Are the dynamic linkages between the macroeconomy and asset prices time-varying?

We estimate a number of multivariate regime switching VAR models on a long monthly data set for eight variables that include excess stock and bond returns, the real T-bill yield, predictors used in the finance literature (default spread and the dividend yield), and three macroeconomic variables (inflation, real industrial production growth, and a measure of real money growth). Heteroskedasticity may be accounted for by making the covariance matrix a function of the regime. We find evidence of four regimes and of time-varying covariances. We provide evidence that the best in-sample fit is provided by a four state model in which the VAR(1) component fails to be regime-dependent. We interpret this as evidence that the dynamic linkages between financial markets and the macroeconomy have been stable over time. We show that the four-state model can be helpful in forecasting applications and to provide one-step ahead predicted Sharpe ratios.Macroeconomics ; Asset pricing

mFish Alpha Pilot: Building a Roadmap for Effective Mobile Technology to Sustain Fisheries and Improve Fisher Livelihoods.

In June 2014 at the Our Ocean Conference in Washington, DC, United States Secretary of State John Kerry announced the ambitious goal of ending overfishing by 2020. To support that goal, the Secretary's Office of Global Partnerships launched mFish, a public-private partnership to harness the power of mobile technology to improve fisher livelihoods and increase the sustainability of fisheries around the world. The US Department of State provided a grant to 50in10 to create a pilot of mFish that would allow for the identification of behaviors and incentives that might drive more fishers to adopt novel technology. In May 2015 50in10 and Future of Fish designed a pilot to evaluate how to improve adoption of a new mobile technology platform aimed at improving fisheries data capture and fisher livelihoods. Full report

Carbon Free Boston: Energy Technical Report

Part of a series of reports that includes: Carbon Free Boston: Summary Report; Carbon Free Boston: Social Equity Report; Carbon Free Boston: Technical Summary; Carbon Free Boston: Buildings Technical Report; Carbon Free Boston: Transportation Technical Report; Carbon Free Boston: Waste Technical Report; Carbon Free Boston: Offsets Technical Report; Available at http://sites.bu.edu/cfb/INTRODUCTION: The adoption of clean energy in Boston’s buildings and transportation systems will produce sweeping changes in the quantity and composition of the city’s demand for fuel and electricity. The demand for electricity is expected to increase by 2050, while the demand for petroleum-based liquid fuels and natural gas within the city is projected to decline significantly. The city must meet future energy demand with clean energy sources in order to meet its carbon mitigation targets. That clean energy must be procured in a way that supports the City’s goals for economic development, social equity, environmental sustainability, and overall quality of life. This chapter examines the strategies to accomplish these goals. Improved energy efficiency, district energy, and in-boundary generation of clean energy (rooftop PV) will reduce net electric power and natural gas demand substantially, but these measures will not eliminate the need for electricity and gas (or its replacement fuel) delivered into Boston. Broadly speaking, to achieve carbon neutrality by 2050, the city must therefore (1) reduce its use of fossil fuels to heat and cool buildings through cost-effective energy efficiency measures and electrification of building thermal services where feasible; and (2) over time, increase the amount of carbon-free electricity delivered to the city. Reducing energy demand though cost effective energy conservation measures will be necessary to reduce the challenges associated with expanding the electricity delivery system and sustainably sourcing renewable fuels.Published versio

Measuring the economic significance of structural exchange rate models

This paper examines both the in-sample and out-of-sample performance of three monetary fundamental models of exchange rates and compares their out-of-sample performance to that of a simple Random Walk model. Using a data-set consisting of five currencies at monthly frequency over the period January 1980 to December 2009 and a battery of newly developed performance measures, the paper shows that monetary models do better (in-sample and out-of- sample forecasting) than a simple Random Walk model.monetary models, forecasting

The innovation impact of EU emission trading: findings of company case studies in the German power sector

This paper provides a comprehensive analysis of how the European Emission Trading System (EU ETS) as the core climate policy instrument of the European Union has impacted innovation. Towards this end, we investigate the impact of the EU ETS on research, development, and demonstration (RD&D), adoption, and organizational change. In doing so, we pay particular attention to the rela-tive influences of context factors (policy mix, market factors, public acceptance) as well as firm characteristics (value chain position, technology portfolio, size, vision). Empirically, our analysis is based on multiple case studies with 19 power generators, technology providers, and project developers in the German power sector which we conducted from June 2008 until June 2009. We find that the innovation impact of the EU ETS has remained limited so far because of the scheme’s initial lack in stringency and predictability and the relatively greater importance of context factors. Additionally, the impact varies tremendously across technologies, firms, and innovation dimensions, and is most pronounced for RD&D on carbon capture technologies and corporate procedural change. Our analysis suggests that the EU ETS by itself may not provide sufficient incentives for fundamental changes in corporate climate innovation activities at a level adequate for reaching political long-term targets. Based on the study’s findings, we derive a set of policy and research recommendations. --EU ETS,emission trading,innovation,technological change,adoption,diffusion,organizational change,power sector

