Can a habit formation model really explain the Forward Premium Anomaly?

Verdelhan (2009) mostra que desejando-se explicar o comporta- mento do prêmio de risco nos mercados de títulos estrangeiros usando- se o modelo de formação externa de hábitos proposto por Campbell e Cochrane (1999) será necessário especi car o retorno livre de risco de equilíbrio de maneira pró-cíclica. Mostramos que esta especi cação só é possível sobre parâmetros de calibração implausíveis. Ainda no processo de calibração, para a maioria dos parâmetros razoáveis, a razão preço-consumo diverge. Entretanto, adotando a sugestão pro- posta por Verdelhan (2009) - de xar a função sensibilidade (st) no seu valor de steady-state durante a calibração e liberá-la apenas du- rante a simulação dos dados para se garantir taxas livre de risco pró- cíclicas - conseguimos encontrar um valor nito e bem comportado para a razão preço-consumo de equilíbrio e replicar o foward premium anom- aly. Desconsiderando possíveis inconsistências deste procedimento, so- bre retornos livres de risco pró-cíclicos, conforme sugerido por Wachter (2006), o modelo utilizado gera curvas de yields reais decrescentes na maturidade, independentemente do estado da economia - resultado que se opõe à literatura subjacente e aos dados reais sobre yields.

Can a habit formation model really explain the forward premium anomaly?

Verdelhan (2009) shows that if one is to explain the foreign exchange forward premium behavior using Campbell and Cochrane (1999)’s habit formation model one must specify it in such a way to generate pro-cyclical short term risk free rates. At the calibration procedure, we show that this is only possible in Campbell and Cochrane’s framework under implausible parameters specifications given that the price-consumption ratio diverges in almost all parameters sets. We, then, adopt Verdelhan’s shortcut of fixing the sensivity function λ(st) at its steady state level to attain a finite value for the price-consumption ratio and release it in the simulation stage to ensure pro-cyclical risk free rates. Beyond the potential inconsistencies that such procedure may generate, as suggested by Wachter (2006), with procyclical risk free rates the model generates a downward sloped real yield curve, which is at odds with the data.

Development and evaluation of a range anxiety-reducing business model for connected full electric vehicles

This thesis develops and evaluates a business model for connected full electric vehicles (FEV) for the European market. Despite a promoting political environment, various barriers have thus far prevented the FEV from becoming a mass-market vehicle. Besides cost, the most noteworthy of these barriers is represented by range anxiety, a product of FEVs’ limited range, lacking availability of charging infrastructure, and long recharging times. Connected FEVs, which maintain a constant connection to the surrounding infrastructure, appear to be a promising element to overcome drivers’ range anxiety. Yet their successful application requires a well functioning FEV ecosystem which can only be created through the collaboration of various stakeholders such as original equipment manufacturers (OEM), first tier suppliers (FTS), charging infrastructure and service providers (CISP), utilities, communication enablers, and governments. This thesis explores and evaluates how a business model, jointly created by these stakeholders, could look like, i.e. how stakeholders could collaborate in the design of products, services, infrastructure, and advanced mobility management, to meet drivers with a sensible value proposition that is at least equivalent to that of internal combustion engine (ICE) cars. It suggests that this value proposition will be an end-2-end package provided by CISPs or OEMs that comprises mobility packages (incl. pay per mile plans, battery leasing, charging and battery swapping (BS) infrastructure) and FEVs equipped with an on-board unit (OBU) combined with additional services targeted at range anxiety reduction. From a theoretical point of view the thesis answers the question which business model framework is suitable for the development of a holistic, i.e. all stakeholder-comprising business model for connected FEVs and defines such a business model. In doing so the thesis provides the first comprehensive business model related research findings on connected FEVs, as prior works focused on the much less complex scenario featuring only “offline” FEVs.