Norwegian School of Economics最新文献

{"title":"Stochastic Electricity Dispatch: A Challenge for Market Design","authors":"E. Bjørndal, M. Bjørndal, Kjetil T. Midthun, A. Tomasgard","doi":"10.2139/ssrn.2829355","DOIUrl":"https://doi.org/10.2139/ssrn.2829355","url":null,"abstract":"We consider an electricity market with two sequential market clearings, for instance representing a day-ahead and a real-time market. When the first market is cleared, there is uncertainty with respect to generation and/or load, while this uncertainty is resolved when the second market is cleared. We compare the outcomes of a stochastic market clearing model, i.e. a market clearing model taking into account both markets and the uncertainty, to a myopic market model where the first market is cleared based only on given bids, and not taking into account neither the uncertainty nor the bids in the second market. While the stochastic market clearing gives a solution with a higher total social welfare, it poses several challenges for market design. The stochastic dispatch may lead to a dispatch where the prices deviate from the bid curves in the first market. This can lead to incentives for selfscheduling, require producers to produce above marginal cost and consumers to pay above their marginal value in the first market. Our analysis show that the wind producer has an incentive to deviate from the system optimal plan in both the myopic and stochastic model, and this incentive is particularly strong under the myopic model. We also discuss how the total social welfare of the market outcome under stochastic market clearing depends on the quality of the information that the system operator will base the market clearing on. In particular, we show that the wind producer has an incentive to misreport the probability distribution for wind.","PeriodicalId":133518,"journal":{"name":"Norwegian School of Economics","volume":"34 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2016-08-25","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"128559464","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

{"title":"Specification of Merger Gains in the Norwegian Electricity Distribution Industry","authors":"A. Saastamoinen, E. Bjørndal, M. Bjørndal","doi":"10.2139/ssrn.2766936","DOIUrl":"https://doi.org/10.2139/ssrn.2766936","url":null,"abstract":"Electricity distribution often exhibits economies of scale. In Norway, a number of smaller distribution system operators exist and thus there is potential to restructure the industry, possibly through mergers. However, the revenue cap regulatory model in Norway does not incentivize firms to merge as merging leads to a stricter revenue cap for the merged company. Thus the regulator compensates the firms in order to create such incentives. The amount of compensation is based on the potential gains of the merger estimated using a data envelopment analysis (DEA) based frontier approach introduced by Bogetoft and Wang (Journal of Productivity Analysis, 23, 145–171, 2005). DEA is however only one of many possible frontier estimators that can be used in estimation. Furthermore, the returns to scale assumption, the operating environment of firms and the presence of stochastic noise and outlier observations are all known to affect to the estimation of production technology. In this paper we explore how varying assumption under two alternate frontier estimators shape the distribution of merger gains within the Norwegian distribution industry. Our results reveal that the restructuring policies of the industry may be significantly altered depending how potential gains from the mergers are estimated.","PeriodicalId":133518,"journal":{"name":"Norwegian School of Economics","volume":"1 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2016-04-19","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"125438437","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

{"title":"Time-Inconsistent Stochastic Linear–Quadratic Control: Characterization and Uniqueness of Equilibrium","authors":"Ying Hu, Hanqing Jin, X. Zhou","doi":"10.2139/ssrn.2589518","DOIUrl":"https://doi.org/10.2139/ssrn.2589518","url":null,"abstract":"In this paper, we continue our study on a general time-inconsistent stochastic linear--quadratic (LQ) control problem originally formulated in [6]. We derive a necessary and sufficient condition for equilibrium controls via a flow of forward--backward stochastic differential equations. When the state is one dimensional and the coefficients in the problem are all deterministic, we prove that the explicit equilibrium control constructed in cite{HJZ} is indeed unique. Our proof is based on the derived equivalent condition for equilibria as well as a stochastic version of the Lebesgue differentiation theorem. Finally, we show that the equilibrium strategy is unique for a mean--variance portfolio selection model in a complete financial market where the risk-free rate is a deterministic function of time but all the other market parameters are possibly stochastic processes.","PeriodicalId":133518,"journal":{"name":"Norwegian School of Economics","volume":"165 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2015-04-05","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"127332298","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

