A Unified Pricing of Variable Annuity Guarantees under the Optimal Stochastic Control Framework
Directory of Open Access Journals (Sweden)
Pavel V. Shevchenko
2016-07-01
Full Text Available In this paper, we review pricing of the variable annuity living and death guarantees offered to retail investors in many countries. Investors purchase these products to take advantage of market growth and protect savings. We present pricing of these products via an optimal stochastic control framework and review the existing numerical methods. We also discuss pricing under the complete/incomplete financial market models, stochastic mortality and optimal/sub-optimal policyholder behavior, and in the presence of taxes. For numerical valuation of these contracts in the case of simple risky asset process, we develop a direct integration method based on the Gauss-Hermite quadratures with a one-dimensional cubic spline for calculation of the expected contract value, and a bi-cubic spline interpolation for applying the jump conditions across the contract cashflow event times. This method is easier to implement and faster when compared to the partial differential equation methods if the transition density (or its moments of the risky asset underlying the contract is known in closed form between the event times. We present accurate numerical results for pricing of a Guaranteed Minimum Accumulation Benefit (GMAB guarantee available on the market that can serve as a numerical benchmark for practitioners and researchers developing pricing of variable annuity guarantees to assess the accuracy of their numerical implementation.
The Performance of Variable Annuities
Michael J. McNamara; Henry R. Oppenheimer
1991-01-01
Variable annuities have become increasingly important in retirement plans. This paper provides an examination of the investment performance of variable annuities for the period year-end 1973 to year-end 1988. Returns, risk, and selectivity measures are analyzed for the sample of annuities, for individual variable annuities, and for subsamples of annuities with similar portfolio size and turnover. While the investment returns of variable annuities were greater than inflation over the period, t...
Pricing Options and Equity-Indexed Annuities in a Regime-switching Model by Trinomial Tree Method
Directory of Open Access Journals (Sweden)
Fei Lung Yuen
2011-12-01
Full Text Available In this paper we summarize the main idea and results of Yuen and Yang (2009, 2010a, 2010b and provide some results on pricing of Parisian options under the Markov regime-switching model (MRSM. The MRSM allows the parameters of the market model depending on a Markovian process, and the model can reflect the information of the market environment which cannot be modeled solely by linear Gaussian process. However, when the parameters of the stock price model are not constant but governed by a Markovian process, the pricing of the options becomes complex. We present a fast and simple trinomial tree model to price options in MRSM. In recent years, the pricing of modern insurance products, such as Equity-Indexed annuity (EIA and variable annuities (VAs, has become a popular topic. We show here that our trinomial tree model can been used to price EIA with strong path dependent exotic options in the regime switching model.
26 CFR 1.801-7 - Variable annuities.
2010-04-01
... 26 Internal Revenue 8 2010-04-01 2010-04-01 false Variable annuities. 1.801-7 Section 1.801-7...) INCOME TAXES Life Insurance Companies § 1.801-7 Variable annuities. (a) In general. (1) Section 801(g)(1) provides that for purposes of part I, subchapter L, chapter 1 of the Code, an annuity contract includes a...
2010-04-01
...) of the Act during annuity payment period of variable annuity contracts participating in certain... from section 22(e) of the Act during annuity payment period of variable annuity contracts participating... payment period of variable annuity contracts participating in such account, be exempt from the provisions...
Spouses’ Dependence across Generations and Pricing Impact on Reversionary Annuities
Directory of Open Access Journals (Sweden)
Elisa Luciano
2016-05-01
Full Text Available This paper studies the dependence between coupled lives, i.e., the spouses’ dependence, across different generations, and its effects on prices of reversionary annuities in the presence of longevity risk. Longevity risk is represented via a stochastic mortality intensity. We find that a generation-based model is important, since spouses’ dependence decreases when passing from older generations to younger generations. The independence assumption produces quantifiable mispricing of reversionary annuities, with different effects on different generations. The research is conducted using a well-known dataset of double life contracts.
Valuation of large variable annuity portfolios: Monte Carlo simulation and synthetic datasets
Directory of Open Access Journals (Sweden)
Gan Guojun
2017-12-01
Full Text Available Metamodeling techniques have recently been proposed to address the computational issues related to the valuation of large portfolios of variable annuity contracts. However, it is extremely diffcult, if not impossible, for researchers to obtain real datasets frominsurance companies in order to test their metamodeling techniques on such real datasets and publish the results in academic journals. To facilitate the development and dissemination of research related to the effcient valuation of large variable annuity portfolios, this paper creates a large synthetic portfolio of variable annuity contracts based on the properties of real portfolios of variable annuities and implements a simple Monte Carlo simulation engine for valuing the synthetic portfolio. In addition, this paper presents fair market values and Greeks for the synthetic portfolio of variable annuity contracts that are important quantities for managing the financial risks associated with variable annuities. The resulting datasets can be used by researchers to test and compare the performance of various metamodeling techniques.
Institute of Scientific and Technical Information of China (English)
邓庆彪; 李方方
2012-01-01
Insurance Regulatory Commission hasn't allowed the domestic insurance companies issue this type of Variable Annuities. As isthe most popular guarantee on foreign markets, GMWB does well in meeting the needs of retirement income. It is necessary for our market. country to make up how to apply this type of guarantee in our Besides these, GMWB has three important features, which are step-up features, roll-up features and the bonus features. Step-up : If the portfolio does well and the contract value exceeds the guaranteed withdrawal balance, then it is reset higher, equal to the contract value. These resets are allowed at certain intervals. Roll-up : If the insured doesn't withdrawal after the commencement of the extraction crease. Penalty: If the withdrawal amount is greater than the will be deducted the amount of the penalty payment. Now China' Variable Annuities market has just started, period, the guaranteed withdrawal balance will inpercentage agreed in the contract, the excess amount and the insurance companies who got the authorizations are positively preparing for this new product. But there are very few literatures about Variable Annuities, especially the price models of different guarantees, so this paper' studies have a strong practical significance. The article's target is to provide references for the domestic insurance companies on theory and practice. During the first part of this paper, the definition of Variable Annuities and different guarantees are given. The second part reviews literatures on GMWB recent years home and abroad. The third part firstly introduces three common additional terms of GMWB, and then provides a numerical example of the payoff from a GMWB rider on two different sceneries (on good or bad market). Then in the context of good market, we add the step-up features, rollup features and the bonus features into a GMWB rider respectively, and give numerical examples of these. The fourth part gives a pricing model on GMWB
Modelling Callable Annuity Bonds with Interest-Only Optionality
Holst, Anders; Nalholm, Morten
2004-01-01
In this paper an investigation of the pricing of callable annuities with interest-only (I-O) optionality is conducted. First the I-O optionality feature of callable annuities is introduced. Next an algorithm for pricing callable annuities with I-O optionality using the finite difference methodology, is formulated. This is then used to investigate optimal strategies of I-O bonds and impacts on prices from the I-O optionality. It is found that the I-O feature necessitates a simul...
Valuation and Hedging of Variable Annuities in Pension Schemes
Bovenberg, A.L.; van Bilsen, S.; Laeven, R.J.A.
2018-01-01
This paper explores defined ambition pension schemes that provide (deferred) variable annuities. These pension schemes allocate various risks (i.e., real interest rate, expected inflation and stock market risk) to the policyholders on the basis of complete contracts. We show how these variable
Pricing Equity-Indexed Annuities under Stochastic Interest Rates Using Copulas
Directory of Open Access Journals (Sweden)
Patrice Gaillardetz
2010-01-01
Full Text Available We develop a consistent evaluation approach for equity-linked insurance products under stochastic interest rates. This pricing approach requires that the premium information of standard insurance products is given exogenously. In order to evaluate equity-linked products, we derive three martingale probability measures that reproduce the information from standard insurance products, interest rates, and equity index. These risk adjusted martingale probability measures are determined using copula theory and evolve with the stochastic interest rate process. A detailed numerical analysis is performed for existing equity-indexed annuities in the North American market.
Discontinuity of the annuity curves. III. Two types of vital variability in Drosophila melanogaster.
Bychkovskaia, I B; Mylnikov, S V; Mozhaev, G A
2016-01-01
We confirm five-phased construction of Drosophila annuity curves established earlier. Annuity curves were composed of stable five-phase component and variable one. Variable component was due to differences in phase durations. As stable, so variable components were apparent for 60 generations. Stochastic component was described as well. Viability variance which characterize «reaction norm» was apparent for all generation as well. Thus, both types of variability seem to be inherited.
Valuation of Inflation-Linked Annuities in a Lévy Market
Directory of Open Access Journals (Sweden)
Sure Mataramvura
2011-01-01
Full Text Available We study the problem of pricing an inflation adjusted annuity in a forward rates market with jumps. Since the market will be incomplete, we use the minimal fq-martingale measure Qq which we use for computing discounted expectations. We give explicit results for Qq together with explicit results for the price of the annuity.
Malkiel, Burton G.
1979-01-01
The basic provisions of the TIAA-CREF retirement plans are outlined and the impact of inflation and falling stock prices on annuities and bonds are investigated. Major factors that should be considered when allocating contributions to TIAA-CREF funds are discussed. (SF)
On the free boundary of an annuity purchase
De Angelis, Tiziano; Stabile, Gabriele
2017-01-01
It is known that the decision to purchase an annuity may be associated to an optimal stopping problem. However, little is known about optimal strategies, if the mortality force is a generic function of time and if the `subjective' life expectancy of the investor differs from the `objective' one adopted by insurance companies to price annuities. In this paper we address this problem considering an individual who invests in a fund and has the option to convert the fund's value into an annuity a...
