In this paper we use a long memory framework to examine the validity of the Purchasing Power Parity (PPP) hypothesis using both monthly and quarterly data for a panel of 47 countries over a fifty year period (1957 to 2009). The analysis focusses on the long memory parameter d that allows us to...

The theoretical literature on asymmetric first-price auctions has focused mainly on settings with either (1) exactly two bidders or (2) an arbitrary number of bidders with types in a common support. Even though closed form solutions are typically impossible, there is enough structure in the...

In this paper, we solve two problems related to growth and survival probability maximization of an economy. We assume that the problems are subject to the stochastic net worth model introduced by Fleming and Stein (2004) and apply the techniques of stochastic optimal control theory in order to...

Will generous return policies in auctions benefit bidders? We investigate this issue using second-price common-value auctions. Theoretically, we find that the bidding equilibrium is unique unless returns are free, in which case there exist multiple equilibria with different implications for...

Stabilizing pollution levels in the long run is a pre-requisite for sustainable growth. We develop a neoclassical growth model with endogenous emission reduction predicting that, along optimal sustainable paths, pollution growth rates are (i) positively related to output growth (scale effect)...

In this paper, we examine the convergence hypothesis using a long memory framework that allows for structural breaks and the non reliance on a benchmark country. We find that even though the long memory framework of analysis is much richer than the simple I(1)/I(0) alternative, a simple absolute...

We investigate whether trade has any effect on the price formation process in a specific electricity market, and identify interconnected markets that have higher impacts on prices in that market. In particular, we study Ontario wholesale electricity market and its trade with 12 interconnected...

We study competition between hydro and thermal electricity generators that face uncertainty over demand and water flows where the hydro generator is constrained by water flows and the thermal generator by capacity. We compute the Feedback equilibrium for the in?nite horizon game and show that...

We review supply function equilibrium models and their predictions on market outcomes in the wholesale electricity auctions. We discuss how observable market characteristics such as capacity constraints, number of power suppliers, load distribution and auction format affect the behavior of...

We study a dynamic Cournot game with capacity accumulation under demand uncertainty, in which the investment is perfectly divisible, irreversible, and productive with a lag. We characterize equilibrium investments under closed-loop and S-adapted open-loop information structures. Contrary to what...