A Model for the Valuation of Carbon Price Risk
Henry Dannenberg, Wilfried Ehrenfeld
Antes, R.; Hansjürgen, B.; Letmathe, P.; Pickl, S. (Hrsg.), Emissions Trading - Institutional Design, Decision Making and Corporate Strategies (Second Edition),
2011
Abstract
Die Modellierung des CO2-Zertifikatepreisrisikos ist ein wichtiger Teilaspekt eines ganzheitlichen Managements von mit dem Emissionshandel verbundenen Unternehmensrisiken. Das Papier diskutiert ein Preisbildungsmodell, auf dessen Grundlage das Zertifikatepreisrisiko bewertet werden kann. Es wird davon ausgegangen, dass der Zertifikatepreis durch die erwarteten Grenzvermeidungskosten der Handelsperiode determiniert wird und stochastisch um dieses Niveau schwankt. Dieses Verhalten wird mit einem Mean-Reversion-Prozess modelliert. Aufgrund von Unsicherheiten bezüglich künftiger Umweltzustände ist jedoch zu vermuten, dass innerhalb einer Handelsperiode durch das Bekanntwerden neuer Informationen sprunghafte Veränderungen der erwarteten Grenzvermeidungskosten auftreten können, womit sprunghafte Verschiebungen des erwarteten Preisniveaus einhergehen. Neben der ParameterSchätzung ist es daher auch ein Ziel der Arbeit, den Mean-Reversion-Prozess so zu modifizieren, dass solche sprunghaften Veränderungen des erwarteten Reversion-Niveaus abgebildet werden können.
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Africa and the Global Financial Crisis - Impact on Economic Reform Processes
R. Adelou Alabi, J. Alemazung, Achim Gutowski, Robert Kappel, Tobias Knedlik, O. Osnachi Uzor, Karl Wohlmuth, Hans H. Bass
African Development Perspectives Yearbook, Vol. 15,
2011
Abstract
In volume XV of the African Development Perspectives Yearbook, the Research Group on African Development Perspectives investigates the impact of the GFC on economic reform processes in Africa. The analysis is structured in such a way so as to reflect the opportunities and dangers of policy reversals in the face of the GFC. The impact of the crisis on different types and forms of governance in the region is considered. The first question is therefore which macro-economic policy instruments have to be applied in order to overcome the crisis and to continue with sustainable development. The second question is how the GFC has affected Africa's external economic relations and if the path of opening up to the world markets is continued. The third question raised is how the crisis has affected social cohesion, impacted on poverty alleviation strategies and the achievement of Millennium Development Goals (MDGs). All these questions are discussed in the various contributions which comprise general studies and country case studies. The authors also looked into the role of international financial institutions during and after the crisis. The volume XV of the African Development Perspectives Yearbook is structured into three Units. Unit 1 addresses general issues regarding the impact of the GFC on reform processes in Africa. Unit 2 presents case studies from countries and sub-regions. Unit 3 presents reviews and book notes of current literature focusing on issues of African development perspectives.
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Differences in Labor Supply to Monopsonistic Firms and the Gender Pay Gap: An Empirical Analysis Using Linked Employer‐Employee Data from Germany
Boris Hirsch, Thorsten Schank, Claus Schnabel
Journal of Labor Economics,
No. 2,
2010
Abstract
This article investigates women’s and men’s labor supply to the firm within a semistructural approach based on a dynamic model of new monopsony. Using methods of survival analysis and a large linked employer‐employee data set for Germany, we find that labor supply elasticities are small (1.9–3.7) and that women’s labor supply to the firm is less elastic than men’s (which is the reverse of gender differences in labor supply usually found at the level of the market). Our results imply that at least one‐third of the gender pay gap might be wage discrimination by profit‐maximizing monopsonistic employers.
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Human Capital and Fertility in Germany after 1990: Evidence from a Multi-Spell Model
Marco Sunder
IWH Discussion Papers,
No. 22,
2009
Abstract
We analyze the timing of birth of the first three children based on German panel
data (GSOEP) within a hazard rate framework. A random effects estimator is
used to accommodate correlation across spells. We consider the role of human
capital – approximated by a Mincer-type regression – and its gender-specific
effects on postponement of parenthood and possible recuperation at higherorder
births. An advantage of the use of panel data in this context consists in
its prospective nature, so that determinants of fertility can be measured when
at risk rather than ex-post, thus helping to reduce the risk of reverse causality.