Optimal annuity portfolio under inflation risk
DEFF Research Database (Denmark)
Konicz, Agnieszka Karolina; Pisinger, David; Weissensteiner, Alex
2015-01-01
The paper investigates the importance of in ation-linked annuities to individuals facing in ation risk. Given the investment opportunities in nominal, real, and variable annuities, as well as cash and stocks, we investigate the consumption and investment decisions under two different objective fu...... and risk aversion, real annuities are a crucial asset in every portfolio. In addition, without investing in real annuities, the retiree has to rebalance the portfolio more frequently, and still obtains the lower and more volatile real consumption....
Redistribution by insurance market regulation: Analyzing a ban on gender-based retirement annuities.
Finkelstein, Amy; Poterba, James; Rothschild, Casey
2009-01-01
We illustrate how equilibrium screening models can be used to evaluate the economic consequences of insurance market regulation. We calibrate and solve a model of the United Kingdom's compulsory annuity market and examine the impact of gender-based pricing restrictions. We find that the endogenous adjustment of annuity contract menus in response to such restrictions can undo up to half of the redistribution from men to women that would occur with exogenous Social Security-like annuity contracts. Our findings indicate the importance of endogenous contract responses and illustrate the feasibility of employing theoretical insurance market equilibrium models for quantitative policy analysis.
Incorporation of Stochastic Policyholder Behavior in Analytical Pricing of GMABs and GMDBs
Directory of Open Access Journals (Sweden)
Marcos Escobar
2016-11-01
Full Text Available Variable annuities represent certain unit-linked life insurance products offering different types of protection commonly referred to as guaranteed minimum benefits (GMXBs. They are designed for the increasing demand of the customers for private pension provision. In this paper we analytically price variable annuities with guaranteed minimum repayments at maturity and in case of the insured’s death. If the contract is prematurely surrendered, the policyholder is entitled to the current value of the fund account reduced by the prevailing surrender fee. The financial market and the mortality model are affine linear. For the surrender model, a Cox process is deployed whose intensity is given by a deterministic function (s-curve with stochastic inputs from the financial market. So, the policyholders’ surrender behavior depends on the performance of the financial market and is stochastic. The presented pricing scheme incorporates the stochastic surrender behavior of the policyholders and is only based on suitable closed-form approximations.
5 CFR 841.703 - Increases on basic annuities and survivor annuities.
2010-01-01
... 5 Administrative Personnel 2 2010-01-01 2010-01-01 false Increases on basic annuities and survivor annuities. 841.703 Section 841.703 Administrative Personnel OFFICE OF PERSONNEL MANAGEMENT (CONTINUED) CIVIL... Adjustments § 841.703 Increases on basic annuities and survivor annuities. (a) Except as provided in §§ 841...
The Demand for Enhanced Annuities
Schuhmacher, Petra
2008-01-01
In enhanced annuities, the annuity payment depends on one's state of health at some contracted date while in "standard annuities", it does not. The focus of this paper is on an annuity market where "standard" and enhanced annuities areoffered simultaneously. When all insured know equally well on their future health status either enhanced annuities drive standard annuities out of the market or vice versa. Both annuity types can exist simultaneously when the insured know varying exactly on thei...
The cost of Medicaid annuities.
Levy, Robert A; Nyman, John A; Gabay, Mary; Riley, William; Feldman, Roger
2006-01-01
Medicaid annuities are annuities that long-term care recipients use to shelter assets, thereby qualifying them early for Medicaid eligibility. As such, these annuities have the potential to increase Medicaid costs. This study estimates the cost of annuities to the Medicaid program. From a sample of Medicaid applications in five states, we found the rate at which annuities were used and simulated their cost to Medicaid. We estimated that in 2004, Medicaid annuities cost Medicaid about 197 million dollars, which represented a small proportion of Medicaid's almost 50 billion dollars cost for nursing home care.
2010-01-01
... annuity or partially reduced annuity to provide a current spouse annuity. 831.631 Section 831.631...) RETIREMENT Survivor Annuities Post-Retirement Elections § 831.631 Post-retirement election of fully reduced annuity or partially reduced annuity to provide a current spouse annuity. (a) Except as provided in...
2010-01-01
... annuity or partially reduced annuity to provide a former spouse annuity. 831.632 Section 831.632...) RETIREMENT Survivor Annuities Post-Retirement Elections § 831.632 Post-retirement election of fully reduced annuity or partially reduced annuity to provide a former spouse annuity. (a)(1) Except as provided in...
75 FR 64642 - Indexed Annuities
2010-10-20
... 3235-AK16 Indexed Annuities AGENCY: Securities and Exchange Commission. ACTION: Final rule; withdrawal... under the Securities Act of 1933, which defines the terms ``annuity contract'' and ``optional annuity... under the Securities Act of 1933.\\1\\ Rule 151A defines the terms ``annuity contract'' and ``optional...
20 CFR 226.16 - Supplemental annuity.
2010-04-01
... 20 Employees' Benefits 1 2010-04-01 2010-04-01 false Supplemental annuity. 226.16 Section 226.16... EMPLOYEE, SPOUSE, AND DIVORCED SPOUSE ANNUITIES Computing an Employee Annuity § 226.16 Supplemental annuity. A supplemental annuity is payable in addition to tiers I and II and the vested dual benefit to an...
Optimal retirement planning with a focus on single and multilife annuities
DEFF Research Database (Denmark)
Konicz, Agnieszka Karolina; Pisinger, David; Weissensteiner, Alex
or a joint life, and pay xed or variable benets. We further include transaction costs on stocks and bonds, and surrender charges on pure endowments. We show that despite high surrender charges, annuities are the primary asset class in a portfolio, and that annuity income is never fully consumed, but used...... for rebalancing purposes. We argue that the optimal retirement product for a household is much more complex than any of those available in the market. Every household should be oered an annuity tailored to its needs, using a unique combination of assets and mortality protection levels....
Optimal retirement planning with a focus on single and multilife annuities
DEFF Research Database (Denmark)
Konicz, Agnieszka Karolina; Weissensteiner, Alex
a single or a joint life, and pay fixed or variable benefits. We further include transaction costs on stocks and bonds, and surrender charges on pure endowments. We show that despite high surrender charges, annuities are the primary asset class in a portfolio, and that annuity income is never fully...... consumed, but used for rebalancing purposes. We argue that the optimal retirement product for a household is much more complex than any of those available in the market. Every household should be offered an annuity tailored to its needs, using a unique combination of assets and mortality protection levels....
26 CFR 20.2039-2 - Annuities under “qualified plans” and section 403(b) annuity contracts.
2010-04-01
... 26 Internal Revenue 14 2010-04-01 2010-04-01 false Annuities under âqualified plansâ and section 403(b) annuity contracts. 20.2039-2 Section 20.2039-2 Internal Revenue INTERNAL REVENUE SERVICE... AUGUST 16, 1954 Gross Estate § 20.2039-2 Annuities under “qualified plans” and section 403(b) annuity...
20 CFR 234.33 - Survivor annuities.
2010-04-01
... 20 Employees' Benefits 1 2010-04-01 2010-04-01 false Survivor annuities. 234.33 Section 234.33 Employees' Benefits RAILROAD RETIREMENT BOARD REGULATIONS UNDER THE RAILROAD RETIREMENT ACT LUMP-SUM PAYMENTS Annuities Due but Unpaid at Death § 234.33 Survivor annuities. Any survivor annuity which is...
5 CFR 831.702 - Adjustment of annuities.
2010-01-01
... 5 Administrative Personnel 2 2010-01-01 2010-01-01 false Adjustment of annuities. 831.702 Section... (CONTINUED) RETIREMENT Computation of Annuities § 831.702 Adjustment of annuities. (a)(1) An annuity which... benefit shall require a corresponding deduction in the civil service annuity. (3) Any cost-of-living...
5 CFR 843.504 - Rate of annuity.
2010-01-01
... 5 Administrative Personnel 2 2010-01-01 2010-01-01 false Rate of annuity. 843.504 Section 843.504... EMPLOYEES RETIREMENT SYSTEM-DEATH BENEFITS AND EMPLOYEE REFUNDS Insurable Interest Annuities § 843.504 Rate of annuity. The amount of an annuity under this subpart is 55 percent of the retiree's annuity after...
5 CFR 831.673 - Rates of child annuities.
2010-01-01
... 5 Administrative Personnel 2 2010-01-01 2010-01-01 false Rates of child annuities. 831.673 Section... (CONTINUED) RETIREMENT Survivor Annuities Children's Annuities § 831.673 Rates of child annuities. (a) (1) The rate of annuity payable to a child survivor whose annuity commenced before February 27, 1986, is...
32 CFR 48.502 - Effective date of annuity.
2010-07-01
... 32 National Defense 1 2010-07-01 2010-07-01 false Effective date of annuity. 48.502 Section 48.502... RETIRED SERVICEMAN'S FAMILY PROTECTION PLAN Annuity § 48.502 Effective date of annuity. All annuities..., except that no annuity shall accrue or be paid for the month in which entitlement to that annuity...
2010-01-01
... 5 Administrative Personnel 3 2010-01-01 2010-01-01 false Annuities. 1650.14 Section 1650.14... SAVINGS PLAN Post-Employment Withdrawals § 1650.14 Annuities. (a) A participant electing a full post-employment withdrawal can use all or a portion of his or her account balance to purchase a life annuity. The...
20 CFR 227.2 - Initial supplemental annuity rate.
2010-04-01
... 20 Employees' Benefits 1 2010-04-01 2010-04-01 false Initial supplemental annuity rate. 227.2... COMPUTING SUPPLEMENTAL ANNUITIES § 227.2 Initial supplemental annuity rate. The supplemental annuity rate... supplemental annuity rate is $43 for an employee with 30 or more years of service. ...
5 CFR 838.303 - Expressly dividing employee annuity.
2010-01-01
... 5 Administrative Personnel 2 2010-01-01 2010-01-01 false Expressly dividing employee annuity. 838... Employee Annuities § 838.303 Expressly dividing employee annuity. (a) A court order directed at employee annuity is not a court order acceptable for processing unless it expressly divides the employee annuity as...