{"title":"The Equity Premium in a Production Economy; A New Perspective Involving Recursive Utility","authors":"K. Aase","doi":"10.2139/ssrn.2592970","DOIUrl":"https://doi.org/10.2139/ssrn.2592970","url":null,"abstract":"We study a rational expectations' competitive equilibrium in a production economy, i.e., a system of prices at which firms' profit maximizing production decisions and individuals' preferred affordable consumption choices equate supply and demand in every market. We derive the equilibrium price of the firm and the equilibrium short term interest rate, the optimal per capita consumption in society, as well as the risk premium on equity. First a simple linear production technology with constant coefficients is studied, then a more general technology, and finally a general production economy with recursive utility is analyzed by the use of the stochastic maximum principle. While the two first models can not explain the empirics well using conventional preferences, the latter model is found to be much more promising in this regard. Wa also demonstrate a simple proof for the ICAPM.","PeriodicalId":133518,"journal":{"name":"Norwegian School of Economics","volume":"28 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2015-03-25","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"126991930","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

{"title":"Beyond the Local Mean-Variance Analysis in Continuous Time: The Problem of Non-Normality","authors":"K. Aase, J. Lillestøl","doi":"10.2139/ssrn.2569610","DOIUrl":"https://doi.org/10.2139/ssrn.2569610","url":null,"abstract":"The paper investigates the effects of deviations from normality on the estimates of risk premiums and the real equilibrium, short-term interest rate in the conventional rational expectations equilibrium model of Lucas (1978). We consider a time-continuous approach, where both the aggregate consumption process as well as cumulative dividends from risky assets are assumed to be jump-di usion processes. This approach allows for random jumps in the fundamental underlying processes at random time points. Preferences are time separable and additive. We derive testable expressions for these quantities, and confront these with 20. century sample estimates. Since there are non-linear components in the formulas for the risk premiums and the interest rate, we can readily explore what effect deviation from normality has on these quantities. Our results test the boundaries of the conventional model.","PeriodicalId":133518,"journal":{"name":"Norwegian School of Economics","volume":"4 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2015-02-23","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"115092169","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

{"title":"Determinants of Land Use Change in South-West Region of Bangladesh","authors":"J. Alam","doi":"10.2139/ssrn.2547885","DOIUrl":"https://doi.org/10.2139/ssrn.2547885","url":null,"abstract":"Like all other parts of the world, land use patterns in Bangladesh especially of south-west part have been observed to change rapidly since late of 20th century. Lands of south-west region were generally used for rice farming since the middle of 20th century but polderization project of Bangladesh during 1970s caused major changes in land use pattern either through transformation or modification of land cover and cropping. Literature shows that single cropped rice areas of past decades have already been cultivated twice or thrice per year while some such lands have already been converted for shrimp farming. This paper examines the determinants of land use patterns and their corresponding changes (i.e. rice and shrimp farming) over time at pirozpur village of Kaligonj upazila under Satkhira district of Khulna division in Bangladesh. The study is being done on the basis of cross-sectional data collected from the decision maker or head of each sample household. Here data have been collected through questionnaire as well as focus group discussion from a sample size of 80 households; each forty from shrimp and rice farming. Here logistic regression considering rice farming land as the reference dummy as well as cost-benefit analysis is being done to know the extents of land use determinants. However, the study area being close to river Hariavanga, shrimp farming has become predominant in the study area and young people are more interested in shrimp farming than in any other land use alternatives. Analysis shows that cost free irrigation for shrimp farming as well as higher profit, lower cost and available inputs are the major factors of increased shrimp farming in the study area. The study also finds that if rice can be cultivated thrice per year then shrimp is less attractive while there lacks training facilities for the rice farmers which may cause dissatisfaction to land owners causing conversion of rice land into shrimp. Available land holders primarily decide their land use pattern based on short run cost benefit calculation rather than long run impact of land use in their livelihood as well as ecology. The study finds age, natural calamities, family type and availability of credit to be negatively related with shrimp farming while land engagement process, accessibility, economically active family number, proximity to service sector, neighborhood land use patterns, land ownership and land rent to be positively related. Whatever be the determinants of land use and their corresponding extents, mass awareness should be emphasized for optimal land use.","PeriodicalId":133518,"journal":{"name":"Norwegian School of Economics","volume":"41 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2014-10-10","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"131698365","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

