Wealth shocks, credit-supply shocks, and asset allocation:evidence from household and firm portfolios

We use a unique dataset with bank clients’ security holdings for all German banks to examine how macroeconomic shocks affect asset allocation preferences of households and non-financial firms. Our analysis focuses on two alternative mechanisms which can influence portfolio choice: wealth shocks, which are represented by the sovereign debt crisis in the Eurozone, and credit-supply shocks which arise from reductions in borrowing abilities during bank distress. We document het- erogeneous responses to these two types of shocks. While households with large holdings of secu- rities from stressed Eurozone countries (Greece, Ireland, Italy, Portugal, and Spain) decrease the degree of concentration in their security portfolio as a result of the Eurozone crisis, non-financial firms with similar levels of holdings from stressed Eurozone countries do not. Credit-supply shocks at the bank level (caused by bank distress) result in lower concentration, for both households and non-financial corporations. We also show that only shocks to corporate credit bear ramifications on bank clients’ portfolio concentration, while shocks in retail credit are inconsequential. Our results are robust to falsification tests, propensity score matching techniques, and instrumental variables estimation.

Predicting practical benefits of dynamic asset ratings of 33kv distribution transformers

This paper reports potential benefits around dynamic thermal rating prediction of primary transformers within Western Power Distribution (WPD) managed Project FALCON (Flexible Approaches to Low Carbon Optimised Networks). Details of the thermal modelling, parameter optimisation and results validation are presented with asset and environmental data (measured and day/week-ahead forecast) which are used for determining dynamic ampacity. Detailed analysis of ratings and benefits and confidence in ability to accurately predict dynamic ratings are presented. Investigating the effect of sustained ONAN rating compared to a dynamic rating shows that there is scope to increase sustained ratings under ONAN operating conditions by up to 10% higher between December and March with a high degree of confidence. However, under high ambient temperature conditions this dynamic rating may also reduce in the summer months.

Weather forecasting to predict practical dynamic asset rating of overhead lines

This paper describes the potential of pre-setting 11kV overhead line ratings over a time period of sufficient length to be useful to the real-time management of overhead lines. This forecast is based on short and long term freely available weather forecasts and is used to help investigate the potential for realising dynamic rating benefits on the electricity network. A comparison between the realisable benefits in ratings using this forecast data, over the period of a year has been undertaken.