5 CFR 843.313 - Elections between survivor annuities.
2010-01-01
... 5 Administrative Personnel 2 2010-01-01 2010-01-01 false Elections between survivor annuities. 843... Former Spouse Benefits § 843.313 Elections between survivor annuities. (a) A current spouse annuity... current spouse annuity instead of any other payments (except any accrued but unpaid annuity and any unpaid...
5 CFR 843.409 - Rates of annuities.
2010-01-01
... 5 Administrative Personnel 2 2010-01-01 2010-01-01 false Rates of annuities. 843.409 Section 843... (CONTINUED) FEDERAL EMPLOYEES RETIREMENT SYSTEM-DEATH BENEFITS AND EMPLOYEE REFUNDS Child Annuities § 843.409 Rates of annuities. (a) For each month, the amount of annuity payable to each surviving child under this...
20 CFR 226.14 - Employee regular annuity rate.
2010-04-01
... 20 Employees' Benefits 1 2010-04-01 2010-04-01 false Employee regular annuity rate. 226.14 Section... COMPUTING EMPLOYEE, SPOUSE, AND DIVORCED SPOUSE ANNUITIES Computing an Employee Annuity § 226.14 Employee regular annuity rate. The regular annuity rate payable to the employee is the total of the employee tier I...
Variable Pricing Feasibility Assessment
National Research Council Canada - National Science Library
2004-01-01
...) and Willard Bishop Consulting (Barrington, IL) to evaluate the practicality of using a variable pricing system within DeCA to maintain an average of 30 percent customer savings and lower appropriated fund costs...
5 CFR 831.645 - Elections between survivor annuities.
2010-01-01
... 5 Administrative Personnel 2 2010-01-01 2010-01-01 false Elections between survivor annuities. 831... REGULATIONS (CONTINUED) RETIREMENT Survivor Annuities Eligibility § 831.645 Elections between survivor annuities. (a) A current spouse annuity cannot be reinstated under § 831.644 unless— (1) The surviving...
5 CFR 831.2209 - Redetermined annuity after reemployment.
2010-01-01
... 5 Administrative Personnel 2 2010-01-01 2010-01-01 false Redetermined annuity after reemployment... SERVICE REGULATIONS (CONTINUED) RETIREMENT Alternative Forms of Annuities § 831.2209 Redetermined annuity... retirement was reduced by annuity payments that were not reimbursed by the employing agency under section...
2010-04-01
... 26 Internal Revenue 14 2010-04-01 2010-04-01 false Annuities. 20.2039-1 Section 20.2039-1 Internal...; ESTATES OF DECEDENTS DYING AFTER AUGUST 16, 1954 Gross Estate § 20.2039-1 Annuities. (a) In general. A decedent's gross estate includes under section 2039(a) and (b) the value of an annuity or other payment...
5 CFR 831.641 - Division of a survivor annuity.
2010-01-01
... 5 Administrative Personnel 2 2010-01-01 2010-01-01 false Division of a survivor annuity. 831.641... REGULATIONS (CONTINUED) RETIREMENT Survivor Annuities Eligibility § 831.641 Division of a survivor annuity. (a... annuities (not including any benefits based on an election of an insurable interest annuity) payable based...
20 CFR 226.35 - Deductions from regular annuity rate.
2010-04-01
... 20 Employees' Benefits 1 2010-04-01 2010-04-01 false Deductions from regular annuity rate. 226.35... COMPUTING EMPLOYEE, SPOUSE, AND DIVORCED SPOUSE ANNUITIES Computing a Spouse or Divorced Spouse Annuity § 226.35 Deductions from regular annuity rate. The regular annuity rate of the spouse and divorced...
26 CFR 1.408-3 - Individual retirement annuities.
2010-04-01
... 26 Internal Revenue 5 2010-04-01 2010-04-01 false Individual retirement annuities. 1.408-3 Section... (CONTINUED) INCOME TAXES Pension, Profit-Sharing, Stock Bonus Plans, Etc. § 1.408-3 Individual retirement annuities. (a) In general. An individual retirement annuity is an annuity contract or endowment contract...
20 CFR 226.34 - Divorced spouse regular annuity rate.
2010-04-01
... 20 Employees' Benefits 1 2010-04-01 2010-04-01 false Divorced spouse regular annuity rate. 226.34... COMPUTING EMPLOYEE, SPOUSE, AND DIVORCED SPOUSE ANNUITIES Computing a Spouse or Divorced Spouse Annuity § 226.34 Divorced spouse regular annuity rate. The regular annuity rate of a divorced spouse is equal to...
Annuities under random rates of interest - revisited
Burnecki, K.; Marciniuk, A.; Weron, A.
2001-01-01
In the article we consider accumulated values of annuities-certain with yearly payments with independent random interest rates. We focus on annuities with payments varying in arithmetic and geometric progression which are important basic varying annuities (see Kellison, 1991). They appear to be a generalization of the types studied recently by Zaks (2001). We derive, via recursive relationships, mean and variance formulae of the final values of the annuities. As a consequence, we obtain momen...
5 CFR 831.701 - Effective dates of annuities.
2010-01-01
... 5 Administrative Personnel 2 2010-01-01 2010-01-01 false Effective dates of annuities. 831.701... REGULATIONS (CONTINUED) RETIREMENT Computation of Annuities § 831.701 Effective dates of annuities. (a) Except as provided in paragraphs (b) and (c) of this section, an annuity of an employee or Member commences...
32 CFR 48.202 - Limitation on number of annuities.
2010-07-01
... 32 National Defense 1 2010-07-01 2010-07-01 false Limitation on number of annuities. 48.202... on number of annuities. When a member desires to provide both the annuity provided by Option 1 and... each annuity, and the amount of each annuity shall be determined separately. A member may not elect the...
20 CFR 234.32 - Spouse or divorced spouse annuities.
2010-04-01
... 20 Employees' Benefits 1 2010-04-01 2010-04-01 false Spouse or divorced spouse annuities. 234.32... LUMP-SUM PAYMENTS Annuities Due but Unpaid at Death § 234.32 Spouse or divorced spouse annuities. A spouse annuity or divorced spouse annuity which is unpaid at the death of the spouse or divorced spouse...
20 CFR 228.20 - Reduction for an employee annuity.
2010-04-01
... 20 Employees' Benefits 1 2010-04-01 2010-04-01 false Reduction for an employee annuity. 228.20... COMPUTATION OF SURVIVOR ANNUITIES The Tier I Annuity Component § 228.20 Reduction for an employee annuity. (a) General. If an individual is entitled to an annuity as a survivor, and is also entitled to an employee...
2010-01-01
... compute the present value of the deferred annuity without credit for NAFI service determined? 847.907... the present value of the deferred annuity without credit for NAFI service determined? (a) The monthly annuity rate used to compute the present value of the deferred annuity under § 847.906 of this subpart for...
20 CFR 226.33 - Spouse regular annuity rate.
2010-04-01
... 20 Employees' Benefits 1 2010-04-01 2010-04-01 false Spouse regular annuity rate. 226.33 Section... COMPUTING EMPLOYEE, SPOUSE, AND DIVORCED SPOUSE ANNUITIES Computing a Spouse or Divorced Spouse Annuity § 226.33 Spouse regular annuity rate. The final tier I and tier II rates, from §§ 226.30 and 226.32, are...
Federal Tax Implications of Charitable Gift Annuities
Teitell, Conrad
1975-01-01
Surveys the federal tax implications of "immediate" charitable gift annuities (annuity payments beginning within one year of transfer) and "deferred payment" charitable gift annuities (beginning at a specified date), both of which enable individuals to make a charitable gift, retain a form of life income, and achieve federal…
5 CFR 838.625 - Types of annuity.
2010-01-01
... 5 Administrative Personnel 2 2010-01-01 2010-01-01 false Types of annuity. 838.625 Section 838.625... ORDERS AFFECTING RETIREMENT BENEFITS Terminology Used in Court Orders Affecting Employee Annuities or Refunds of Employee Contributions Computation of Benefits § 838.625 Types of annuity. (a) Terms that are...
5 CFR 838.612 - Distinguishing between annuities and contributions.
2010-01-01
... 5 Administrative Personnel 2 2010-01-01 2010-01-01 false Distinguishing between annuities and... Orders Affecting Employee Annuities or Refunds of Employee Contributions Identification of Benefits § 838.612 Distinguishing between annuities and contributions. (a) A court order using “annuities,” “pensions...
Food Prices and Climate Extremes: A Model of Global Grain Price Variability with Storage
Otto, C.; Schewe, J.; Frieler, K.
2015-12-01
Extreme climate events such as droughts, floods, or heat waves affect agricultural production in major cropping regions and therefore impact the world market prices of staple crops. In the last decade, crop prices exhibited two very prominent price peaks in 2007-2008 and 2010-2011, threatening food security especially for poorer countries that are net importers of grain. There is evidence that these spikes in grain prices were at least partly triggered by actual supply shortages and the expectation of bad harvests. However, the response of the market to supply shocks is nonlinear and depends on complex and interlinked processes such as warehousing, speculation, and trade policies. Quantifying the contributions of such different factors to short-term price variability remains difficult, not least because many existing models ignore the role of storage which becomes important on short timescales. This in turn impedes the assessment of future climate change impacts on food prices. Here, we present a simple model of annual world grain prices that integrates grain stocks into the supply and demand functions. This firstly allows us to model explicitly the effect of storage strategies on world market price, and thus, for the first time, to quantify the potential contribution of trade policies to price variability in a simple global framework. Driven only by reported production and by long--term demand trends of the past ca. 40 years, the model reproduces observed variations in both the global storage volume and price of wheat. We demonstrate how recent price peaks can be reproduced by accounting for documented changes in storage strategies and trade policies, contrasting and complementing previous explanations based on different mechanisms such as speculation. Secondly, we show how the integration of storage allows long-term projections of grain price variability under climate change, based on existing crop yield scenarios.
