Energy and carbon prices: a comparison of interactions in the European Union Emissions Trading Scheme and the Western Climate Initiative market

We provide a comparative analysis of how short-run variations in carbon and energy prices relate to each other in the emerging greenhouse gas market in California (Western Climate Initiative [WCI], and the European Union Emission Trading Scheme [EU ETS]). We characterize the relationship between carbon, gas, coal, electricity and gasoline prices and an indicator for economic activity, and present a first analysis of carbon prices in the WCI. We also provide a comparative analysis of the structures of the two markets. We estimate a vector autoregressive model and the impulse--response functions. Our main findings show a positive impact from a carbon shock toward electricity, in both markets, but larger in the WCI electricity price, indicating more efficiency. We propose that the widening of carbon market sectors, namely fuels transport and electricity imports, may contribute to this result. To conclude, the research shows significant and coherent relations between variables in WCI, which demonstrate some degree of success for a first year in operation. Reversely, the EU ETS should complete its intended market reform, to allow for more impact of the carbon price. Finally, in both markets, there is no evidence of carbon pricing depleting economic activity.

On the length of bank-firm relationships: an empirical application to a major French bank

NIPE - WP 01/ 2016

A utilização dos preços de transferência pelas empresas multinacionais como mecanismo de evasão fiscal

Dissertação de mestrado em Direito Tributário e Fiscal

AvBandTest – a Testing Tool for Implementations of Available Band width Estimation Algorithms

This work describes a test tool that allows to make performance tests of different end-to-end available bandwidth estimation algorithms along with their different implementations. The goal of such tests is to find the best-performing algorithm and its implementation and use it in congestion control mechanism for high-performance reliable transport protocols. The main idea of this paper is to describe the options which provide available bandwidth estimation mechanism for highspeed data transport protocols and to develop basic functionality of such test tool with which it will be possible to manage entities of test application on all involved testing hosts, aided by some middleware.

A Grid Supercomputing Enviroment for High Demand Computational Applications

Despite the huge increase in processor and interprocessor network performace, many computational problems remain unsolved due to lack of some critical resources such as floating point sustained performance, memory bandwidth, etc... Examples of these problems are found in areas of climate research, biology, astrophysics, high energy physics (montecarlo simulations) and artificial intelligence, among others. For some of these problems, computing resources of a single supercomputing facility can be 1 or 2 orders of magnitude apart from the resources needed to solve some them. Supercomputer centers have to face an increasing demand on processing performance, with the direct consequence of an increasing number of processors and systems, resulting in a more difficult administration of HPC resources and the need for more physical space, higher electrical power consumption and improved air conditioning, among other problems. Some of the previous problems can´t be easily solved, so grid computing, intended as a technology enabling the addition and consolidation of computing power, can help in solving large scale supercomputing problems. In this document, we describe how 2 supercomputing facilities in Spain joined their resources to solve a problem of this kind. The objectives of this experience were, among others, to demonstrate that such a cooperation can enable the solution of bigger dimension problems and to measure the efficiency that could be achieved. In this document we show some preliminary results of this experience and to what extend these objectives were achieved.

Endogenous integration and welfare in complementary goods markets

This paper analyzes the strategic decision to integrate by firms that produce complementary products. Integration entails bundling pricing. We find out that integration is privately profitable for a high enough degree of product differentiation, that profits of the non-integrated firms decrease, and that consumer surplus need not necessarily increase when firms integrate despite the fact that prices diminish. Thus, integration of a system is welfare-improving for a high enough degree of product differentiation combined with a minimum demand advantage relative to the competing system. Overall, and from a number of extensions undertaken, we conclude that bundling need not be anti-competitive and that integration should be permitted only under some circumstances.

Collusion and fights in an experiment with price-setting firms and production in advance

We present results from 50-round market experiments in which firms decide repeatedly both on price and quantity of a completely perishable good. Each firm has capacity to serve the whole market. The stage game does not have an equilibrium in pure strategies. We run experiments for markets with two and three identical firms. Firms tend to cooperate to avoid fights, but when they fight bankruptcies are rather frequent. On average, pricing behavior is closer to that for pure quantity than for pure price competition and price and efficiency levels are higher for two than for three firms. Consumer surplus increases with the number of firms, but unsold production leads to higher efficiency losses with more firms. Over time prices tend to the highest possible one for markets both with two and three firms.

Valuation of defaultable bonds and debt restructuring

In this paper we develop a contingent valuation model for zero-coupon bonds with default. In order to emphasize the role of maturity time and place of the lender’s claim in the hierarchy of debt of a firm, we consider a firm that issues two bonds with different maturities and different seniorage. The model allows us to analyze the implications of both debt renegotiation and capital structure of a firm on the prices of bonds. We obtain that renegotiation brings about a significant change in the bond prices and that the effect is dispersed through different channels: increasing the value of the firm, reallocating payments, and avoiding costly liquidation. Moreover, the presence of two creditors leads to qualitatively different implications for pricing, while emphasizing the importance of bond covenants and renegotiation of the entire debt.

Price competition under cost uncertainty: A laboratory analysis

We study the relation between the number of firms and price-cost margins under price competition with uncertainty about competitors' costs. We present results of an experiment in which two, three and four identical firms repeatedly interact in this environment. In line with the theoretical prediction, market prices decrease with the number of firms, but on average stay above marginal costs. Pricing is less aggressive in duopolies than in triopolies and tetrapolies. However, independently from the number of firms, pricing is more aggressive than in the theoretical equilibrium. Both the absolute and the relative surpluses increase with the number of firms. Total surplus is close to the equilibrium level, since enhanced consumer surplus through lower prices is counteracted by occasional displacements of the most efficient firm in production.

