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on Regulation |
| By: | Mireille Bossy; Nadia Maizi; Odile Pourtallier |
| Abstract: | In this paper, we analyze Nash equilibria between electricity producers selling their production on an electricity market and buying CO2 emission allowances on an auction carbon market. The producers' strategies integrate the coupling of the two markets via the cost functions of the electricity production. We set out a clear Nash equilibrium on the power market that can be used to compute equilibrium prices on both markets as well as the related electricity produced and CO2 emissions released. |
| Date: | 2014–08 |
| URL: | http://d.repec.org/n?u=RePEc:arx:papers:1408.6122&r=reg |
| By: | Crowley, Sara; FitzGerald, John; Malaguzzi Valeri, Laura |
| Date: | 2014–07 |
| URL: | http://d.repec.org/n?u=RePEc:esr:wpaper:wp486&r=reg |
| By: | Gorecki, Paul |
| Date: | 2014–06 |
| URL: | http://d.repec.org/n?u=RePEc:esr:wpaper:rb2014/2/5&r=reg |
| By: | Davide Antonioli (University of Ferrara, Italy.); Simone Borghesi (University of Siena, Italy.); Alessio D'Amato (Università di Roma Tor Vergata, Italy.); Marianna Gilli (University of Ferrara, Italy.); Massimiliano Mazzanti (University of Ferrara, Italy.); Francesco Nicolli (CERIS-CNR Milano, Italy.) |
| Abstract: | The paper investigates the effectiveness and efficiency of energy-environmental policy interactions in Italy, adopting a broad optimality perspective that includes policy feasibility and dynamic efficiency. The analysis highlights that though some complementarity among different policies exists, climate policies have been often undermined by energy and renewables policy. Nevertheless, some complementarities between policy landscapes are found, as in the case of the Kyoto Fund (climate policy) and of the incentives and funding towards thermal energy, both acting as a complementary tool to cover non EU-ETS sectors. Overall, renewables oriented policies bring about efficacy but this often occurs at the expenses of their efficiency, thus generating a trade-off between these two components of optimality. Finally, incentives remuneration of renewables and also Energy efficiency investments give a mixed signal to improve innovation and to stimulate the green sector. In conclusion, notwithstanding efficacy is present in some case, cost effectiveness and efficiency are far from being optimal, and It would be better to provide a clear and durable price signal using carbon taxation tools. |
| Date: | 2014–08 |
| URL: | http://d.repec.org/n?u=RePEc:srt:wpaper:2514&r=reg |
| By: | Sara Proença |
| Abstract: | Energy is a critical factor not only to economic growth and to achieve a less dependent and more competitive economy but also to promote sustainable growth towards to a highly energyefficient, low-carbon economy. Energy-economic-environment interactions therefore play a crucial role in driving the climate change mitigation and growth policies. The evidence of this is, in particular, the recent adoption by the European Union of an integrated climate and energy policy, by defining ambitious targets for 2020: i) cut its greenhouse gas emissions by 20% from 1990 levels (or even 30% in case an international agreement is reached that commits other countries in a similar way), ii) produce 20% of its energy supply from renewable energy sources, and iii) cut energy consumption through improved energy efficiency by 20% – is the so-called 20/20/20 targets under the EU Climate and Energy Package. In this paper we intend to assess the role of renewable energy sources in Portugal´s decarbonisation strategy up to 2020. This question is of practical relevance for national decision–making on climate and energy policies. In our policy simulations, we make use of the Hybrid Bottom-up General Equilibrium Model (HyBGEM) for Portugal – a hybrid multi-sector E3 general equilibrium model formulated as a mixed complementarity problem, which integrates bottom-up activity analysis into a top-down CGE framework through the detailed technological representation of the electricity sector. HyBGEM is numerically implemented as a system of simultaneous non-linear inequalities using MPSGE (Mathematical Programming System for General Equilibrium analysis) as a subsystem within GAMS (General Algebraic Modelling System), and solved by using the PATH solver. Preliminary results suggest that both the imposition of CO2 emissions constraints and the subsidization of renewable power generation technologies through a feed-in tariffs (FITs) system have a similar impact on overall national CO2 emissions. This is an interesting result because it indicates that the decrease of carbon emissions resulting from achieving the national RES-E target for 2020 also meets the national CO2 reduction target. The promotion of renewable electricity generation is therefore crucial in the decarbonisation strategy of the Portuguese economy |