5 CFR 842.705 - Alternative forms of annuities available.
2010-01-01
... 5 Administrative Personnel 2 2010-01-01 2010-01-01 false Alternative forms of annuities available... SERVICE REGULATIONS (CONTINUED) FEDERAL EMPLOYEES RETIREMENT SYSTEM-BASIC ANNUITY Alternative Forms of Annuities § 842.705 Alternative forms of annuities available. (a) An employee or Member who is eligible to...
5 CFR 838.711 - Maximum former spouse survivor annuity.
2010-01-01
... 5 Administrative Personnel 2 2010-01-01 2010-01-01 false Maximum former spouse survivor annuity... Orders Awarding Former Spouse Survivor Annuities Limitations on Survivor Annuities § 838.711 Maximum former spouse survivor annuity. (a) Under CSRS, payments under a court order may not exceed the amount...
5 CFR 842.613 - Division of a survivor annuity.
2010-01-01
... 5 Administrative Personnel 2 2010-01-01 2010-01-01 false Division of a survivor annuity. 842.613... REGULATIONS (CONTINUED) FEDERAL EMPLOYEES RETIREMENT SYSTEM-BASIC ANNUITY Survivor Elections § 842.613 Division of a survivor annuity. (a) The maximum combined total of all current and former spouse annuities...
5 CFR 837.202 - Annuities that terminate on reemployment.
2010-01-01
... 5 Administrative Personnel 2 2010-01-01 2010-01-01 false Annuities that terminate on reemployment... Annuities that terminate on reemployment. (a) FERS annuitants. (1) The annuity of a FERS annuitant who is a... terminates on reemployment. (2) The annuity of a FERS annuitant who is a former military reserve technician...
42 CFR 408.44 - Deduction from civil service annuities.
2010-10-01
... 42 Public Health 2 2010-10-01 2010-10-01 false Deduction from civil service annuities. 408.44... § 408.44 Deduction from civil service annuities. (a) Responsibility for deductions. If an enrollee is... service annuity, the premiums are deducted from that annuity by the Office of Personnel Management (OPM...
20 CFR 226.52 - Total annuity subject to maximum.
2010-04-01
... 20 Employees' Benefits 1 2010-04-01 2010-04-01 false Total annuity subject to maximum. 226.52... COMPUTING EMPLOYEE, SPOUSE, AND DIVORCED SPOUSE ANNUITIES Railroad Retirement Family Maximum § 226.52 Total annuity subject to maximum. The total annuity amount which is compared to the maximum monthly amount to...
Mathematical annuity models application in cash flow analysis ...
African Journals Online (AJOL)
Mathematical annuity models application in cash flow analysis. ... We also compare the cost efficiency between Amortisation and Sinking fund loan repayment as prevalent in financial institutions. Keywords: Annuity, Amortisation, Sinking Fund, Present and Future Value Annuity, Maturity date and Redemption value.
Men, Women, and Life Annuities
King, Francis P.
1976-01-01
A senior research officer of Teacher Insurance and Annuity Association (TIAA) and College Retirement Equities Fund (CREF) discusses the issue of different life annuity benefits to men and women concluding that age and sex are two objective and statistically reliable factors used in determining life expectancy and thus the expected duration of…
Food Price Volatility and Decadal Climate Variability
Brown, M. E.
2013-12-01
The agriculture system is under pressure to increase production every year as global population expands and more people move from a diet mostly made up of grains, to one with more meat, dairy and processed foods. Weather shocks and large changes in international commodity prices in the last decade have increased pressure on local food prices. This paper will review several studies that link climate variability as measured with satellite remote sensing to food price dynamics in 36 developing countries where local monthly food price data is available. The focus of the research is to understand how weather and climate, as measured by variations in the growing season using satellite remote sensing, has affected agricultural production, food prices and access to food in agricultural societies. Economies are vulnerable to extreme weather at multiple levels. Subsistence small holders who hold livestock and consume much of the food they produce are vulnerable to food production variability. The broader society, however, is also vulnerable to extreme weather because of the secondary effects on market functioning, resource availability, and large-scale impacts on employment in trading, trucking and wage labor that are caused by weather-related shocks. Food price variability captures many of these broad impacts and can be used to diagnose weather-related vulnerability across multiple sectors. The paper will trace these connections using market-level data and analysis. The context of the analysis is the humanitarian aid community, using the guidance of the USAID Famine Early Warning Systems Network and the United Nation's World Food Program in their response to food security crises. These organizations have worked over the past three decades to provide baseline information on food production through satellite remote sensing data and agricultural yield models, as well as assessments of food access through a food price database. Econometric models and spatial analysis are used
26 CFR 513.6 - Pensions and life annuities.
2010-04-01
... 26 Internal Revenue 19 2010-04-01 2010-04-01 false Pensions and life annuities. 513.6 Section 513... UNDER TAX CONVENTIONS IRELAND Withholding of Tax § 513.6 Pensions and life annuities. (a) Pensions... rendered thereto in the discharge of governmental functions, and any life annuity, derived from sources...
26 CFR 521.111 - Pensions and life annuities.
2010-04-01
... 26 Internal Revenue 19 2010-04-01 2010-04-01 false Pensions and life annuities. 521.111 Section... Denmark and of Danish Corporations § 521.111 Pensions and life annuities. Under the provisions of Article X(2) of the convention, private pensions and life annuities derived from sources within the United...
26 CFR 1.1021-1 - Sale of annuities.
2010-04-01
... 26 Internal Revenue 11 2010-04-01 2010-04-01 true Sale of annuities. 1.1021-1 Section 1.1021-1...) INCOME TAXES Basis Rules of General Application § 1.1021-1 Sale of annuities. In the case of a transfer for value of an annuity contract to which section 72(g) and paragraph (a) of § 1.72-10 apply, the...
5 CFR 831.613 - Election of insurable interest annuity.
2010-01-01
... 5 Administrative Personnel 2 2010-01-01 2010-01-01 false Election of insurable interest annuity... SERVICE REGULATIONS (CONTINUED) RETIREMENT Survivor Annuities Elections at the Time of Retirement § 831.613 Election of insurable interest annuity. (a) At the time of retirement, an employee or Member in...
26 CFR 509.114 - Private pensions and life annuities.
2010-04-01
... 26 Internal Revenue 19 2010-04-01 2010-04-01 false Private pensions and life annuities. 509.114...) REGULATIONS UNDER TAX CONVENTIONS SWITZERLAND General Income Tax § 509.114 Private pensions and life annuities. (a) General. Private pensions and life annuities derived from sources within the United States and...
5 CFR 831.2204 - Alternative forms of annuities available.
2010-01-01
... 5 Administrative Personnel 2 2010-01-01 2010-01-01 false Alternative forms of annuities available... SERVICE REGULATIONS (CONTINUED) RETIREMENT Alternative Forms of Annuities § 831.2204 Alternative forms of annuities available. (a) An employee or Member who is eligible to make an election under § 831.2203 may...
Directory of Open Access Journals (Sweden)
Aghassi Mkrtchyan
2005-06-01
Full Text Available This paper examines the impact of monetary policy and administrative price adjustments on price variability in a low inflation economy characterized by relatively frequent administrative price adjustments. Fluctuations of market determined prices, prices of agricultural goods in particular, are linked to poor synchronization between administrative price changes and monetary policy. If monetary policy does not account for expected changes in administrative prices, demand for free goods shifts, causing fluctuation of prices for agricultural goods, because the supply of these goods is highly inelastic in Armenia. The findings contribute to a better understanding of agricultural price variability during 1998-2002. The impact of macroeconomic policy and structural adjustments on income distribution and rural poverty incidence are also examined. This research has immediate policy implications, since Armenia will continue to undergo major upward price adjustments of regulated prices, which may have a negative impact on income distribution unless aggregate demand management is changed.
Effect of firm variables on patent price
Directory of Open Access Journals (Sweden)
Shyam Sreekumaran Nair
2012-03-01
Full Text Available In this study, using singleton patent auction price data from Ocean Tomo, LLC, we analyse the effect of firm variables on patent price. Patents owned by small firms attract higher price than patents owned by large firms, if they engage in multi-country filings. The patents owned by small firms get cited more than the patents owned by large firms. The patents owned by individual inventors attract a higher price than the patents owned by organisations when multi-country filings are not included. We believe that the lack of resources is preventing individual inventors from engaging in multi-country filings and maximising the revenue from their invention. A larger representative data should be used to replicate the results before generalising it.
26 CFR 514.6 - Private pensions and life annuities.
2010-04-01
... 26 Internal Revenue 19 2010-04-01 2010-04-01 false Private pensions and life annuities. 514.6...) REGULATIONS UNDER TAX CONVENTIONS FRANCE Withholding of Tax § 514.6 Private pensions and life annuities. (a) Exemption from tax. Private pensions and life annuities as defined in paragraph (d) of this section, derived...
