Hedging with CO2 allowances: the ECX market

We investigate and empirically estimate optimal hedge ratios, for the first time, in the EU ETS carbon market. Minimum variance hedge ratios are conditionally estimated with multivariate GARCH models, and unconditionally by OLS and the naïve strategy for the European Climate Exchange (ECX) market in the period 2005-2009. Also, utility gains are considered in order to take into account risk-return considerations. Empirical results indicate that dynamic hedging provides superior gains (in reducing the variance portfolio) compared to those obtained from static hedging, when adjustment costs are not taken into account. Moreover, results improve when the leptokurtic characteristics of the data are into consideration through distributions. Results are always compared in and out of sample, suggesting also that utility gains increase with investor's increased preference over risk.CO2 Emission Allowances; Dynamic Hedging; Futures Prices; Risk Management; Spot Prices

CO2 spot and futures price analysis for EEX and ECX

In this work we analyze, explore and measure two of the most important concepts for the theory of storable commodity markets. After analyzing the statistical properties of spot and futures EU ETS allowances for Germany and France, we model and test the risk premium and convenience yield for CO2 contracts accordingly to previous economic theories, for the period 2005-2009. Results indicate that convenience yields are positively related to the spot CO2 return while being negatively influenced by the spot volatility. This negative impact of spot volatility is also verified for the risk premium, with the latter varying positively with time to maturity. Contradicting previous empirical findings, we found only a positive influence of the convenience yield on the risk premium for the ECX French market and for Phase II contracts, leading us to conclude that results are Phase, market and data span dependent. Moreover, results are independent on the volatility forecast used and important for risk management purposes for allowances markets participants. Moreover, day-ahead markets for CO2 are in "normal contango" for the entire data period under analysis, contrary to previous empirical findings for the allowances market.CO2 Emission Allowances; Volatility; Volume; Maturity; Convenience Yield; Risk Premium; Spot Prices; Futures Prices

SEARCHING FOR SECTORAL PATTERNS OF INNOVATION IN EUROPEAN MANUFACTURING INDUSTRY

The present paper is conducted under the research project “Enterprise of the Future: Trends and Scenarios towards Competitiveness” which attempts to disclosure determinants of future enterprise competitiveness. Innovation is not only a must today but also an imperative in future competitiveness scenarios. In modern evolutionary economics it is argued that sector-specific factors are one of the key factors explaining innovative behaviour and performance of firms. Several contributions have pointed that industries largely differ in terms of knowledge base and technological sources, opportunities and appropriation of innovative activities, technological trajectories and firms’ strategies. Using as background Pavitt’s taxonomy, this paper explores the nature, extent and sources of variety of innovation in the manufacturing industry, aiming at identifying common patterns across industries, and sectoral patterns across countries. This paper presents evidence based on the aggregated results of the last IV Community Innovation Survey released by EUROSTAT (CIS4), for which data is available for a number of industries and countries.innovation, manufacturing industry, Community Innovation survey CIS

Modeling Overstock

Two main problems have been emerging in supply chain management: the increasing pressure to reduce working capital and the growing variety of products. Most of the popular indicators have been developed based on a controlled environment. A new indicator is now proposed, based on the uncertainty of the demand, the flexibility of the supply chains, the evolution of the products lifecycle and the fulfillment of a required service level. The model to support the indicator will be developed within the real options approach.overstock, stock management, real options

Market orientation in the non-profit sector: a resource dependence perspective

In the context of an increasingly competitive environment in which organisations are compelled to manage their resources and capabilities in more efficient and effective ways, the concept of market orientation has been acknowledged as highly important in the marketing and management literature. The existing literature, however, has mainly been focused on the for-profit sector and, to our best knowledge, little research has been undertaken in other organisational contexts, such as the non-profit sector. Given the specificity of NPOs and the increasingly demanding resource environments in which these organisations operate, thepresent study examines the extent to which resource dependence impacts the market orientation construct. The findings suggest that resource dependence has proven to provide important insights for gaining a better understanding of market orientation although this concept needs to be reassessed in the specific context of non-profit organisations. The paper concludes with a series of implications for theory and practice.NPOs, Market Orientation, Resource Dependence Theory

The impact of renewable energy sources on economic growth and CO2 emissions - a SVAR approach