| Keywords: | Portugal, Energy and environmental policy, General equilibrium modeling |
| Date: | 2013–06–21 |
| URL: | http://d.repec.org/n?u=RePEc:ekd:004912:5647&r=reg |
| By: | Lilian de Menezes; Melanie A. Houllier |
| Abstract: | The German Energiekonzept (Energy Concept) was proposed in 2010 with the goal of making the country one of the world’s most energy efficient and environmentally friendly economies (Bundesregierung, 2011). One year later, as a reaction to the multiple reactor meltdowns in Fukushima, this strategy was reinforced with a broad consensus within the German government to implement its Atomaustiegsgestz (Nuclear Phase-Out Act), by closing immediately eight nuclear power plants and then the remaining nine until 2022 (Bundesregierung, 2011). Subsequently, the Renewable Energy Source Act 2012 (RESA, 2012) aims to increase electricity generated from renewable sources to at least 35% by 2020 and to at least 80% by the year 2050. The RESA 2012 reaffirmed the basic principles of the feed-in tariff policy, which prioritizes renewable energy sources, the pledge to connect all renewable producers to the grid and the guarantee of a favourable unit price. This paper examines the potential impact of wind generated electricity produced in Germany on other European electricity markets, by employing MGARCH (multivariate generalized autoregressive conditional heteroscedasticity) models with constant and time-varying correlations for daily data. The interrelationship of electricity spot prices of APX-ENDEX (UK and Netherlands), Belpex (Belgium), EPEX (Germany and Switzerland), OMEL (Spain and Portugal), Nord Pool (Finland, Denmark and Norway) and Powernext (France) with wind penetration induced by the German system is studied from November 2009 to October 2012, thus covering the period before and after the closures of eight nuclear power plants. Literature Studies, such as Gross et al. (2006), Holttinen at al. (2009) and Smith et al. (2007) have highlighted the challenges associated with increased penetration levels of renewable energy sources as planned by the German government. There is, for example, a significant risk that a system with high wind power capacity will suffer electricity shortages and even blackouts. Other studies have shown that electricity spot market prices decrease to varying extents with the in-feed of wind generated electricity (see for example: Bode and Groscurt, 2006; Gil et al., 2012; Jacobsen and Zvingilaite, 2010; Neubarth et al. ,2006; Saenz de Miera et al., 2008; Sensfuß et al ,2008). The reduction of electricity spot prices is attributed to the cheaper wind generated electricity displacing offers from generators whose technologies have higher marginal costs (Sensfuß et al., 2008; Woo et al., 2011). Nevertheless, this positive effect may come at the cost of an overall increase in spot price volatility, due to the combined effect of non-storability of electricity and the high volatility of wind power (Woo et al., 2011; Milstein and Tishler, 2011; Green and Vasilakos, 2010). Despite integrated electricity markets being a promising instrument when managing intermittent sources of energy, the few studies that assess the volatility interrelationships among electricity markets have largely neglected the potential impact of renewables. Indeed, Bosco et al. (2007) remark that ‘[...] post-reform European price series have generally been studied in isolation and the issue of the interdependency in the price dynamics of neighbouring markets has largely been ignored.’ (p. 2). To date, a small body of literature applied a multivariate framework to electricity price volatilities (Worthington et al. (2005), Higgs (2009), Le Pen and Sévi (2010), Veka et al. (2012)). In this context, the present study aims to assess the potential effects of Germany´s energy transition on level and volatility of electricity spot prices in Germany and in other European countries. Germany serves as a statuary example, because of its increasing reliance on and investments in wind generated electricity as well as the size and importance of the German electricity market in Europe. Constant Conditional Correlation Bollerslev (1990) proposed a Constant Conditional Correlation MGARCH model (CCC), which has been preferred in empirical research over the BEKK specification because of its computational simplicity. This model is based on the decomposition of the conditional covariance matrix into conditional standard deviations and correlations. The conditional correlation matrix is time invariant and the conditional covariance matrix can be written for each time, t, as follows: H_t=D_t ΓD_t=ρ_ij (h_iit h_jjt )^(1/2) (1) Where 1≤i≤j≤K,t=1,…,N; K is the number of variables in the model and N is the number of observations in the estimation period; D_t=diag(h_11t^(1/2)…h_KKt^(1/2)), (2) Γ=ρ_ij (3) h_iit is the conditional variance of a univariate GARCH model and Γ is the symmetric positive definite constant conditional correlation matrix, with ρ_ii=1 ,∀i. Dynamic Conditional Correlation Although the CCC model overcomes the shortcomings of the BEKK and VEC models, the assumption of constant correlations may be too restrictive (Minović, 2009). Tse and Tsui (2002) and Engle (2002) therefore extended the CCC models to dynamic conditional correlation models (DCC), by including a time dependent conditional correlation matrix (Γ_t) and thus the conditional covariance matrix becomes: H_t=D_t Γ_t D_t (4) Where D_(t ) and h_iit are as defined in equation (2). Following, Tse and Tsui (2002) the conditional correlation matrix is given by: Γ_t=(1-θ_1-θ_2 )Γ+θ_2 Γ_(t-1)+θ_1 Ψ_(t-1) , (5) where 1≤i≤j≤K and θ_1 and θ_2 are non-negative constants such thatθ_1+θ_2<1 and. Γ, is the KxK symmetric positive definite constant parameter matrix with ρ_ii=1 for all i. Ψ_(t-1) is a function of the lagged standardized residuals ξ_it, and its ijth element can be denoted as: Ψ_(t-1,ji)=(∑_(m=1)^M▒ξ_(i,t-m) ξ_(j,t-m))/√((∑_(m=1)^M▒ξ_(i,t-m)^2 )(∑_(m=1)^M▒〖ξ_(j,t-m)^2)〗) where ξ_it=e_it/h_iit^(1/2) ` (6) Engle (2002) proposed the following alternative formulation: Γ_t=diag (q_11t^(-1/2)…q_KKt^(-1/2) )((1-θ_1-θ_2 ) Q ̅+θ_1 ξ_(t-1) ξ_(t-1)^'+θ_2 Q_(t-1) )diag(q_11t^(-1/2)…q_KKt^(-1/2) ), (7) where Q ̅ is the KxK unconditional correlation matrix of ξ_t, and θ_1 and θ_2 are non-negative parameters satisfying θ_1+θ_2<1 (Higgs 2009). The results of the MGARCH models indicate positive cross-market and lagged spillovers, as well as significant reduction in electricity spot prices with increasing wind penetration. Positive time-varying correlations between spot market volatilities are found for markets with substantial shared interconnector capacity, and wind penetration volatility is negatively associated with electricity spot price fluctuations. All in all, this study provides evidence that decisions made by one state in the European Union regarding its electricity sector can impact on neighbouring electricity markets. |
| Keywords: | Germany, Energy and environmental policy, Sectoral issues |
| Date: | 2013–06–21 |
| URL: | http://d.repec.org/n?u=RePEc:ekd:004912:5395&r=reg |
| By: | Walsh, Darragh; Malaguzzi Valeri, Laura |
| Date: | 2014–07 |
| URL: | http://d.repec.org/n?u=RePEc:esr:wpaper:wp488&r=reg |
| By: | Koch, Christoffer (Federal Reserve Bank of Dallas) |
| Abstract: | Shocks emanating from and propagating through the banking system have recently gained interest in the macroeconomics literature, yet they are not a feature unique to the 2008/09 financial crisis. Banking disintermediation shocks occured frequently during the Great Inflation era due to fixed deposit rate ceilings. I estimate the effect of deposit rate ceilings inscribed in Regulation Q on the transmission of federal funds rate changes to bank level credit growth using a historic bank level data set spanning half a century from 1959 to 2013 with about two million observations. Measures of the degree of bindingness of Regulation Q suggest that individual banks’ lending growth was smaller the more binding the legally fixed rate ceiling. Interaction terms with monetary policy suggest that the policy impact on bank level credit growth was non-linear at the ceiling “kink” and significantly larger when rate ceilings were in place. At the bank level, short-term interest rates exceeding the legally fixed deposit rate ceilings identify bank loan supply shifts that disappeared with deposit rate deregulation and thus weakened the credit channel of monetary transmission since the early 1980s. |