Shang, Ce; Chaloupka, Frank J; Fong, Geoffrey T; Thompson, Mary; O'Connor, Richard J
2015-07-01
Recent studies have shown that more opportunities exist for tax avoidance when cigarette excise tax structure departs from a uniform specific structure. However, the association between tax structure and cigarette price variability has not been thoroughly studied in the existing literature. To examine how cigarette tax structure is associated with price variability. The variability of self-reported prices is measured using the ratios of differences between higher and lower prices to the median price such as the IQR-to-median ratio. We used survey data taken from the International Tobacco Control Policy Evaluation (ITC) Project in 17 countries to conduct the analysis. Cigarette prices were derived using individual purchase information and aggregated to price variability measures for each surveyed country and wave. The effect of tax structures on price variability was estimated using Generalised Estimating Equations after adjusting for year and country attributes. Our study provides empirical evidence of a relationship between tax structure and cigarette price variability. We find that, compared to the specific uniform tax structure, mixed uniform and tiered (specific, ad valorem or mixed) structures are associated with greater price variability (p≤0.01). Moreover, while a greater share of the specific component in total excise taxes is associated with lower price variability (p≤0.05), a tiered tax structure is associated with greater price variability (p≤0.01). The results suggest that a uniform and specific tax structure is the most effective tax structure for reducing tobacco consumption and prevalence by limiting price variability and decreasing opportunities for tax avoidance. Published by the BMJ Publishing Group Limited. For permission to use (where not already granted under a licence) please go to http://group.bmj.com/group/rights-licensing/permissions.
Immunization and Hedging of Post Retirement Income Annuity Products
Directory of Open Access Journals (Sweden)
Changyu Liu
2017-03-01
Full Text Available Designing post retirement benefits requires access to appropriate investment instruments to manage the interest rate and longevity risks. Post retirement benefits are increasingly taken as a form of income benefit, either as a pension or an annuity. Pension funds and life insurers offer annuities generating long term liabilities linked to longevity. Risk management of life annuity portfolios for interest rate risks is well developed but the incorporation of longevity risk has received limited attention. We develop an immunization approach and a delta-gamma based hedging approach to manage the risks of adverse portfolio surplus using stochastic models for mortality and interest rates. We compare and assess the immunization and hedge effectiveness of fixed-income coupon bonds, annuity bonds, as well as longevity bonds, using simulations of the portfolio surplus for an annuity portfolio and a range of risk measures including value-at-risk. We show how fixed-income annuity bonds can more effectively match cash flows and provide additional hedge effectiveness over coupon bonds. Longevity bonds, including deferred longevity bonds, reduce risk significantly compared to coupon and annuity bonds, reflecting the long duration of the typical life annuity and the exposure to longevity risk. Longevity bonds are shown to be effective in immunizing surplus over short and long horizons. Delta gamma hedging is generally only effective over short horizons. The results of the paper have implications for how providers of post retirement income benefit streams can manage risks in demanding conditions where innovation in investment markets can support new products and increase the product range.
26 CFR 11.401(a)-11 - Qualified joint and survivor annuities.
2010-04-01
... 26 Internal Revenue 14 2010-04-01 2010-04-01 false Qualified joint and survivor annuities. 11.401... SECURITY ACT OF 1974 § 11.401(a)-11 Qualified joint and survivor annuities. (a) In general—(1) General rule... annuity (i.e., an annuity requiring survival of the participant or his spouse as a condition for payment...
Price variability and marketing method in non-ferrous metals: Slade's analysis revisited
Gilbert, C.L.; Ferretti, F.
2002-01-01
We examine the impact of the pricing regime on price variability with reference to the non-ferrous metals industry. Theoretical arguments are ambiguous, but suggest that the extent of monopoly power is more important than the pricing regime as a determinant of variability. Slade (Quart. J. Econ. 106
Causal Relationship Between Relative Price Variability and Inflation in Turkey:
Directory of Open Access Journals (Sweden)
Nebiye Yamak
2016-09-01
Full Text Available This study investigates the causal relationship between inflation and relative price variability in Turkey for the period of January 2003-January 2014, by using panel data. In the study, a Granger (1969 non-causality test in heterogeneous panel data models developed by Dumitrescu and Hurlin (2012 is utilized to determine the causal relations between inflation rate relative price variability. The panel data consists of 4123 observations: 133 time observations and 31 cross-section observations. The results of panel causality test indicate that there is a bidirectional causality between inflation rate and relative price variability by not supporting the imperfection information model of Lucas and the menu cost model of Ball and Mankiw.
MACROECONOMIC VARIABLES AND STOCK PRICE VOLATILITY IN NIGERIA
Directory of Open Access Journals (Sweden)
OSAZEE GODWIN OMOROKUNWA
2014-10-01
Full Text Available The purpose of this paper is to examine the relationship between stock price volatility and few macroeconomic variables such as inflation, exchange rate, GDP and interest rate. Annual time series data ranging from 1980 to 2011 was used for this study. The generalized autoregressive conditional heteroskedasticity (GARCH model was used in the empirical analysis. The findings of the study showed that stock prices in Nigeria are volatile. And that past information in the market have effect on stock price volatility in Nigeria. In addition, the study showed that interest rate and exchange have a weak effect on stock price volatility while inflation is the main determinant of stock price volatility in Nigeria. The authors recommend that inflation should be targeted as the main monetary policy aimed at directing the stock market.
Test of arbitrage pricing theory using macroeconomic variables
African Journals Online (AJOL)
Eyerusalem
variables; namely, exchange rate, an index of industrial production, nominal money supply ... Key Words: Arbitrage Pricing, Macroeconomic variables, Stock Market ... or theoretical market indices, where sensitivity to changes in each factor is represented ... Ethiopian Journal of Economics, Volume XXI, No 1, April 2012. 3.
Who foregoes survivor protection in employer-sponsored pension annuities?
Johnson, Richard W; Uccello, Cori E; Goldwyn, Joshua H
2005-02-01
Retirees in traditional pension plans must generally choose between single life annuities, which provide regular payments until death, and joint and survivor annuities, which pay less each month but continue to make payments to the spouse after the death of the retired worker. This article examines the payout decision and measures the share of married retirees with pension annuities who forego survivor protection. The analysis consists of a probit model of the pension payout decision, based on data from the 1992-2000 waves of the Health and Retirement Study. More than one quarter (28%) of married men and two thirds of married women receiving employer-sponsored retirement annuities declined survivor protection. Men with small pensions and limited household wealth, men in better health than their spouses, and men whose spouses have pension coverage from their own employers are more likely than other men to reject survivor protection. Most workers appear to make payout decisions by rationally balancing the costs and benefits of each type of annuity, suggesting that existing measures to encourage joint and survivor annuities are adequate. However, the growth in 401(k) plans, which are generally not covered by existing laws protecting spousal pension rights, may leave widows vulnerable.
28 CFR 50.24 - Annuity broker minimum qualifications.
2010-07-01
... providing annuity brokerage services in connection with structured settlements entered by the United States... insurance company to sell its structured settlement annuity contracts or to act as a structured settlement... substantial experience in each of the past three years in providing structured settlement brokerage services...
Dynamics relationship between stock prices and economic variables in Malaysia
Chun, Ooi Po; Arsad, Zainudin; Huen, Tan Bee
2014-07-01
Knowledge on linkages between stock prices and macroeconomic variables are essential in the formulation of effective monetary policy. This study investigates the relationship between stock prices in Malaysia (KLCI) with four selected macroeconomic variables, namely industrial production index (IPI), quasi money supply (MS2), real exchange rate (REXR) and 3-month Treasury bill (TRB). The variables used in this study are monthly data from 1996 to 2012. Vector error correction (VEC) model and Kalman filter (KF) technique are utilized to assess the impact of macroeconomic variables on the stock prices. The results from the cointegration test revealed that the stock prices and macroeconomic variables are cointegrated. Different from the constant estimate from the static VEC model, the KF estimates noticeably exhibit time-varying attributes over the entire sample period. The varying estimates of the impact coefficients should be better reflect the changing economic environment. Surprisingly, IPI is negatively related to the KLCI with the estimates of the impact slowly increase and become positive in recent years. TRB is found to be generally negatively related to the KLCI with the impact fluctuating along the constant estimate of the VEC model. The KF estimates for REXR and MS2 show a mixture of positive and negative impact on the KLCI. The coefficients of error correction term (ECT) are negative in majority of the sample period, signifying the stock prices responded to stabilize any short term deviation in the economic system. The findings from the KF model indicate that any implication that is based on the usual static model may lead to authorities implementing less appropriate policies.
Optimal retirement planning with a focus on single and joint life annuities
DEFF Research Database (Denmark)
Bell, Agnieszka Karolina Konicz; Pisinger, David; Weissensteiner, Alex
2016-01-01
We optimize the asset allocation, consumption and bequest decisions of a couple with an uncertain lifetime. The asset menu consists of zero coupon bonds and pure endowments with different maturities, whole life annuities and stocks. The pure endowments pay either fixed or variable benefits, and, ...... with different maturities and underlying financial risk....
Impact of US biofuel policy on US corn and gasoline price variability
International Nuclear Information System (INIS)
McPhail, Lihong Lu; Babcock, Bruce A.
2012-01-01
Despite a large number of studies that examine the influence of biofuels and biofuel policy on commodity prices, the impact of biofuel policy on commodity price variability is poorly understood. A good understanding of biofuel policy’s impact on price variability is important for mitigating food insecurity and assisting policy formation. We examine how U.S. ethanol policies such as the Renewable Fuel Standard (RFS) mandates and the blend wall affect the price variability of corn and gasoline. We first present an analytical and graphical framework to identify the effect and then use stochastic partial equilibrium simulation to measure the magnitude of the impacts. We show that RFS mandates and the blend wall both reduce the price elasticity of demand for corn and gasoline and therefore increase the price variability when supply shocks occur to the markets. This has important implications for policy actions with respect to maintaining or changing the current RFS mandates and/or blend wall in the US. -- Highlights: ► The RFS is found to lead to less elastic demand for corn and gasoline. ► Thus the RFS is also found to lead to more volatile corn and gasoline prices when supply shocks occur. ► The ethanol blend wall is found to lead to less elastic corn and gasoline demand. ► Thus the blend wall is also found to lead to more volatile corn and gasoline prices.
2010-01-01
... paragraphs (b) and (c) of this section, when a retiree's marriage terminates after retirement, the retiree... annuity. Such an election must be filed with OPM within 2 years after the retiree's marriage to the former... equal to the difference between the amount of annuity actually paid to the retiree and the amount of...
