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Functional Regression Models for South African Economic Indicators: A Growth Curve Perspective 南非经济指标的功能回归模型:一个增长曲线的视角
ERN: Energy (Topic) Pub Date : 2019-03-28 DOI: 10.1111/opec.12148
Siphumlile Mangisa, Sonali Das, Surajit Ray, G. Sharp
{"title":"Functional Regression Models for South African Economic Indicators: A Growth Curve Perspective","authors":"Siphumlile Mangisa, Sonali Das, Surajit Ray, G. Sharp","doi":"10.1111/opec.12148","DOIUrl":"https://doi.org/10.1111/opec.12148","url":null,"abstract":"In this paper, we compare three functional regression models from a growth curve perspective to predict the relationship between two economic variables, specifically we compare a functional concurrent model, a functional historical model and a functional autoregressive model (FAR). The dependent and the independent variables are cumulated over the annual time window for the growth curve analyses. These models are used to predict exports (real) for the South African economy in terms of electricity demand. The data analysed consist of 33 years of exports (in ZAR million) at annual quarterly frequency, and electricity demand (in GwH) at monthly totals. Exploratory analysis included phase‐plane plots for the two series. For the prediction exercise, the baseline concurrent model was evaluated against the other two models, and their performance compared using the root‐mean‐square error (RSME) measure, the relative performance in terms of the ratio of the RMSEs, and a Kolmogorov–Smirnov based hypothesis test to compare the distributions of the RMSEs of the models. Our results show that from the growth curve perspective, for the prediction of exports in terms of electricity for the SA economy, the FAR model of lag(1) outperforms both the concurrent model and the historical model by far.","PeriodicalId":260665,"journal":{"name":"ERN: Energy (Topic)","volume":"206 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2019-03-28","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"114371003","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}
引用次数: 0
Supply Curves for Hydro Reservoirs - Estimation and Usage in Large-Scale Electricity Market Models 水库的供给曲线——大规模电力市场模型的估计和使用
ERN: Energy (Topic) Pub Date : 2019-01-31 DOI: 10.2139/ssrn.3326372
Christopher Jahns, Caroline Podewski, C. Weber
{"title":"Supply Curves for Hydro Reservoirs - Estimation and Usage in Large-Scale Electricity Market Models","authors":"Christopher Jahns, Caroline Podewski, C. Weber","doi":"10.2139/ssrn.3326372","DOIUrl":"https://doi.org/10.2139/ssrn.3326372","url":null,"abstract":"Hydro electricity generation is of great importance for the current and the future electricity system since it provides electricity without emitting CO2 and moreover hydro reservoirs offer high operational flexibility. With increasing shares of fluctuating renewable energies, their value is even expected to increase, as – depending on the power plant type – they are able to store electricity. Therefore, an adequate representation of hydro power operation in large-scale electricity models is primordial. The aim of this paper is to analyze empirically the operation of large-scale hydro reservoirs based on observed market data. We derive supply curves for hydro reservoirs in Norway based on electricity price and hydro production time series and analyze key influencing factors. To push further, we apply the resulting supply curves in a multi-region electricity market model and show how they may be used to perform historical and counterfactual simulations.","PeriodicalId":260665,"journal":{"name":"ERN: Energy (Topic)","volume":"73 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2019-01-31","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"124689674","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}
引用次数: 2
An Economic Analysis of the National Electricity Market 全国电力市场的经济分析
ERN: Energy (Topic) Pub Date : 2018-07-11 DOI: 10.2139/ssrn.3215649
G. Roger
{"title":"An Economic Analysis of the National Electricity Market","authors":"G. Roger","doi":"10.2139/ssrn.3215649","DOIUrl":"https://doi.org/10.2139/ssrn.3215649","url":null,"abstract":"This paper is a technical report commissioned by Energy Consumers Australia, a statutory advocacy institution, as to the state of the electricity market in Australia. Using standard tools of economics, it finds that the combination of market power, vertical integration and a poor regulatory framework deliver a poor outcome in terms of social welfare, as suggested by steep and sustained price increases since 2008. The report advocates for more research, as well as for some already obvious remedies.","PeriodicalId":260665,"journal":{"name":"ERN: Energy (Topic)","volume":"37 13 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2018-07-11","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"121018871","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}
引用次数: 0
A Supply/Demand Commodity Pricing Model 供求商品定价模型
ERN: Energy (Topic) Pub Date : 2018-06-01 DOI: 10.2139/ssrn.3695269
A. Bashiri, Y. Lawryshyn
