Essays on energy derivatives pricing and financial risk management

This thesis consists of an introductory chapter (essay I) and five more empirical essays on electricity markets and CO2 spot price behaviour, derivatives pricing analysis and hedging. Essay I presents the structure of the thesis and electricity markets functioning and characteristics, as well as the type of products traded, to be analyzed on the following essays. In the second essay we conduct an empirical study on co-movements in electricity markets resorting to wavelet analysis, discussing long-term dynamics and markets integration. Essay three is about hedging performance and multiscale relationships in the German electricity spot and futures markets, also using wavelet analysis. We concentrate the investigation on the relationship between coherence evolution and hedge ratio analysis, on a time-frequency-scale approach, between spot and futures which conditions the effectiveness of the hedging strategy. Essays four, five and six are interrelated between them and with the other two previous essays given the nature of the commodity analyzed, CO2 emission allowances, traded in electricity markets. Relationships between electricity prices, primary energy fuel prices and carbon dioxide permits are analyzed on essay four. The efficiency of the European market for allowances is examined taking into account markets heterogeneity. Essay five analyzes stylized statistical properties of the recent traded asset CO2 emission allowances, for spot and futures returns, examining also the relation linking convenience yield and risk premium, for the German European Energy Exchange (EEX) between October 2005 and October 2009. The study was conducted through empirical estimations of CO2 allowances risk premium, convenience yield, and their relation. Future prices from an ex-post perspective are examined to show evidence for significant negative risk premium, or else a positive forward premium. Finally, essay six analyzes emission allowances futures hedging effectiveness, providing evidence for utility gains increases with investor’s preference over risk. Deregulation of electricity markets has led to higher uncertainty in electricity prices and by presenting these essays we try to shed new lights about structuring, pricing and hedging in this type of markets.

Hospitalização em pessoas idosas : impacto na qualidade de vida

As pessoas idosas são hospitalizadas com mais frequência e por períodos superiores por comparação com pessoas mais novas. A literatura indica que a interação entre idade, patologia e cuidados durante o internamento influencia a perceção de Qualidade de Vida (QV) pela pessoa idosa. Esta investigação analisa a influência da hospitalização na QV e espiritualidade das pessoas idosas e pretende contribuir para melhor compreender a hospitalização na velhice, ajudando a desenvolver medidas que promovam a qualidade dos cuidados a pessoas idosas durante a hospitalização. A amostra compreende 250 participantes (≥65 anos). Administrou-se o EASYcare (Sistema de Avaliação de Pessoas Idosas) e a Escala da Espiritualidade em 3 momentos: admissão, alta e follow-up (6 a 12 meses após a alta). Os principais resultados indicam: i) na admissão, as pessoas idosas mais dependentes tendem a ser viúvas, não praticar exercício físico, sentir-se sozinhas e deprimidas; os independentes tendem a estar mais satisfeitos com a sua habitação e a gerir de forma autónoma as suas finanças, apresentando maior escolaridade e sendo mais novos; ii) na alta, as pessoas idosas diminuem a perceção da qualidade de vida, principalmente com aumento da dependência, diminuição da saúde mental e bem-estar, diminuição da mobilidade e capacidade de cuidar de si; iii) no follow-up, os participantes tendem a ser mais dependentes comparativamente com a admissão; o risco de queda é menor comparativamente com os outros momentos. O modelo preditivo de óbitos indica como principais resultados: falecimento entre admissão e alta tem como fatores protetores rendimentos suficientes e ausência de apoio social; falecimento entre alta e follow-up tem como fatores de risco idade e risco de queda elevado; falecimento entre admissão e follow-up tem como fator protetor antecedentes clínicos do foro cardíaco. As conclusões gerais sustentam a importância do aprofundamento da pesquisa sobre a influência da hospitalização na pessoa idosa na sua qualidade de vida, e a adoção de medidas e estratégias para a promoção da QV durante e após o internamento hospitalar. Estes resultados têm implicações na prática e na elaboração de políticas institucionais, pois permite compreender o impacto da hospitalização nas pessoas idosas, permitindo desenvolver medidas para melhorar os cuidados antes, durante e após o internamento hospitalar. Este estudo permite conhecer as necessidades das pessoas idosas durante o internamento e delinear estratégias para o follow-up, sendo adaptado às especificidades da população idosa Portuguesa.

The economic consequences of Portuguese State’s movement towards business sector

Over the last 36 years, the relationship with the Portuguese state-owned enterprises registered several dynamics: nationalizations, privatizations and corporatization of public services. However, until now the State Business Sector from a national accounts perspective was never analyzed. Based on data collected and compiled for the first time at Statistics Portugal, this PhD thesis aims to test, analyzing in eight dimensions, whether the weight of the State Business Sector increased and if it contributed positively to the Portuguese economy, from 2006 to 2010. In addition to this analysis, an overview of the economic theory of state intervention in the economy, the paradigm changes of public policy in the international context, the evolution of the Portuguese State Business Sector since 1974, accompanied with a business and national accounting perspective between 2006 and 2010, are also presented. The results allow us to conclude that, in general, the weight of the State Business Sector in the Portuguese economy increased and had a tendency of a positive contribution to its economic growth. The State Business Sector also contributed positively to the nominal labour productivity (although with a decreasing trend of contribution to growth over the period under review) and the profitability of the non-financial corporations sector (although impairing the overall ratio of this sector). Nonetheless, the State Business Sector contributed negatively to the fairness in compensation of employees (although with an improvement trend) and to the competitiveness of labour cost, investment and sectorial sustainability of the Portuguese economy (reinforced by a falling trend). The results also suggest that the State Business Sector had an economic behaviour closer to a welfare maximizing model than to a profit maximizing model. This distinct performance with respect to the institutional sector in which is included, highlights the need to study and reassess the relationship of the state with public corporations, in light of agency theory using micro-data. Lastly, contributions to improve the economic performance of the State Business Sector and future prospects of evolution are presented.