45 CFR 1627.7 - Tax sheltered annuities, retirement accounts and pensions.
2010-10-01
... 45 Public Welfare 4 2010-10-01 2010-10-01 false Tax sheltered annuities, retirement accounts and... SERVICES CORPORATION SUBGRANTS AND MEMBERSHIP FEES OR DUES § 1627.7 Tax sheltered annuities, retirement... recipient on behalf of its employees for the purpose of contributing to or funding a tax sheltered annuity...
5 CFR 842.407 - Proration of annuity for part-time service.
2010-01-01
... 5 Administrative Personnel 2 2010-01-01 2010-01-01 false Proration of annuity for part-time... Proration of annuity for part-time service. The annuity of an employee whose service includes part-time... pay for full-time service. This amount is then multiplied by the proration factor. The result is the...
20 CFR 216.32 - Who is eligible for a disability annuity.
2010-04-01
.... The Railroad Retirement Act provides two types of disability annuities for employees who have been... part 220 of this chapter, is eligible for a disability annuity if he or she: (1) Has not attained... part 220 of this chapter, is eligible for a disability annuity if he or she: (1) Is under retirement...
Jørgensen, Jesper; Kefalas, Panos
2017-01-01
Background: Cell and gene therapies have the potential to provide therapeutic breakthroughs, but the high costs of researching, developing, manufacturing and delivering them translate into prices that may challenge healthcare budgets. Various measures exist that aim to address the affordability challenge, including reducing price, limiting patient numbers and/or linking remuneration to product performance. Objective: To explore how the net budget impact test recently introduced in England can affect patient access to high-value, one-off cell and gene therapies, and how managed entry agreements can improve access. Methods: We use a hypothetical example where a new high-value, one-off therapy launches in an indication where it displaces a relatively low cost chronic treatment. We calculate the number of patients that can be treated without exceeding the £20 million net budget impact threshold, and compare results for scenarios where a full upfront payment is used, and where annuity-based payments are used. Results : Charging a full upfront payment at the time of treatment can lead to suboptimal patient access. Conclusion: Annuity-based payments in combination with an outcomes-based remuneration scheme reduce consequences of decision uncertainty and can increase patient access, without exceeding the net budget impact test.
Life Insurance and Annuity Demand under Hyperbolic Discounting
Directory of Open Access Journals (Sweden)
Siqi Tang
2018-04-01
Full Text Available In this paper, we analyse and construct a lifetime utility maximisation model with hyperbolic discounting. Within the model, a number of assumptions are made: complete markets, actuarially fair life insurance/annuity is available, and investors have time-dependent preferences. Time dependent preferences are in contrast to the usual case of constant preferences (exponential discounting. We find: (1 investors (realistically demand more life insurance after retirement (in contrast to the standard model, which showed strong demand for life annuities, and annuities are rarely purchased; (2 optimal consumption paths exhibit a humped shape (which is usually only found in incomplete markets under the assumptions of the standard model.
A Spatial Interpolation Framework for Efficient Valuation of Large Portfolios of Variable Annuities
Directory of Open Access Journals (Sweden)
Seyed Amir Hejazi
2017-07-01
Full Text Available Variable Annuity (VA products expose insurance companies to considerable risk becauseof the guarantees they provide to buyers of these products. Managing and hedging these risks requireinsurers to find the values of key risk metrics for a large portfolio of VA products. In practice, manycompanies rely on nested Monte Carlo (MC simulations to find key risk metrics. MC simulations arecomputationally demanding, forcing insurance companies to invest hundreds of thousands of dollars incomputational infrastructure per year. Moreover, existing academic methodologies are focused on fairvaluation of a single VA contract, exploiting ideas in option theory and regression. In most cases, thecomputational complexity of these methods surpasses the computational requirements of MC simulations.Therefore, academic methodologies cannot scale well to large portfolios of VA contracts. In thispaper, we present a framework for valuing such portfolios based on spatial interpolation. We providea comprehensive study of this framework and compare existing interpolation schemes. Our numericalresults show superior performance, in terms of both computational effciency and accuracy, for thesemethods compared to nested MC simulations. We also present insights into the challenge of findingan effective interpolation scheme in this framework, and suggest guidelines that help us build a fullyautomated scheme that is effcient and accurate.
26 CFR 1.401(a)-11 - Qualified joint and survivor annuities.
2010-04-01
... 26 Internal Revenue 5 2010-04-01 2010-04-01 false Qualified joint and survivor annuities. 1.401(a...)-11 Qualified joint and survivor annuities. (a) General rule—(1) Required provisions. A trust, to...), which is a part of a plan providing for the payment of benefits in any form of a life annuity (as...
Directory of Open Access Journals (Sweden)
Raphael T Mpofu
2017-03-01
Full Text Available The paper analyses the association between certain macroeconomic variables and food price inflation, non-food price inflation and overall inflation in Zimbabwe, and also seeks to determine the level of association between these variables, given food security implications and overall well-being of its citizens. The study reveals that during the 2010 to 2016 period, Zimbabwe experienced stable food prices—annual food price inflation for food and non-alcoholic beverages averaged a relatively low growth rate of 0.12% monthly, while non-food inflation monthly growth rate was 0.09% and overall inflation growth rate was 0.11%. Although inflation from 2010 had been declining, of late, the increase in annual inflation has been underpinned by a rise in non-food inflation. Zimbabwe’s annual inflation remains lower than inflation rates in other countries in the region. Despite the increases lately in overall inflation, it remained below zero in January 2016, mostly driven by the depreciation of the South African rand and declining international oil prices. It should also be noted that domestic demand continued to decline in 2015, leading to the observed decline in both food and non-food prices. While food inflation has remained relatively low, it should be noted that non-food expenditures is significant component of the household budget and the rising prices result often lead to declining purchasing power and force households to make difficult choices in terms of their purchases. The findings of the study are food inflation has a low association with the independent variables under study; Zimbabwe broad money supply, rand-dollar exchange rates and the South Africa food inflation. There is, however, a very strong association between non-food inflation and these independent variables, as well as between overall inflation and the independent variables. Given the mostly rural population and the high level of unemployment in Zimbabwe, it can be surmised that
Important variables in explaining real-time peak price in the independent power market of Ontario
International Nuclear Information System (INIS)
Rueda, I.E.A.; Marathe, A.
2005-01-01
This paper uses support vector machines (SVM) based learning algorithm to select important variables that help explain the real-time peak electricity price in the Ontario market. The Ontario market was opened to competition only in May 2002. Due to the limited number of observations available, finding a set of variables that can explain the independent power market of Ontario (IMO) real-time peak price is a significant challenge for the traders and analysts. The kernel regressions of the explanatory variables on the IMO real-time average peak price show that non-linear dependencies exist between the explanatory variables and the IMO price. This non-linear relationship combined with the low variable-observation ratio rule out conventional statistical analysis. Hence, we use an alternative machine learning technique to find the important explanatory variables for the IMO real-time average peak price. SVM sensitivity analysis based results find that the IMO's predispatch average peak price, the actual import peak volume, the peak load of the Ontario market and the net available supply after accounting for load (energy excess) are some of the most important variables in explaining the real-time average peak price in the Ontario electricity market. (author)
International Nuclear Information System (INIS)
Juliusson, E. Asgeir; Gamble, Amelie; Gaerling, Tommy
2007-01-01
The results of a survey of a random sample of 488 Swedish residents showed that a positive attitude towards and preference for a variable price agreement with the incumbent electricity supplier was negatively affected by loss aversion, and a positive attitude also negatively affected by beliefs about price volatility. Although correlated with attitude and preference, age, education, and current choice of a variable price agreement had no independent effects. Income and current electricity costs had no effects. (author)
An Introduction to Annuity, Charitable Remainder Trust, and Bequest Programs. Second Edition.
Dunseth, William B.
Information on annuity, charitable remainder trust, and bequest programs is presented. Attention is directed to the growth and basic premises of annuity and life income plans and the question of why an institution should include annuities and charitable trusts in a development program. The various types of plans and gifts and the tax advantages of…
22 CFR 19.10 - Types of annuities to members.
2010-04-01
... 22 Foreign Relations 1 2010-04-01 2010-04-01 false Types of annuities to members. 19.10 Section 19.10 Foreign Relations DEPARTMENT OF STATE PERSONNEL BENEFITS FOR SPOUSES AND FORMER SPOUSES OF PARTICIPANTS IN THE FOREIGN SERVICE RETIREMENT AND DISABILITY SYSTEM § 19.10 Types of annuities to members. ...
Inflation and Intramarket Price Variability: Empirical Evidence from U.S. Food Products
Baek, Jungho
2010-01-01
The objective of this paper is to examine the response of relative price variability on U.S. food markets to food price inflation to identify whether such inflation influences the structure of relative prices between different food products. Results show that changes in food price inflation rate have a strong positive effect on the structure of relative prices across food products. In addition, the expected rate of inflation is found to be more important than the unexpected components as a de...
Frailty and Risk Classification for Life Annuity Portfolios
Directory of Open Access Journals (Sweden)
Annamaria Olivieri
2016-10-01
Full Text Available Life annuities are attractive mainly for healthy people. In order to expand their business, in recent years, some insurers have started offering higher annuity rates to those whose health conditions are critical. Life annuity portfolios are then supposed to become larger and more heterogeneous. With respect to the insurer’s risk profile, there is a trade-off between portfolio size and heterogeneity that we intend to investigate. In performing this, there is a second and possibly more important issue that we address. In actuarial practice, the different mortality levels of the several risk classes are obtained by applying adjustment coefficients to population mortality rates. Such a choice is not supported by a rigorous model. On the other hand, the heterogeneity of a population with respect to mortality can formally be described with a frailty model. We suggest adopting a frailty model for risk classification. We identify risk groups (or classes within the population by assigning specific ranges of values to the frailty within each group. The different levels of mortality of the various groups are based on the conditional probability distributions of the frailty. Annuity rates for each class then can be easily justified, and a comprehensive investigation of insurer’s liabilities can be performed.