Current Advancements of and Future Developments for Fourth Party Logistics in a Digital Future

This paper aims to analyze the potential future of the 4PL concept based on expert opinions with special regard to the influence of digitalization coming with a disruptive trans-formation of supply chains. Service arrangements, provider capabilities and benefits resulting from a 4PL partnership are compared in current and future configurations. The research follows an explorative mixed methods approach with semi structured interviews followed by an expert panel. This builds a basis for an online survey questionnaire to inquire on important future aspects for the 4PL concept by a sample of respondents from multinational companies. Our results show a clear trend away from simply organizing transportation and logistics activities towards the provision of an IT platform as well as further value-added service activities such as planning, analytics and monitoring. Along with this, IT capabilities appear to be an important differentiator for 4PL providers in the future. Moreover, relationships between 4PL providers and their clients become closer and more strategic, which leads to a customer valuing not only direct cost reductions but rather improvements resulting from optimized operations through superior analysis and planning functions

Two Essays on Investors\u27 Attention to Economically Linked Firms

My first essay examines the degree to which the market prices of publicly traded firms reflect and respond to new information regarding the economic viability and vitality of organizations to which they are strategically linked. More specifically, I exploit the uniquely transparent nature of the lessor-lessee relationship across commercial real estate markets to evaluate whether future returns to real estate investment trusts (REITs) are systematically affected by the financial return performance and/or operational opacity of the tenants who lease their investment properties. Using a hand collected data set identifying the principal tenants of 96 publicly traded REITs, I find those firms with the best performing tenants generate annualized abnormal returns which are approximately six percent higher than those realized by REITs with the worst performing tenants. These results are robust to a variety of model specifications, and a closer inspection of the results reveals these performance differentials are consistent with emerging evidence across the literature suggesting investors\u27 limited attention materially influences the return predictability of assets. With respect to the current investigation, I thus conclude investors\u27 limited attention leads to the failure of REIT prices to fully reflect the valuation implications of their tenants\u27 return performance. My second essay investigates how sophisticated investors, such as short sellers, trade on information along the supply chain. Short sellers are known to be generally better informed than common investors. Given the economic linkages that exist between the suppliers and customers, one would expect short sellers to trade on such information. My results indicate that short interest predicts unexpected earnings news, consistent with short sellers extracting information from economic relationships. When I evaluate stock return and short interests in regression analysis, I find strong negative relation between short interest in supplier firm and the future stock returns for the customer firm for the return in the next month. The negative relation persists for twelve months. I find similar results from portfolio approach. I argue that one plausible channel that explains the information content of supplier (customer) firm\u27s short interest for the customer (supplier) firms is short sale constraints on the customer (supplier) firms. My results are consistent with this explanation. Overall, my findings suggest that short sellers play an important role in the price discovery of related firms on supply chain, beyond their direct effects documented previously

The Performance of Institutional Investor Trades Across the Supply Chain

In this paper I investigate institutional ownership and trading across the supply chain. I find that institutions are more likely to own stock in a supplier firm, if they own stock in an economically linked customer firm. Institutions with stock in a pair of customer-supplier linked firms (i.e. joint owners) experience abnormal trading profits in supplier stocks. The magnitude of trading profits increases when institutions own a larger stake in the customer and when the supplier relies upon a concentrated customer base for sales revenue. Furthermore, I document that joint owner trading predicts unexpected earnings news, consistent with these institutional investors extracting material information from economic relationships. The results show that the supply chain is a rich source of information through which some skilled traders can forecast firm fundamentals and realize trading profits

The role of biomass in the renewable energy system

Europe is striving for zero carbon electricity production by 2050 in order to avoid dangerous climate change. To meet this target a large variety of options is being explored. Biomass is such an option and should be given serious consideration. In this paper the potential role of biomass in a NW-European electricity mix is analyzed. The situation in NW-Europe is unique since it is a region which is a fore runner in renewable technology promotion but also an area with little sun, almost no potential for hydro and a lot of wind. This will result in a substantial need for non-intermittent low-carbon options such as biomass. The benefits and issues related to biomass are discussed in detail from both an environmental and an economic perspective. The former will focus on the life cycle of a biomass pellet supply chain, from the growth of the trees down to the burning of the pellets on site. The latter will provide detailed insights on the levelized cost of electricity for biomass and the role of biomass as a grid stabilizer in high intermittent scenarios. During the discussion, biomass will be compared to other competing electricity technologies to have a full understanding of its advantages and drawbacks. We find that biomass can play a very important role in the future low carbon electricity mix, the main bottleneck being the supply of large amounts of sustainably produced feedstock