Asymmetric demand information in uniform and discriminatory call auctions: an experimental analysis motivated by electricity markets

We study the outcomes of experimental multi-unit uniform and discriminatory auctions with demand uncertainty. Our study is motivated by the ongoing debate about market design in the electricity industry. Our main aim is to compare the effect of asymmetric demand-information between sellers on the performance of the two auction institutions. In our baseline conditions all sellers have the same information, whereas in our treatment conditions some sellers have better information than others. In both information conditions we find that average transaction prices and price volatility are not significantly different under the two auction institutions. However, when there is asymmetric information among sellers the discriminatory auction is significantly less efficient. These results are not in line with the typical arguments made in favor of discriminatory pricing in electricity industries; namely, lower consumer prices and less price volatility. Moreover, our results provide some indication that discriminatory auctions reduce technical efficiency relative to uniform auctions.

Estudi sobre equalització electrònica per a sistemes de comunicació per fibra òptica

Estudi realitzat a partir d’una estada a Bell Labs (Lucent Technologies), New Jersey (Estats Units), entre el 15 de setembre de 2005 i el 15 de gener de 2006. Els sistemes de transmissió per fibra òptica fonamenten les principals xarxes de comunicacions. A mesura que la demanda d’ample de banda per usuari creixi, seran necessaris nous sistemes que siguin capaços de cobrir les necessitats a curt i llarg termini. La tecnologia dels sistemes òptics limita fortament la complexitat dels sistemes de transmissió / recepció en comparació, per exemple, als sistemes d’ones de ràdio. La tendència és la de dissenyar sistemes avançats amb detecció directa i mirar d’aplicar tècniques bàsiques de processat del senyal. Una d’aquestes tècniques és l’equalització electrònica, és a dir, fer ús de les tècniques de processament del senyal per tal de compensar la distorsió introduïda pel canal, deguda per una o diverses degradacions típiques: dispersió cromàtica, efectes no lineals, dispersió del mode de polarització (PMD) ... Dins d’un entorn comercial d’empresa, s’ha avaluat el funcionament dels sistemes d’equalització FFE-DFE aixi com MLSE en presència de dispersió cromàtica i/o dispersió del mode de polarització (PMD) en transmissions NRZ/RZ.

Variational inequalities in Hilbert spaces with measures and optimal stopping problems

We study the existence theory for parabolic variational inequalities in weighted L2 spaces with respect to excessive measures associated with a transition semigroup. We characterize the value function of optimal stopping problems for finite and infinite dimensional diffusions as a generalized solution of such a variational inequality. The weighted L2 setting allows us to cover some singular cases, such as optimal stopping for stochastic equations with degenerate diffusion coeficient. As an application of the theory, we consider the pricing of American-style contingent claims. Among others, we treat the cases of assets with stochastic volatility and with path-dependent payoffs.

Stock market volatility and learning

Introducing bounded rationality in a standard consumption-based asset pricing model with time separable preferences strongly improves empirical performance. Learning causes momentum and mean reversion of returns and thereby excess volatility, persistence of price-dividend ratios, long-horizon return predictability and a risk premium, as in the habit model of Campbell and Cochrane (1999), but for lower risk aversion. This is obtained, even though our learning scheme introduces just one free parameter and we only consider learning schemes that imply small deviations from full rationality. The findings are robust to the learning rule used and other model features. What is key is that agents forecast future stock prices using past information on prices.

Disseny de filtres passa banda en l'ordre dels GHz mitjançant acobladors ressonants

L’objectiu d’aquest projecte es basa en l’obtenció de filtres passa banda mitjançant acobladors ressonants en l’ordre dels GHz, amb un ampla de banda fraccional del 30%. En un primer disseny es presentarà l’estudi del coeficient d’acoblament entre partícules ressonants i tot seguit s’introduirà una capacitat interdigital per a augmentar l’acoblament. Mitjançant el nou disseny es demostrarà que es pot arribar a resultats òptims tant en simulacions com a l’hora de fabricar el dispositiu.

Diseño de filtros con topología apilada mediante resonadores FBAR

Els continguts de la memòria es divideixen en dues parts fonamentals, precedides d’una breu explicació on s’introdueix al lector en el tema; primer s’exposen les bases d’un ressonador simple FBAR, d’on s’obtenen equacions de control vitals, i seguidament es plantegen les bases per a un ressonador apilat SCR, derivades de l’estudi previ d’un ressonador simple. La primera part fonamental del treball es centra en l’anàlisi d’un ressonador SCR. Aquest anàlisi es recolza sobre el punt de vista teòric dels paràmetres imatge, el nostre punt de sortida. Aquesta primera part és la més teòrica: obtenció i aplicació dels paràmetres imatge i obtenció dels elements discrets que conformen el circuit equivalent SCR, una xarxa de dos ports. Posteriorment, s’analitza què succeeix modificant els valors dels elements discrets sense variar determinats paràmetres imatge i finalment, es proposa una aproximació per a controlar determinades especificacions de disseny, com són l’ample de banda de transmissió de la xarxa i el factor de qualitat, en funció de les modificacions dels elements discrets. En la segona part s’analitzen, de forma qualitativa, xarxes compostes per diferents ressonadors apilats connectats en cascada. Aquest segon estudi es divideix en dues subparts. En la primera connectem N ressonadors idèntics, plantegem algunes equacions de control i analitzem les respostes. En la segona, es planteja la connexió de dos (N=2) ressonadors diferents amb freqüències de ressonància properes. Aquest segon anàlisi es també totalment qualitatiu, però ens aporta informació que amb la unió de N ressonadors iguals no aconseguíem. Finalitzant aquesta segona part, es planteja l’optimització dels resultats obtinguts per a N=2, mitjançant estructures N=3 ressonadors.