Shang, Ce; Chaloupka, Frank J.; Fong, Geoffrey T; Thompson, Mary; O’Connor, Richard J
2015-01-01
Background Recent studies have shown that more opportunities exist for tax avoidance when cigarette excise tax structure departs from a uniform specific structure. However, the association between tax structure and cigarette price variability has not been thoroughly studied in the existing literature. Objective To examine how cigarette tax structure is associated with price variability. The variability of self-reported prices is measured using the ratios of differences between higher and lower prices to the median price such as the IQR-to-median ratio. Methods We used survey data taken from the International Tobacco Control Policy Evaluation (ITC) Project in 17 countries to conduct the analysis. Cigarette prices were derived using individual purchase information and aggregated to price variability measures for each surveyed country and wave. The effect of tax structures on price variability was estimated using Generalised Estimating Equations after adjusting for year and country attributes. Findings Our study provides empirical evidence of a relationship between tax structure and cigarette price variability. We find that, compared to the specific uniform tax structure, mixed uniform and tiered (specific, ad valorem or mixed) structures are associated with greater price variability (p≤0.01). Moreover, while a greater share of the specific component in total excise taxes is associated with lower price variability (p≤0.05), a tiered tax structure is associated with greater price variability (p≤0.01). The results suggest that a uniform and specific tax structure is the most effective tax structure for reducing tobacco consumption and prevalence by limiting price variability and decreasing opportunities for tax avoidance. PMID:25855641
26 CFR 20.2039-5 - Annuities under individual retirement plans.
2010-04-01
... 26 Internal Revenue 14 2010-04-01 2010-04-01 false Annuities under individual retirement plans. 20... § 20.2039-5 Annuities under individual retirement plans. (a) Section 2039(e) exclusion—(1) In general... annuity” receivable by a beneficiary under an individual retirement plan. The term “individual retirement...
Kowalski, Amanda
2016-01-02
Efforts to control medical care costs depend critically on how individuals respond to prices. I estimate the price elasticity of expenditure on medical care using a censored quantile instrumental variable (CQIV) estimator. CQIV allows estimates to vary across the conditional expenditure distribution, relaxes traditional censored model assumptions, and addresses endogeneity with an instrumental variable. My instrumental variable strategy uses a family member's injury to induce variation in an individual's own price. Across the conditional deciles of the expenditure distribution, I find elasticities that vary from -0.76 to -1.49, which are an order of magnitude larger than previous estimates.
Teaching Annuities to Mathematics Majors.
Smart, James R.
1980-01-01
This article contains a sequence of topics from the mathematics of annuities presented in a way that can be used as a brief unit on business applications at the level of intermediate or college algebra. (Author/MK)
Forecasting short-run crude oil price using high- and low-inventory variables
International Nuclear Information System (INIS)
Ye, Michael; Zyren, John; Shore, Joanne
2006-01-01
Since inventories have a lower bound or a minimum operating level, economic literature suggests a nonlinear relationship between inventory level and commodity prices. This was found to be the case in the short-run crude oil market. In order to explore this inventory-price relationship, two nonlinear inventory variables are defined and derived from the monthly normal level and relative level of OECD crude oil inventories from post 1991 Gulf War to October 2003: one for the low inventory state and another for the high inventory state of the crude oil market. Incorporation of low- and high-inventory variables in a single equation model to forecast short-run WTI crude oil prices enhances the model fit and forecast ability
ERISA 4044 (Immediate and Deferred) Annuities
Pension Benefit Guaranty Corporation — The select and ultimate interest rates are issued for the specific purpose of determining the present value of annuities in involuntary and distress terminations of...
Inflation's Impact on Faculty Retirement Annuities
Dorfman, Nancy S.
1975-01-01
The discussion is confined to the Teachers Insurance and Annuity Association (TIAA) and College Retirement Equities Fund (CREF) and how they have remained effective with the rise of inflation. (Author/BP)
Directory of Open Access Journals (Sweden)
Nebiye Yamak
2016-06-01
Full Text Available This study investigates the causal relationship between inflation and relative price variability in Turkey for the period of January 2003-January 2014, by using panel data. In the study, a Granger (1969 non-causality test in heterogeneous panel data models developed by Dumitrescu and Hurlin (2012 is utilized to determine the causal relations between inflation rate relative price variability. The panel data consists of 4123 observations: 133 time observations and 31 cross-section observations. The results of panel causality test indicate that there is a bidirectional causality between inflation rate and relative price variability by not supporting the imperfection information model of Lucas and the menu cost model of Ball and Mankiw.
5 CFR 847.605 - Methodology for determining the present value of annuity with service credit.
2010-01-01
... Retroactive Provisions § 847.605 Methodology for determining the present value of annuity with service credit. (a) OPM will determine the present value of the annuity including service credit for NAFI service..., the present value under paragraph (a) of this section equals the monthly annuity rate including credit...
Evolution of coupled lives' dependency across generations and pricing impact
Elisa Luciano; Jaap Spreeuw; Elena Vigna
2012-01-01
This paper studies the dependence between coupled lives - both within and across generations - and its effects on prices of reversionary annuities in the presence of longevity risk. Longevity risk is represented via a stochastic mortality intensity. Dependence is modelled through copula functions. We consider Archimedean single and multi-parameter copulas. We find that dependence decreases when passing from older generations to younger generations. Not only the level of dependence but also it...
5 CFR 831.703 - Computation of annuities for part-time service.
2010-01-01
... 5 Administrative Personnel 2 2010-01-01 2010-01-01 false Computation of annuities for part-time... part-time service. (a) Purpose. The computational method in this section shall be used to determine the annuity for an employee who has part-time service on or after April 7, 1986. (b) Definitions. In this...
Who Foregoes Survivor Protection in Employer-Sponsored Pension Annuities? (Brief Article)
Johnson, Richard W.; Uccello, Cori E.; Goldwyn, Joshua H.
2005-01-01
Purpose: Retirees in traditional pension plans must generally choose between single life annuities, which provide regular payments until death, and joint and survivor annuities, which pay less each month but continue to make payments to the spouse after the death of the retired worker. This article examines the payout decision and measures the…
FEDERAL PENSIONS: Judicial Survivors Annuities System Costs
National Research Council Canada - National Science Library
2002-01-01
...) specifying that we review certain aspects of the Judicial Survivors' Annuities System (JSAS), which is one of several survivor benefit plans applicable to particular groups of federal employees...
A New Opportunity: Loans from Annuities.
Salzarulo, W. Peter
1984-01-01
Many faculty members have tax sheltered annuities (TSA). One method of obtaining the use of the funds in a TSA involves treating the amount received from the TSA as a loan rather than as a taxable withdrawal or distribution. (MLW)
DEFF Research Database (Denmark)
Guo, Zhengquan; Wang, Daojuan; Chen, Chong
In recent years, prices of coal and crude oil have fallen significantly. These declines have had a large impact on China’s energy-economy-environment system variables. This paper establishes a computable general equilibrium model to systematically analyse the impact of coal price changes alone...... or the decline of both coal and oil prices on the variables of China's energy-economy-environment system. The results of the analysis show that the decline of the coal price alone or of coal and crude oil prices together will lead to a significant increase in demand for either coal and total energy or coal...
Life expectancy in individuals with type 2 diabetes: implications for annuities.
Price, Hermione C; Clarke, Philip M; Gray, Alastair M; Holman, Rury R
2010-01-01
Insurance companies often offer people with diabetes ''enhanced impaired life annuity'' at preferential rates, in view of their reduced life expectancy. To assess the appropriateness of ''enhanced impaired life annuity'' rates for individuals with type 2 diabetes. Patients. There were 4026 subjects with established type 2 diabetes (but not known cardiovascular or other life-threatening diseases) enrolled into the UK Lipids in Diabetes Study. Measurements. Estimated individual life expectancy using the United Kingdom Prospective Diabetes Study (UKPDS) Outcomes Model. Subjects were a mean (SD) age of 60.7 (8.6) years, had a blood pressure of 141/83 (17/10) mm Hg, total cholesterol level of 4.5 (0.75) mmol/L, HDL cholesterol level of 1.2 (0.29) mmol/L, with median (interquartile range [IQR]) known diabetes duration of 6 (3-11) years, and HbA(1c) of 8.0% (7.2-9.0). Sixty-five percent were male, 91% white, 4% Afro-Caribbean, 5% Indian-Asian, and 15% current smokers. The UKPDS Outcomes Model median (IQR) estimated age at death was 76.6 (73.8-79.5) years compared with 81.6 (79.4-83.2) years, estimated using the UK Government Actuary's Department data for a general population of the same age and gender structure. The median (IQR) difference was 4.3 (2.8-6.1) years, a remaining life expectancy reduction of almost one quarter. The highest value annuity identified, which commences payments immediately for a 60-year-old man with insulin-treated type 2 diabetes investing 100,000, did not reflect this difference, offering 7.4K per year compared with 7.0K per year if not diabetic. The UK Government Actuary's Department data overestimate likely age at death in individuals with type 2 diabetes, and at present, ''enhanced impaired life annuity'' rates do not provide equity for people with type 2 diabetes. Using a diabetes-specific model to estimate life expectancy could provide valuable information to the annuity industry and permit more equitable annuity rates for those with type 2
Timber harvesting with variable prices, costs and interest rates
International Nuclear Information System (INIS)
Penttinen, M.