{"title":"A Supply/Demand Commodity Pricing Model","authors":"A. Bashiri, Y. Lawryshyn","doi":"10.2139/ssrn.3695269","DOIUrl":"https://doi.org/10.2139/ssrn.3695269","url":null,"abstract":"We develop a two-factor mean-reverting stochastic model for forecasting storable commodity prices and valuing commodity derivatives. We define a variable called normalized excess supply based on the observable production rate, consumption rate, and inventory levels of the commodity. Our analysis indicates a strong inverse correlation between normalized excess supply and crude oil spot and futures prices. Our first stochastic factor is normalized excess supply, following a mean-reverting process. The second stochastic factor is the deviation of prices from a mean level determined by normalized excess supply. Moreover, we develop valuation models for futures and options on futures contracts based on the two-factor model. We apply this model to crude oil prices from 1995 to 2017 via a Kalman filter. We perform out-of-sample tests for forecasting spot prices. Additionally, we develop a scenario analysis framework for incorporating variant views of future supply, demand, and inventories in risk management and valuation of commodity related financial products. We show the utility of the model for investment management professionals and risk managers aiming to incorporate macroeconomic conditions in valuation and risk management endeavors.","PeriodicalId":260665,"journal":{"name":"ERN: Energy (Topic)","volume":"25 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2018-06-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"125469630","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}
引用次数: 0
Slovak Electricity Market and the Merit Order Effect of Photovoltaics 斯洛伐克电力市场与光伏的优序效应
ERN: Energy (Topic) Pub Date : 2018-05-10 DOI: 10.2139/ssrn.3176814
K. Janda
{"title":"Slovak Electricity Market and the Merit Order Effect of Photovoltaics","authors":"K. Janda","doi":"10.2139/ssrn.3176814","DOIUrl":"https://doi.org/10.2139/ssrn.3176814","url":null,"abstract":"This paper analyses Slovak electricity market with a focus on photovoltaic energy. It evaluates the impact of the solar electricity penetration into electricity mix on spot prices, seeks evidence of the merit order effect in the Slovak electricity market and quantifies it based on hourly data. The multivariate regression analysis covers the period 2011-2016. The rather small merit order effect estimated by an OLS time series model leads to the small decrease of Slovak electricity wholesale prices. This spot price reduction attributable to the photovoltaics does not outweigh the costs of the support scheme borne by end users what implies a consumer loss.","PeriodicalId":260665,"journal":{"name":"ERN: Energy (Topic)","volume":"199 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2018-05-10","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"115886116","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}
引用次数: 2
The Extent of the Market and Integration Through Factor Markets: Evidence from Wholesale Electricity 基于要素市场的市场规模与整合:来自批发电力的证据
ERN: Energy (Topic) Pub Date : 2018-03-16 DOI: 10.2139/ssrn.2999989
R. Butters, Daniel F. Spulber
{"title":"The Extent of the Market and Integration Through Factor Markets: Evidence from Wholesale Electricity","authors":"R. Butters, Daniel F. Spulber","doi":"10.2139/ssrn.2999989","DOIUrl":"https://doi.org/10.2139/ssrn.2999989","url":null,"abstract":"We document the influence of factor markets in determining the extent of the market, appealing to the Mundell hypothesis that trade in goods and factor markets are substitutes. We confirm this influence using the U.S. wholesale market for electric power. Although the Eastern, Western, and Texas regions cannot trade electricity, inputs such as natural gas move freely across these regions. Through a set of price transmission ratios, and a supply model for natural gas, we find regional electricity shocks do propagate across regions. We conclude output markets institutionally in autarky achieve modest degrees of economic integration through factor markets. (JEL C32, L94, Q41)","PeriodicalId":260665,"journal":{"name":"ERN: Energy (Topic)","volume":"45 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2018-03-16","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"123746423","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}
引用次数: 1
Practical Approximation Approaches to Forecasting and Backtesting Initial Margin Requirements 预测和回溯初始保证金要求的实用逼近方法
ERN: Energy (Topic) Pub Date : 2017-11-29 DOI: 10.2139/ssrn.3079782
Justin Chan, Shengyao Zhu, Boris Tourtzevitch
{"title":"Practical Approximation Approaches to Forecasting and Backtesting Initial Margin Requirements","authors":"Justin Chan, Shengyao Zhu, Boris Tourtzevitch","doi":"10.2139/ssrn.3079782","DOIUrl":"https://doi.org/10.2139/ssrn.3079782","url":null,"abstract":"As BCBS-IOSCO's introduction of mandatory bilateral initial margin is expected to transform the bilateral OTC market, there has been a great interest in the market to develop a model that can dynamically forecast initial margin for future horizons. In the context of counterparty credit risk management and regulatory capital calculation, the authors propose practical methods to simulate initial margin requirements, along with validation and historical backtesting approaches applicable to a broad class of initial margin simulation methods.","PeriodicalId":260665,"journal":{"name":"ERN: Energy (Topic)","volume":"1 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2017-11-29","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"127004920","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}