The analysis finds evidence for strong recuperation effects, i.e., women with
greater human capital endowments follow, on average, a different birth history
trajectory, but with negligible curtailment of completed fertility.
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Will Oil Prices Decline Over the Long Run?
Filippo di Mauro, Robert K. Kaufmann, Pavlos Karadeloglou
ECB Occasional Paper Series,
No. 98,
2008
Abstract
At present, oil markets appear to be behaving in a fashion similar to that in the late 1970s and early 1980s when oil prices rose sharply over an extended period. Furthermore, like at that time, analysts are split on whether such increases will persist or reverse, and if so by how much. The present paper argues that the similarities between the two episodes are not as strong as they might appear at first sight, and that the likelihood of sharp reversals in prices is not particularly great. There are a number of reasons in support of the view that it is unlikely that the first two decades of this century will mimic the last two decades of the previous century. First, oil demand is likely to grow significantly in line with strong economic growth in non-OECD countries. Second, on the supply side, OPEC is likely to enhance its control over markets over the next two decades, as supply increases in newly opened areas will only partially offset declining rates of production in other geologically mature non-OPEC oil regions. Moreover, while concerns about climate change will spur global efforts to reduce carbon emissions, these efforts are not expected to reduce oil demand. Finally, although there is much talk about alternative fuels, few of these are economically viable at the prices currently envisioned, and given the structural impediments, there is a reduced likelihood that the market will be able to generate sufficient quantities of these alternative fuels over the forecast horizon. The above factors imply that oil prices are likely to continue to exceed the USD 70 to USD 90 range over the long term.
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Forecasting the CO2 certificate price risk
Henry Dannenberg, Wilfried Ehrenfeld
IWH Discussion Papers,
No. 5,
2008
Abstract
Die Modellierung des CO2Zertifikatepreisrisikos ist ein wichtiger Teilaspekt eines ganzheitlichen Managements von mit dem Emissionshandel verbundenen Unternehmensrisiken. Das Papier diskutiert ein Preisbildungsmodell, auf dessen Grundlage das Zertifikatepreisrisiko bewertet werden kann. Es wird davon ausgegangen, dass der Zertifikatepreis durch die erwarteten Grenzvermeidungskosten der Handelsperiode determiniert wird und stochastisch um dieses Niveau schwankt. Dieses Verhalten wird mit einem Mean-Reversion-Prozess modelliert. Aufgrund von Unsicherheiten bezüglich künftiger Umweltzustände ist jedoch zu vermuten, dass innerhalb einer Handelsperiode durch das Bekanntwerden neuer Informationen sprunghafte Veränderungen der erwarteten Grenzvermeidungskosten auftreten können, womit sprunghafte Verschiebungen des erwarteten Preisniveaus einhergehen. Neben der ParameterSchätzung ist es daher auch ein Ziel der Arbeit, den Mean-Reversion-Prozess so zu modifizieren, dass solche sprunghaften Veränderungen des erwarteten Reversion-Niveaus abgebildet werden können.
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Aggressive Orders and the Resiliency of a Limit Order Market
Hans Degryse, Frank de Jong, Maarten Van Ravenswaaij, Gunther Wuyts
Review of Finance,
No. 2,
2005
Abstract
We analyze the resiliency of a pure limit order market by investigating the limit order book (bid and ask prices, spreads, depth and duration), order flow and transaction prices in a window of best limit updates and transactions around aggressive orders (orders that move prices). We find strong persistence in the submission of aggressive orders. Aggressive orders take place when spreads and depths are relatively low, and they induce bid and ask prices to be persistently different after the shock. Depth and spread remain also higher than just before the order, but do return to their initial level within 20 best limit updates after the shock. Relative to the sample average, depths stay around their mean before and after aggressive orders, whereas spreads return to their mean after about twenty best limit updates. The initial price impact of the aggressive order is partly reversed in the subsequent transactions. However, the aggressive order produces a long-term effect as prices show a tendency to return slowly to the price of the aggressive order.
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East Germany 2003: No Trend Reversal in Employment
Hans-Ulrich Brautzsch
Wirtschaft im Wandel,
No. 3,
2003
Abstract
Der Beitrag behandelt die aktuelle Lage auf dem ostdeutschen Arbeitsmarkt. Es wird gezeigt, dass sich im Jahr 2002 das Ungleichgewicht auf dem ostdeutschen Arbeitsmarkt verstärkt hat. Im Jahr 2003 setzt sich der Trend zum Beschäftigungsabbau fort.
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