Over the last years renewable energy sources (RES) have increased their share on electricity generation of most developed economies due to environmental and security of supply concerns. The aim of this paper was to analyze how an increasing share of RES on electricity generation (RES-E) affects Gross Domestic Product (GDP) and carbon dioxide (CO2) emissions. Several methodologies could be used for this purpose. The Structural Vector Autoregressive (SVAR) methodology considers the interactions among all variables in the model and is well suited to predict the effects of specific policy actions or important changes in the economy. Therefore, we chose to implement this methodology. We used a 3 variable SVAR model for a sample of four countries along the period 1960-2004. The existence of unit roots was tested to infer the stationarity of the variables. The countries chosen have rather different levels of economic development and social and economic structures but a common effort of investment in RES in the last decades. Through the impulse response functions (IRF), the SVAR estimation showed that, for all countries in the sample, except for the USA, the increasing RES-E share had economic costs in terms of GDP per capita. As expected, there was also an evident decrease of CO2 emissions per capita. The variance decomposition showed that a significant part of the forecast error variance of GDP per capita and a relatively smaller part of the forecast error variance of CO2 per capita were explained by the share of RES-E.Renewables, economic growth, CO2 emissions, SVAR

Composition of an Optimal Portfolio in the Capital Market - Elton & Gruber Model in Portugal’s Capital Market

: In order to maximize their utility function, investors select some assets over others by choosing the ideal portfolio that will maximize their wealth. Each asset is chosen taking into account the relationship between the risk of that particular investment (usually measured by variance)- and the return it can offer, as well as the risk between this and other assets (as measured by covariance). The purpose of this work was to build an optimal portfolio using data on PSI-20's stock prices (2008-2016) where investors are aware of risk and want to minimize it. For this purpose, an optimal portfolio’s comparison in the period between 2004-2007 was conducted. This period was referred to as the financial pre-crisis, compared to the optimal portfolio obtained in the period after the financial crisis (2008-2016). The methodology used to estimate the expected profitability of each asset that makes up the PSI-20 was obtained by extracting the historical quotations from the Euronext Lisbon website. The Elton & Gruber model was used in order to determine the optimal portfolio, as well as the assets that should be part of it. In the period after the financial crisis, it can be verified in the optimal portfolio’s composition that, in the periods after the financial crisis and the financial crisis, there were no stocks to be included in the optimal portfolio, and an analysis in smaller periods was made. In the post financial crisis period actions were found with an attractiveness index superior to the cut-off point, which would lead them to be included in the optimal portfolio, and it was verified that the large distribution sector with (32.15%) has the greatest weight in the optimal portfolio, considering also the Oil and Gas (19.95%), Banking (11.84%) and Production (8.09%) sectors. While addressing shorter periods in pre financial crisis period, no asset was included in the optimal portfolio’s constitution.info:eu-repo/semantics/publishedVersio

Convergência real e infra-estruturas

Using panel data, this paper explores the role of infrastructure and human capital in the convergence of income levels and growth in the European Union, during the period 1960-2000. According to the neo-classical theory diminishing returns of capital result in poor economies growing faster than rich economies. The findings suggest that it is difficult to reject the hypothesis of non-convergence in per capita incomes of UE countries, but the results do not support the hypothesis that the speed of convergence is affected by infrastructures.GDP growth, convergence, infrastructure

PACE: Simple Multi-hop Scheduling for Single-radio 802.11-based Stub Wireless Mesh Networks

IEEE 802.11-based Stub Wireless Mesh Networks (WMNs) are a cost-effective and flexible solution to extend wired network infrastructures. Yet, they suffer from two major problems: inefficiency and unfairness. A number of approaches have been proposed to tackle these problems, but they are too restrictive, highly complex, or require time synchronization and modifications to the IEEE 802.11 MAC. PACE is a simple multi-hop scheduling mechanism for Stub WMNs overlaid on the IEEE 802.11 MAC that jointly addresses the inefficiency and unfairness problems. It limits transmissions to a single mesh node at each time and ensures that each node has the opportunity to transmit a packet in each network-wide transmission round. Simulation results demonstrate that PACE can achieve optimal network capacity utilization and greatly outperforms state of the art CSMA/CA-based solutions as far as goodput, delay, and fairness are concerned

Análise de percepção musical usando Sistemas de Alta Fidelidade

Trabalho apresentado no 31º SEURS - Seminário de Extensão Universitária da Região Sul, realizado em Florianópolis, SC, no período de 04 a 07 de agosto de 2013 - Universidade Federal de Santa Catarina