-linear impact of oil price shocks on real GDP. In particular, asymmetric oil price increases in the non-linear models are found to have positive impact on real GDP growth of a larger magnitude than asymmetric oil price decreases adversely affects real GDP. The non-linear estimation records significant improvement over the linear estimation and the one reported earlier by Aliyu (2009). Further, utilizing the Wald and the Granger multivariate and bivariate causality tests, results from the latter indicate that linear price change and all the other oil price transformations are significant for the system as a whole. The Wald test indicates that our oil price coefficients in linear and asymmetric specifications are statistically significant. |
| Keywords: | Oil Shocks; Macroeconomy; Granger Causality; Asymmetry; Vector Autoregressive |
| JEL: | E37 Q43 |
| Date: | 2009–11–09 |
| URL: | http://d.repec.org/n?u=RePEc:pra:mprapa:18726&r=ene |
| By: | Kilian, Lutz |
| Abstract: | Sign restrictions on the responses generated by structural vector autoregressive models have been proposed as an alternative approach to the use of exclusion restrictions on the impact multiplier matrix. In recent years such models have been increasingly used to identify demand and supply shocks in the market for crude oil. We demonstrate that sign restrictions alone are insufficient to infer the responses of the real price of oil to such shocks. Moreover, the conventional assumption that all admissible models are equally likely is routinely violated in oil market models, calling into question the use of median responses to characterize the responses to structural shocks. When combining sign restrictions with additional empirically plausible bounds on the magnitude of the short-run oil supply elasticity and on the impact response of real activity, however, it is possible to reduce the set of admissible model solutions to a small number of qualitatively similar estimates. The resulting model estimates are broadly consistent with earlier results regarding the relative importance of demand and supply shocks for the real price of oil based on structural VAR models identified by exclusion restrictions, but imply very different dynamics from the median responses in VAR models based on sign restrictions only. |
| Keywords: | Demand shocks; Identification; Median response; Oil market; Sign restriction; Supply shocks; Vector autoregression |
| JEL: | C68 E31 E32 Q43 |
| Date: | 2009–09 |
| URL: | http://d.repec.org/n?u=RePEc:cpr:ceprdp:7471&r=ene |
| By: | Tamim Bayoumi; Alun H. Thomas |
| Abstract: | This paper applies the Permanent Income Model to the non-oil current accounts of the major oil exporters to assess the extent to which national consumption decisions in these countries are made on the basis of permanent versus current income. A test of whether the return on oil wealth and oil balance coefficients sum to unity is accepted for all specifications that adjust the return on wealth for future population changes. For oil-exporting countries outside Africa, around half of the fluctuations in the private sector non-oil balance are driven by considerations of changes in permanent income (the return on oil wealth) rather than current income. By contrast, for the public sector and African countries permanent income has little or no effect. |
| Keywords: | Africa , Consumption , Current account balances , Economic models , National income , Nonoil sector , Oil exporting countries , Oil prices , Oil revenues , Private sector , Public sector , |
| Date: | 2009–09–11 |
| URL: | http://d.repec.org/n?u=RePEc:imf:imfwpa:09/248&r=ene |
| By: | Miravete, Eugenio J; Moral Rincón, Maria J |
| Abstract: | We document how automobile scrappage incentives similar to the ‘2009 Car Allowance Rebate System’ (cars) may influence drivers’ tastes in favor of fuel-efficient automobiles. Between 1994 and 2000 the market share of diesel automobiles doubled after Spanish government sponsored two scrappage programs. We show that demand for diesel automobiles was not driven only by better mileage; that gasoline and diesel models became closer substitutes over time; and that automobile manufacturers reduced their markups on gasoline automobiles as their demand decreased. These programs simply accelerated a change of preference that was already on its way when they were implemented. |
| Keywords: | Diesel Technology; Diffusion of New Durable Goods; Fuel Efficiency; Scrappage Programs |
| JEL: | L51 L62 Q28 |
| Date: | 2009–10 |
| URL: | http://d.repec.org/n?u=RePEc:cpr:ceprdp:7517&r=ene |
| By: | Freni, Giuseppe |
