Endogenous equilibria in liquid markets with frictions and boundedly rational agents

In this paper we propose a simple binary mean field game, where N agents may decide whether to trade or not a share of a risky asset in a liquid market. The asset's returns are endogenously determined taking into account demand and transaction costs. Agents' utility depends on the aggregate demand, which is determined by all agents' observed and forecasted actions. Agents are boundedly rational in the sense that they can go wrong choosing their optimal strategy. The explicit dependence on past actions generates endogenous dynamics of the system. We, firstly, study under a rather general setting (risk attitudes, pricing rules and noises) the aggregate demand for the asset, the emerging returns and the structure of the equilibria of the asymptotic game. It is shown that multiple Nash equilibria may arise. Stability conditions are characterized, in particular boom and crash cycles are detected. Then we precisely analyze properties of equilibria under significant examples, performing comparative statics exercises and showing the stabilizing property of exogenous transaction costs

Harmful Elements in Estuarine and Coastal Systems

Estuaries and coastal zones are dynamic transitional systems which provide many economic and ecological benefits to humans, but also are an ideal habitat for other organisms as well. These areas are becoming contaminated by various anthropogenic activities due to a quick economic growth and urbanization. This chapter explores the sources, chemical speciation, sediment accumulation and removal mechanisms of the harmful elements in estuarine and coastal seawaters. It also describes the effects of toxic elements on aquatic flora and fauna. Finally, the toxic element pollution of the Venice Lagoon, a transitional water body located in the northeastern part of Italy, is discussed as a case study, by presenting the procedures adopted to measure the extent of the pollution, the impacts on organisms and the restoration activities

The relationship between day-ahead and future prices in electricity markets: An empirical analysis on Italy, France, Germany, and Switzerland

We evaluate the relationship between electricity day-ahead and future prices following the hedging pressure theory, which explains the difference between future prices and expected spot prices regarding market players’ risk aversion. We calculate the sign and intensity of the ex-post risk premia in the electricity market of Italy, France, Switzerland, and Germany during the last decade and for all products traded: monthly, quarterly, and yearly futures and distinguish between base-load and peak-price futures. We test the impact of the trading period on the risk premia in panel regressions, controlling for seasonality and the impact of financial markets’ trades and primary energy prices. We show that, in all countries, there is no convergence of future prices to the underlying day-ahead ones; moreover, for most future contracts, the premium rises as contracts approach delivery. In addition, for Italy and Switzerland, there is an inversion of the sign of the premia (mostly for base-load products). Risk premia are negative at the beginning of the trading period and positive as the delivery period approaches. This indicates that, in these countries, premia are, on average, paid by power producers at the beginning of the period and by suppliers (i.e. power buyers) close to delivery. In contrast, in France and Germany, risk premia are both positive at the beginning and at the end of the trading period, signalling that, on average, buyers are willing to pay a premium to cover price volatility

Quasi-Option Value Under Ambiguity

Rea! investments involving irreversibility and ambiguity embed a positive quasi-option value under ambiguity (q.o.v.a.), which modifies the evaluation ofan investment decision involving depletion ofnatural resources by increasing the value of delaying. Q.o.v.a. depends on the specific decision-maker attitude towards ambiguity, expressed by a capacity on the state space. An empirica! measure of q.o. v .a. is pointed out. Exploiting the properties of a capacity and its conjugate, the relationship has been established between the upper and lower Choquet integrai with respect to a subadditive capacity and the bid and ask price ofthe underlying asset (output) ofthe investment decision. The empirica! measure of q.o.v.a. is defined as the upper bound ofthe opportunity value. As an example, q.o.v.a. is applied to evaluate an off-shore petroleum lease under ambiguity. Citation

Data for: Does energy price affect energy efficiency? Cross-country panel evidence

Dataset used for the article Does energy price affect energy efficiency? Cross-country panel evidence.Dataset: Full dataset.Data source: our elaboration from IEA; Inflationdata.com; Wold Bank.Variables names have been explained in the article

Data for: Does energy price affect energy efficiency? Cross-country panel evidence

Dataset used for the article Does energy price affect energy efficiency? Cross-country panel evidence.Dataset: dataset to perform the structural break testData source: our elaboration from IEA; Inflationdata.com; Wold Bank.Variables names have been explained in the article

Data for: Does energy price affect energy efficiency? Cross-country panel evidence

Dataset used for the article Does energy price affect energy efficiency? Cross-country panel evidence.Dataset: Restricted dataset for Difference GMMData source: our elaboration from IEA; Inflationdata.com; Wold Bank.Variables names have been explained in the article

Data for: Does energy price affect energy efficiency? Cross-country panel evidence

STATA 15 do file of the article: Does energy price affect energy efficiency? Cross-country panel evidenc

Data for: Pricing Reliability Options under different electricity prices'regimes

Matlab codes + data fil

The long-run relationship between the Italian day-ahead and balancing electricity prices

We study the convergence of day-ahead and balancing prices for the Italian power market. The zonal time-series of the prices are evaluated, seasonally adjusted and tested to assess their long-run properties. We focus on the dynamic behavior of the four continental price zones of Italy (North, Central-North, Central-South and South). Using a sample of data that spans the last decade and applying the fractional cointegration methodology, we show the existence of long-run relationships. This signals the existence of convergence between prices in each zone but zone Central-South, where prices are divergent. We also measure the average price difference, and analyse how it evolves over time. Price differences dynamically reduce for all zones except for Central-South. We comment the results and provide an interpretation for the differences across zones. We also discuss policy consequences for both Italian and other markets