Stochastic relative preferences are prevalent in the literature, but it appears that modeling them is not trivial. This paper establishes that common stochastic specifications alter average relative preferences, which could induce spurious effects. A simple solution is presented that provides an...

How to treat transmission constraints in electricity markets that are not based on a pool but on bilateral trading? Three approaches are currently discussed: First, the system operator resolves constraints and socialises costs; second, physical transmission contracts; third, locational charging...

The European Renewables Directive requires Member States to deliver on average 20% of their final energy consumption by 2020 using renewable energy sources. To deliver this target, Member States have to adjust planning procedures, evaluate energy market design, provide grid and supply...

This paper considers a simple model of credit risk and derives the limit distribution of losses under different assumptions regarding the structure of systematic risk and the nature of exposure or firm heterogeneity. We derive fat-tailed correlated loss distributions arising from Gaussian risk...

Ìn this paper I explore the long-run monetary neutrality using the framework developed by Fisher and Seater (1993). I show that their rejection of long-run neutrality in the United States for the 1870-1975 period is not robust to a change in the money aggregate or country.

In this paper, we analyze a general multivariate linear rational expectations model.

Due to a shortage of data and increased international mergers, national energy regulators are looking to international benchmarking analyses for help in setting price controls within incentive regulation. We present an international benchmarking study of 63 regional electricity distribution...

This paper evaluates the link between the diffusion of electricity and the increase in labour productivity growth in the manufacturing sector during the inter-war period. A comparative analysis of the USA, Britain, Germany, and Japan shows that the trend acceleration in labour productivity is...

This paper studies a procedure to combine individual forecasts that achieve theoretical optimal performance. The results apply to a wide variety of loss functions and no conditions are imposed on the data sequences and the individual forecasts apart from a tail condition. The theoretical results...

Rubinstein and Wolinsky (1990) show that a simple homogeneous market with exogenous matching has continuum of (non-competitive) perfect equilibria, but the unique Markov perfect equilibrium is competitive. By contrast, in the more general case of heterogeneous markets, we show there exists a...