| Keywords: | Monetary Transmission; Lending Channel; Regulation Q; Deregulation; Great Moderation |
| JEL: | E51 E52 E58 G18 G21 |
| Date: | 2014–07–14 |
| URL: | http://d.repec.org/n?u=RePEc:fip:feddwp:1406&r=reg |
| By: | Deolinda APARÍCIO MEIRA (Law Department of the Polytechnic Institute of Oporto/ISCAP/CECEJ, CIRIEC-Portugal, Portugal) |
| Abstract: | This study is a reflection on the Portuguese Framework Law on Social Economy, highlighting, from a critical point-of-view, its contribution to the explicit institutional and legal recognition of the social economy sector. It does so by defining the concept of social economy and listing the entities engaged in this sector, by defining its guiding principles and the mechanisms for its promotion and encouragement, and also by describing the creation of a tax and competition regime which will take into account its specificities. The setting up of this foundation of the social economy was based on the constitutional principle of protection of the social and co-operative sector, which substantiates the adoption of differentiating solutions in view of the positive discrimination of this sector. |
| Keywords: | social economy, framework law, guiding principles, social economy entities, legal regulation |
| JEL: | K29 K40 |
| Date: | 2014–12 |
| URL: | http://d.repec.org/n?u=RePEc:crc:wpaper:1412&r=reg |
| By: | Cebula, Richard; Clark, Jeff |
| Abstract: | Using panel data for OECD nations for the period 2003-2009, the fixed-effects estimations in this study all provide strong support for the three central hypotheses considered here, namely: (1) the standard of living in a nation, measured in this study as the level of purchasing-power-parity adjusted per capita real GDP in the nation, depends directly upon the overall economic freedom index, presumably at least in part due to the ability of increased economic freedom to elevate the level of economic activity through incentives to work, invest, save, hire/dismiss, make market-based business decisions, and take risk and engage in risk-reward economic behaviors in a market-based economy; (2) the living standard depends directly on the index of regulatory quality, because high quality regulation interferes less with the efficient functioning of firms’ decision-making processes in a market-based economy and contributes less to firms’ production costs, and (3) the standard of living is a decreasing function of the tax burden, expressed as a percent of GDP because higher tax burdens reduce the growth rate of disposable income and thereby limit the growth rate of the ability to purchase new goods and services and hence reduce/restrict the level of economic activity. |
| Keywords: | economic freedom; regulation; taxation; living standards |
| JEL: | H22 H24 O47 P14 P16 |
| Date: | 2014–08–18 |
| URL: | http://d.repec.org/n?u=RePEc:pra:mprapa:58108&r=reg |
| By: | Kartik Athreya (Federal Reserve Bank of Richmond) |
| Abstract: | In 2005, bankruptcy laws were reformed significantly, making personal bankruptcy substantially more costly to file than before. Shortly after, the US began to experience its most severe recession in seventy years. While personal bankruptcy rates rose, they rose only modestly given the severity of the rise in unemployment, perhaps as a consequence of the reform. Moreover, in the subsequent recovery, households have been widely viewed as "develeraging" (Mian and Sufi (2011), Krugman and Eggertson (2012)), an interpretation consistent with the largest reduction in the volume of unsecured debt in the past three decades. In this paper, we aim to measure the role jointly played by recent bankruptcy reforms and labor market risks during the Great Recession in accounting for the use of consumer credit and debt default. We use a setting that features high-frequency life-cycle consumption-savings decisions, defaultable debt, search frictions, and aggregate risk. Our results suggest that the 2005 bankruptcy reform likely prevented a substantial increase in bankruptcy filings, but had only limited effect on the observed path of delinquencies. Thus, the reform appears to have ´worked.¡ We also find that fluctuations in the job separation rate observed over the Great Recession did not significantly affect the dynamics of default; all of the work is done, instead, by the large decline in the job-finding rate. |
| Date: | 2014 |
| URL: | http://d.repec.org/n?u=RePEc:red:sed014:273&r=reg |