| Abstract: | This paper characterizes the optimal time paths of extraction of several nonrenewable resource deposits with different costs of extraction when the extracted resource can be converted into productive capital and the extraction process, as well as the production of the substitute, requires two primary factors of production. Under a technological assumption granting that the time paths of primary factor prices are monotonic, we show that, for each pair (lower cost/higher cost) of deposits, an intensity condition is necessary in order to have discontinuous extraction of the lower cost deposit. We also show that the same condition is sufficient for discontinuous extraction of the lower cost deposit, provided the stock of the lower cost deposit is sufficiently large and the stocks of all other deposits are sufficiently small. |
| Keywords: | Exhaustible resources; Optimal control; Order of extraction |
| JEL: | Q32 Q3 C61 |
| Date: | 2009–11–20 |
| URL: | http://d.repec.org/n?u=RePEc:pra:mprapa:18790&r=ene |
| By: | Ellison, Martin; Scott, Andrew |
| Abstract: | We introduce learning into a Hotelling model of a non-renewable resource market. By combining learning and scarcity we add significantly to the dynamics implied by learning and substantially enhance the volatility of commodity prices. In our learning model we show how a self confirming equilibrium exists but is not constant over time. As scarcity increases the SCE shifts from a non-cooperative rational expectations equilibrium to a cooperative rational expectations outcome. As a result prices trend at a rate faster than the rate of time preference. We show the existence of escape dynamics which generate substantial volatility in commodity prices despite the fact the model is subject only to i.i.d shocks. The shifting SCE significantly alters escape dynamics with the time to escape shortening and the magnitude of dynamics reducing as scarcity rises. In terms of the Hotelling model, a shifting SCE and variable escape dynamics introduces greater volatility at low frequencies and substantially larger cyclical volatility. These price fluctuations show sharp upward breaks in price and non-linear, non-stationary and asymmetric price fluctuations. We show these results are robust to a range of extensions, including extractions costs, stochastic shifts in demand and learning assumptions closer to rational expectations. |
| Keywords: | Commodity Prices; Escape Dynamics; Hotelling; Learning; Scarcity; Self Confirming Equilibria |
| JEL: | D43 D83 Q31 |
| Date: | 2009–07 |
| URL: | http://d.repec.org/n?u=RePEc:cpr:ceprdp:7378&r=ene |
| By: | Carlos A. Flores (Department of Economics, University of Miami); Alfonso Flores-Lagunes (Food and Resource Economics Department, University of Florida and IZA, Bonn, Germany); Dimitrios Kapetanakis (Food and Resource Economics Department, Universty of Florida) |
| Abstract: | The environmental Kuznets curve (EKC) hypothesizes that the income-pollution rela- tionship has an inverted U shape: pollution increases with income up to a turning point beyond which it decreases. The empirical literature has concentrated on estimation of this relationship at the mean employing longitudinal data, with the typical ?nding supporting the inverted U shape. Conditional mean estimation, however, can mask heterogeneities present at higher and/or lower quantiles of the emissions?distribution, in addition to being more sensitive to the presence of outliers. We apply methods for conditional-quantile panel ?xed e¤ects models to the estimation of the income-pollution relationship on U.S. state-level data on NOx (nitrogen oxide) and SO2 (sulfur dioxide) pollutants over the period 1929- 1994. Our results indicate that conditional mean methods provide too optimistic estimates about emissions reduction of NOx, as conditional-quantile methods suggest that the turning point of the relationship occurs at higher values of income; while the opposite is found for SO2. Another important lesson drawn is that the income-pollution relationship is sensitive to the presence of outliers in the data. |
| Keywords: | Environmental Kuznets Curve, Panel Quantile Estimation, Income and the Environment |
| JEL: | Q56 C21 C23 |
| Date: | 2009–08 |
| URL: | http://d.repec.org/n?u=RePEc:mia:wpaper:2010-4&r=ene |
| By: | Richard S.J. Tol (Economic and Social Research Institute) |
| Abstract: | I define the rate of inequity aversion, distinguishing between the pure rate and the consumption rate. I measure the rate of aversion to inequality in consumption as expressed in the development aid given by rich countries to poor ones between 1965 and 2005. There is an ambiguous relationship between the pure rate of inequity aversion and the consumption rate, driven by the rate of risk aversion. However, for a reasonable choice of the rate of risk aversion, rich countries are shown to be inequity averse, and increasingly so over time. The social cost of carbon is very sensitive to equity weighting and assumptions about the rate of risk and inequity aversion. Estimates for the consumption rate of inequity aversion for recent data suggest that the equity-weighted social cost of carbon is less than 50% larger than the unweighted estimate. |