引用次数: 3
Cournot Competition in Wholesale Electricity Markets: The Nordic Power Exchange, Nord Pool 批发电力市场中的古诺竞争:北欧电力交易所，北池
ERN: Energy (Topic) Pub Date : 2017-10-12 DOI: 10.2139/ssrn.3089651
E. Lundin, Thomas P. Tangerås
{"title":"Cournot Competition in Wholesale Electricity Markets: The Nordic Power Exchange, Nord Pool","authors":"E. Lundin, Thomas P. Tangerås","doi":"10.2139/ssrn.3089651","DOIUrl":"https://doi.org/10.2139/ssrn.3089651","url":null,"abstract":"Horizontal shifts in bid curves observed in wholesale electricity markets are consistent with Cournot competition. Quantity competition reduces the informational requirements associated with evaluating market performance because the markups of all producers then depend on the same inverse residual demand curve instead of one for each firm. We apply the model to the day-ahead market of the Nordic power exchange, Nord Pool, for the years 2011–2013. Results suggest that mark-ups were 8–11 percent. We find some support for the hypothesis that the division of Sweden into price areas in 2011 increased the exercise of market power.","PeriodicalId":260665,"journal":{"name":"ERN: Energy (Topic)","volume":"s3-42 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2017-10-12","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"130188748","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}
引用次数: 22
Informing SPR Policy Through Oil Futures and Inventory Dynamics 通过石油期货和库存动态为SPR政策提供信息
ERN: Energy (Topic) Pub Date : 2017-10-01 DOI: 10.2139/ssrn.3094419
R. Newell, Brian C. Prest
{"title":"Informing SPR Policy Through Oil Futures and Inventory Dynamics","authors":"R. Newell, Brian C. Prest","doi":"10.2139/ssrn.3094419","DOIUrl":"https://doi.org/10.2139/ssrn.3094419","url":null,"abstract":"This paper examines how information on the time pattern of expected future prices for crude oil, based on the term structure of futures contracts, can be used in informing whether to draw down, or contribute to the Strategic Petroleum Reserve (SPR). Such price information provides insight on expected changes in the supply-demand balance in the market and can also facilitate cost-effective transitions for SPR holdings. Backwardation in futures curves suggests that market participants expect shocks to be transitory, creating a stronger case for SPR releases. We use vector autoregression to analyze the relationship between the term structure of futures contracts, the management of private oil inventories, and other variables of interest. This relationship is used to estimate the magnitude of the impacts of SPR releases into the much larger global inventories system. Under the assumption that strategic releases can be modeled as surprise inventory additions, impulse response functions suggest that a strategic release of 10 million barrels would temporarily reduce spot prices by about 2% to 3% and mitigate backwardation by approximately 0.8 percentage points. Historical simulations suggest that past releases reduced spot prices by 15% to 20% and avoided about 5 percentage points of backwardation in futures curves, relative to a no-release counterfactual. This research can help policymakers determine when to release SPR reserves based on economic principles informed by market prices. It also provides an econometric model that can help inform the amount of SPR releases necessary to achieve given policy goals, such as reductions in prices or spreads.","PeriodicalId":260665,"journal":{"name":"ERN: Energy (Topic)","volume":"11 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2017-10-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"133922290","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}
引用次数: 8
Higher Moment Risk Premiums for the Crude Oil Market: A Downside and Upside Conditional Decomposition 原油市场较高时刻风险溢价:下行和上行条件分解
ERN: Energy (Topic) Pub Date : 2017-08-15 DOI: 10.2139/ssrn.2888147
J. D. da Fonseca, Yahua Xu
{"title":"Higher Moment Risk Premiums for the Crude Oil Market: A Downside and Upside Conditional Decomposition","authors":"J. D. da Fonseca, Yahua Xu","doi":"10.2139/ssrn.2888147","DOIUrl":"https://doi.org/10.2139/ssrn.2888147","url":null,"abstract":"Relying on options written on the USO, an exchange traded fund tracking the daily price changes of the WTI light sweet crude oil, we extract variance and skew risk premiums in a model-free way. We further decompose these risk premiums into downside and upside conditional components and show that they can be partially explained by USO excess returns and, more importantly, these decomposed risk premiums enable a much better prediction of USO excess returns than the standard, or undecomposed, variance and skew risk premiums. A comparison with existing results for the equity index option market further confirms the usefulness of the decomposition for the crude oil market.","PeriodicalId":260665,"journal":{"name":"ERN: Energy (Topic)","volume":"23 32","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2017-08-15","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"113962808","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}
引用次数: 3
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