{"title":"The Coauthorship Network Analysis of the BI Norwegian Business School","authors":"I. Belik, K. Jørnsten","doi":"10.2139/SSRN.2459865","DOIUrl":"https://doi.org/10.2139/SSRN.2459865","url":null,"abstract":"We construct the coauthorship network based on the scientific collaboration between the faculty members at the Norwegian Business School (BI) and based on their international academic publication experience. The network structure is based on the BI faculties’ publications recognized by the ISI Web of Science for the period 1950 – Spring, 2014. The given network covers the publication activities of the BI faculty members (over eight departments) based on the information retrieved from the ISI Web of Science in Spring, 2014. In this paper we analyse the constructed coauthorship network in different aspects of the theory of social networks analysis.","PeriodicalId":133518,"journal":{"name":"Norwegian School of Economics","volume":"34 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2014-07-09","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"129811686","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

{"title":"A Carbon Footprint Proportional to Expenditure - a Case for Norway?","authors":"Patrick A. Narbel, E. Isaksen","doi":"10.2139/ssrn.2425600","DOIUrl":"https://doi.org/10.2139/ssrn.2425600","url":null,"abstract":"Assuming that emissions originate from the consumption of goods and services, we study the relationship between consumption-based per capita carbon footprint and per capita expenditure for Norway, using 2007 data. A two-region input-output model reveals that the consumption-based per capita carbon footprint is directly proportional to expenditure with an estimated elasticity close to unity. We show that this result is at least partly driven by a near zero-emission power sector, which leads to comparatively low emission intensities for domestically-produced goods and services.","PeriodicalId":133518,"journal":{"name":"Norwegian School of Economics","volume":"44 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2014-04-14","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"114721715","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

{"title":"The Effect of Oil Prices on Offshore Production: Evidence from the Norwegian Continental Shelf","authors":"Johannes Mauritzen","doi":"10.2139/ssrn.2404980","DOIUrl":"https://doi.org/10.2139/ssrn.2404980","url":null,"abstract":"I use detailed field-level data on Norwegian off-shore oil field production and a semi-parametric additive model to control for the production profile of fields to estimate the effect of oil prices on production. I find no significant evidence of a concurrent reaction of field production to oil prices, though a slight lagged effect is found of the magnitude of approximately 2 to 4% for a 10 dollar per barrel increase in the real price of oil. Most of this effect appears to come in the planning phase of a field’s development.","PeriodicalId":133518,"journal":{"name":"Norwegian School of Economics","volume":"49 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2014-02-28","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"116754060","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

{"title":"A Pair-Models Idea for FDI and Economic Growth in Romania","authors":"D. Andrei","doi":"10.2139/ssrn.2396120","DOIUrl":"https://doi.org/10.2139/ssrn.2396120","url":null,"abstract":"Studying correlation between foreign direct investments (FDI) and economic growth might be as generous idea as meeting enough defaults and obstacles when put into practice. Then, the pair-models idea (Voivodas 1973) looks appropriate for such a study since determination complexities and environments of the two are the same and concomitantly acting. Actually, imagine a list of variables with concomitant time data, of which two will shift position between exogenous and endogenous. Two apparently distinct models will so result as pair-models, whereas the two variables that were presumably suspected for a significant interrelation are FDI and economic growth, due to their similarly influential environments and complexity degrees of determination. And as pair-models, the two are supposed to be symmetrical for both data used and significance. So, basically, models will be both linear, but unfortunately they won’t respect this symmetry principle in all details due to some other requirements applied.","PeriodicalId":133518,"journal":{"name":"Norwegian School of Economics","volume":"7 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2014-02-14","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"131612920","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}