| Keywords: | Inequity aversion, risk aversion, income distribution, development aid, climate change, social cost of carbon |
| JEL: | D31 D63 Q54 |
| Date: | 2009–11 |
| URL: | http://d.repec.org/n?u=RePEc:sgc:wpaper:178&r=ene |
| By: | Bosetti, Valentina; Carraro, Carlo; Tavoni, Massimo |
| Abstract: | This paper builds on the assumption that OECD countries are (or will soon be) taking actions to reduce their greenhouse gas emissions. These actions, however, will not be sufficient to control global warming, unless developing countries also get involved in the cooperative effort to reduce GHG emissions. This paper investigates the best short-term strategies that emerging economies can adopt in reacting to OECD countries’ mitigation effort, given the common long-term goal to prevent excessive warming without hampering economic growth. Results indicate that developing countries would incur substantial economic losses by following a myopic strategy that disregards climate in the short-run, and that their optimal investment behaviour is to anticipate the implementation of a climate policy by roughly 10 years. Investing in innovation ahead of time is also found to be advantageous. The degree of policy anticipation is shown to be important in determining the financial transfers of an international carbon market meant to provide incentives for the participation of developing countries. This is especially relevant for China, whose recent and foreseeable trends of investments in innovation are consistent with the adoption of domestic emission reduction obligations in 2030. |
| Keywords: | Climate Policy; Developing Countries; Energy-economy modeling |
| JEL: | Q43 Q54 Q55 |
| Date: | 2009–08 |
| URL: | http://d.repec.org/n?u=RePEc:cpr:ceprdp:7394&r=ene |
| By: | Francisco Álvarez (Universidad Complutense de Madrid, Dto. Ftos. Analisis Economico II) |
| Abstract: | Presentamos evidencia empírica sobre convergencia en magnitudes medioambientales para países desarrollados y en vías de desarrollo. Además, partiendo de un modelo standard "putty-clay" de uso de energía, introducimos un stock de contaminación sobre el que se fija un objetivo de reducción de emisiones. El análisis teórico ofrece indicaciones sobre qué variables deberían ser objeto de futuros acuerdos de reducción de emisiones entre países heterogéneos. |
| Keywords: | economía medioambiental, convergencia, reducción de emisiones, environment economy, convergence, emission reductions. |
| Date: | 2009 |
| URL: | http://d.repec.org/n?u=RePEc:ucm:wpaper:12-09&r=ene |
| By: | Britt Groosman; Nicholas Z. Muller; Erin O’Neill |
| Abstract: | This study investigates the benefits to human health that would occur in the United States (U.S.) due to reductions in local air pollutant emissions stemming from a federal policy to reduce greenhouse gas emissions (GHG). In order to measure the impacts of reduced emissions of local pollutants, this study considers a representative U.S. climate policy. Specifically, the climate policy modeled in this analysis is the Warner-Lieberman bill (S.2191) of 2008 and the paper considers the impacts of reduced emissions in the transport and electric power sectors. This analysis provides strong evidence that climate change policy in the U.S. will generate significant returns to society in excess of the benefits due to climate stabilization. The total health-related co-benefits associated with a representative climate policy over the years 2006 to 2030 range between $90 and $725 billion in present value terms depending on modeling assumptions. The majority of avoided damages are due to reduced emissions of SO2 from coal-fired power plants. Among the most important assumptions is whether remaining coal-fired generation capacity is permitted to “backslide” up to the Clean Air Interstate Rule (CAIR) cap on emissions. This analysis models two scenarios specifically related to this issue. Co-benefits increase from $90 billion, when the CAIR cap is met, to $256 billion if SO2 emissions are not permitted to exceed current emission rates. On a per ton basis, the co-benefit per ton of GHG emissions is projected to average between $2 and $14 ($2006). The per ton marginal abatement cost for the representative climate policy is estimated at $9 ($2006). |
| Date: | 2009 |
| URL: | http://d.repec.org/n?u=RePEc:mdl:mdlpap:0920&r=ene |
| By: | Fang, Du; Feng, Hongli; Otto, Daniel |
| Abstract: | The Waxman-Markey Bill (HR2454 American Clean Energy and Security Act of 2009) reflects the goal of the Obama administration to address climate change issues. The global nature of Green House Gas (GHG) emissions and the mitigation efforts imply a multi-lateral approach to the issue. This paper discusses the policy strategies currently being considered by two major participants in the GHG reduction debate, the U.S. and China. |
| JEL: | Q5 |
| Date: | 2009–11–20 |
| URL: | http://d.repec.org/n?u=RePEc:isu:genres:13129&r=ene |