We analyze the pattern of pool prices in the Spanish electricity market during 1998 by means of a Time Varying Transition Probabilities Markov switching model. Our purpose is two­fold: firstly, to identify and date the drops in prices that cannot be accounted for by supply nor demand...

In this paper we investigate the factors contributing to the fall in the Lerner Index (price-cost margin) in the British electricity market during the 90s. A first stage of our analysis models the number of breaks in the Lerner Index and their dating as unknowns. Our results suggest the...

\We analyze the time-series of prices in the Spanish electricity market by means of a time varying-transition-probability Markov switching model. Accounting for changes in demand and cost conditions (which reflect changes in input costs, capacity availability and hydro power), we show that the...

This paper presents a cointegrated VAR analysis of monetary transmission mechanisms and changes in them after Spain joined the EMS in 1989. Analyses of long-run price homogeneity within the I(2) model turned out to be crucial for understanding the joint behaviour of money, income, prices, and...

"Fixed frequency effect models" represent a powerful tool for analyzing time series exhibiting strong periodicities. However, in spite of their appeal to the practitioner, their use has been constrained by ignorance about their statistical properties. This paper attempts to oer a comparison...

In this paper we solve an optimal portfolio choice problem to measure the benefits of Treasury Inflation Indexed Securities (TIPS) to investors concerned with maximizing real wealth. We show how the introduction of a real riskless asset completes the investor asset space, by contrasting optimal...

Joint modelling of fiscal and monetary policies should elucidate on their interaction. We construct an eight-dimensional parsimonious structural vector equilibrium correction model (PSVECM) of the US macro economy over the last five decades. The fiscal deficit is found to be one of the five...