Showing 1 - 10 of 10
According to uncovered interest rate Parity (UIP), the expected relative change in an exchange rate is equal to the difference between interest rates between the two currencies. Empirically, UIP is frequently rejected. In this paper, we examine whether exchange rates have at least any tendency...
Persistent link: https://www.econbiz.de/10010837483
This paper deals with the question how an electricity end-consumer or distribution company should structure its portfolio with energy forward contracts. This paper introduces a one period framework to determine optimal positions in peak and off-peak contracts in order to purchase future...
Persistent link: https://www.econbiz.de/10010837583
Electricity prices are known to be very volatile and subject to frequent jumps due to system breakdown, demand shocks, and inelastic supply. As many international electricity markets are in some state of deregulation, more and more participants in these markets are exposed to these stylised...
Persistent link: https://www.econbiz.de/10010837654
We review Irving Fisher’s seminal work on UIP and on the closely related equation linking interest rates and inflation. Like Fisher, we find that the failures of UIP are connected to individual episodes in which errors surrounding exchange rate expectations are persistent, but eventually...
Persistent link: https://www.econbiz.de/10010837656
European banking regulation has been harmonized to a high degree over the last few decades. Nevertheless, the European banking industry remains fragmented as shown by the relatively high market shares of banks in their home countries. In this paper we concentrate on the integration process of...
Persistent link: https://www.econbiz.de/10010730984
In this paper, we examine in which periods uncovered interest rate parity was likely to hold. Empirical research has shown mixed evidence on UIP. The main finding is that it doesn’t hold, although some researchers were not able to reject UIP in periods with large interest differentials or high...
Persistent link: https://www.econbiz.de/10010731020
In this paper we present a parsimonious multivariate model for exchange rate volatilities based on logarithmic high-low ranges of daily exchange rates. The multivariate stochastic volatility model divides the log range of each exchange rate into two independent latent factors, which are...
Persistent link: https://www.econbiz.de/10010731210
In this paper we analyze the impact of the investment horizon on international port-folio choice. We approach this issue by considering whether or not an investor shouldadd investments from other countries to an existing portfolio. The statistical teststhat we employ (spanning tests) are based...
Persistent link: https://www.econbiz.de/10010731256
Electricity purchasers manage a portfolio of contracts in order to purchase the expected future electricity consumption profile of a company or a pool of clients. This paper proposes a mean-variance framework to address the concept of structuring the portfolio and focuses on how to allocate...
Persistent link: https://www.econbiz.de/10010731349
This paper focuses on the characteristics of hourly electricity prices in day-ahead markets. In these markets, quotes for day-ahead delivery of electricity are submitted simultaneously for all hours in the next day. The same information set is used for quoting all hours of the day. The dynamics...
Persistent link: https://www.econbiz.de/10010731425