2000-01-01
This papers solves the optimal harvesting time problem of a non- industrial private forest (NIPF) owner who typically has a forest management plan and merchantable forest stands. The optimal harvesting time is defined in a volatile market situation. The infinite period problem is also formulated to allow for variable stumpage prices and reforestation costs in a two-period framework, the first of which covers the near future with dynamic price and cost functions and the second the rest of the infinite future with trend price and cost functions. The existence and uniqueness of an optimal policy is demonstrated on the basis of the explicit quasi- concavity of the objective functions. First, the solutions are constructed with prices and costs dependent on stand age only. Both cases in which the same prices and costs hold for all periods and cases in which there are dynamic prices and costs in the first period and trend ones in subsequent periods are considered. Second, the age-dependent functions are multiplied separately by the calendar time dependent exponential terms. Solutions are provided both in the case with the same age-dependent functions and the case with dynamic functions for the first period and trend functions for the subsequent periods. The sensitivity and comparative static analyses are studied with respect to the interest rate, price and cost changes, both analytically and numerically. Optimal rotation solutions are presented with alternative competing volume growth functions. Final results are provided by a gross income growth function. Competing optimisation models are discussed, and alternative volume growth models and a value growth model are compared. The key notion of the research is the sensitivity and comparative static analysis of the optimal rotation solutions with respect to roundwood prices, reforestation costs and interest rates. Different local market parameter and alternative growth data estimates are applied in testing the impact of
The Annuity Puzzle Remains a Puzzle
Peijnenburg, J.M.J.; Werker, Bas; Nijman, Theo
We examine incomplete annuity menus and background risk as possible drivers of divergence from full annuitization. Contrary to what is often suggested in the literature, we find that full annuitization remains optimal if saving is possible after retirement. This holds irrespective of whether real or
Health Cost Risk and Optimal Retirement Provision : A Simple Rule for Annuity Demand
Peijnenburg, J.M.J.; Nijman, T.E.; Werker, B.J.M.
2010-01-01
We analyze the effect of health cost risk on optimal annuity demand and consumption/savings decisions. Many retirees are exposed to sizeable out-of-pocket medical expenses, while annuities potentially impair the ability to get liquidity to cover these costs and smooth consumption. We find that if
2010-01-01
... annuity, the retiree must deposit an amount equal to the sum of the monthly differences between the self... marriage to that former spouse) a reduced annuity to provide a current spouse annuity, must deposit an amount equal to the sum of the monthly differences between the self-only annuity and the amount of...
Zvi Bodie
1980-01-01
This paper is organized as follows: The first part of the paper introduces the topic. In the next part, we explore the inadequacies of conventional and equity-based variable annuities in an inflationary environment by contrasting them with a hypothetical PPA. We then try to assess the suitability of money market instruments hedged with commodity futures as the asset base for PPA's, and consider the possibility of having financial institutions offer them to the public. The major conclusion of ...
2012-02-14
... Request; Survey of Nonparticipating Single Premium Group Annuity Rates AGENCY: Pension Benefit Guaranty... rates for pricing annuity contracts. The American Council of Life Insurers conducts the survey for PBGC... annuity markets. To determine these interest rates, PBGC gathers pricing data from insurance companies...
The Volatility of Indonesia Shari’ah Capital Market Stock Price Toward Macro Economics Variable
Directory of Open Access Journals (Sweden)
Helma Malini
2014-08-01
Full Text Available Shari’ah stock market is also affected by many highly interrelated economic, social, political andother factor, same as the conventional stock market, the interaction between macroeconomic variablesand Shari’ah stock market creating volatility in the stock price as a response towards severalshocks. The sensitivity of Shari’ah stock market towards shocks happened related with the futureexpectation of micro and macro factor in one country which can be predict or unpredictable.There are six macroeconomic variables that used in this research; inflation, exchange rate, interestrate, dow jones index, crude oil palm price, and FED rate. Using vector error correction model(VECM, the result shows that domestic macroeconomic variables that significantly affect IndonesiaShari’ah compliance for long term, while for international macroeconomic variables the selectedvariable such as FED rate and Dow Jones Index are not significantly affected Indonesia Shari’ahcompliance both in short term and long term. Keywords: Indonesia Shari’ah compliance, Macro Economic Indicators, Impulse Response Function,Stock Price Volatility
77 FR 5443 - Longevity Annuity Contracts
2012-02-03
... techniques or other forms of information technology; and Estimates of capital or start-up costs and costs of... participant's sole beneficiary, as of the annuity starting date, is his or her spouse and the distributions... there are substantial advantages to modifying the required minimum distribution rules in order to...
Optimizing Wellfield Operation in a Variable Power Price Regime.
Bauer-Gottwein, Peter; Schneider, Raphael; Davidsen, Claus
2016-01-01
Wellfield management is a multiobjective optimization problem. One important objective has been energy efficiency in terms of minimizing the energy footprint (EFP) of delivered water (MWh/m(3) ). However, power systems in most countries are moving in the direction of deregulated markets and price variability is increasing in many markets because of increased penetration of intermittent renewable power sources. In this context the relevant management objective becomes minimizing the cost of electric energy used for pumping and distribution of groundwater from wells rather than minimizing energy use itself. We estimated EFP of pumped water as a function of wellfield pumping rate (EFP-Q relationship) for a wellfield in Denmark using a coupled well and pipe network model. This EFP-Q relationship was subsequently used in a Stochastic Dynamic Programming (SDP) framework to minimize total cost of operating the combined wellfield-storage-demand system over the course of a 2-year planning period based on a time series of observed price on the Danish power market and a deterministic, time-varying hourly water demand. In the SDP setup, hourly pumping rates are the decision variables. Constraints include storage capacity and hourly water demand fulfilment. The SDP was solved for a baseline situation and for five scenario runs representing different EFP-Q relationships and different maximum wellfield pumping rates. Savings were quantified as differences in total cost between the scenario and a constant-rate pumping benchmark. Minor savings up to 10% were found in the baseline scenario, while the scenario with constant EFP and unlimited pumping rate resulted in savings up to 40%. Key factors determining potential cost savings obtained by flexible wellfield operation under a variable power price regime are the shape of the EFP-Q relationship, the maximum feasible pumping rate and the capacity of available storage facilities. © 2015 The Authors. Groundwater published by Wiley
Impact of oil price shocks on selected macroeconomic variables in Nigeria
International Nuclear Information System (INIS)
Iwayemi, Akin; Fowowe, Babajide
2011-01-01
The impact of oil price shocks on the macroeconomy has received a great deal of attention since the 1970 s. Initially, many empirical studies found a significant negative effect between oil price shocks and GDP but more recently, empirical studies have reported an insignificant relationship between oil shocks and the macroeconomy. A key feature of existing research is that it applies predominantly to advanced, oil-importing countries. For oil-exporting countries, different conclusions are expected but this can only be ascertained empirically. This study conducts an empirical analysis of the effects of oil price shocks on a developing country oil-exporter - Nigeria. Our findings showed that oil price shocks do not have a major impact on most macroeconomic variables in Nigeria. The results of the Granger-causality tests, impulse response functions, and variance decomposition analysis all showed that different measures of linear and positive oil shocks have not caused output, government expenditure, inflation, and the real exchange rate. The tests support the existence of asymmetric effects of oil price shocks because we find that negative oil shocks significantly cause output and the real exchange rate. (author)
A summary and update of developing annuities markets : the experience of Chile
Rocha, Roberto; Rudolph, Heinz P.
2010-01-01
The rapid growth of the market for retirement products in Chile has its origins in the pension reform that was implemented in 1981. But the successful development of an active annuity market also reflects many other factors. This paper summarizes and updates an earlier longer study on the development of the Chilean annuity market. The update focuses on the numerous changes that were introd...
2013-08-23
... Disability Annuity Benefit, RI 20-123 AGENCY: U.S. Office of Personnel Management. ACTION: 60-Day notice and... Disability Annuity Benefit, RI 20-123. As required by the Paperwork Reduction Act of 1995, (Pub. L. 104-13... review the computations of disability annuities to include the formulae provided in law for individuals...
Two approximations of the present value distribution of a disability annuity
Spreeuw, Jaap
2006-02-01
The distribution function of the present value of a cash flow can be approximated by means of a distribution function of a random variable, which is also the present value of a sequence of payments, but with a simpler structure. The corresponding random variable has the same expectation as the random variable corresponding to the original distribution function and is a stochastic upper bound of convex order. A sharper upper bound can be obtained if more information about the risk is available. In this paper, it will be shown that such an approach can be adopted for disability annuities (also known as income protection policies) in a three state model under Markov assumptions. Benefits are payable during any spell of disability whilst premiums are only due whenever the insured is healthy. The quality of the two approximations is investigated by comparing the distributions obtained with the one derived from the algorithm presented in the paper by Hesselager and Norberg [Insurance Math. Econom. 18 (1996) 35-42].
2010-10-26
... DEPARTMENT OF THE TREASURY Internal Revenue Service 26 CFR Part 1 [TD 9340] RIN 1545-BB64 Revised Regulations Concerning Section 403(b) Tax-Sheltered Annuity Contracts; Correction AGENCY: Internal Revenue... additional rules relating to annuities payable from a retirement income account. * * * * * 0 Par. 4. Section...
2010-07-01
... purchase annuities. In conducting such a search, a fiduciary must evaluate a number of factors relating to... purchasing an unsafe annuity. In contrast to the above, a fiduciary's decision to purchase more risky, lower... account plan see 29 CFR 2550.404a-4. (b) In General. Generally, when a pension plan purchases an annuity...
Optimizing Wellfield Operation in a Variable Power Price Regime
DEFF Research Database (Denmark)
Bauer-Gottwein, Peter; Schneider, Raphael; Davidsen, Claus
2016-01-01
Wellfield management is a multiobjective optimization problem. One important objective has been energy efficiency in terms of minimizing the energy footprint (EFP) of delivered water (MWh/m3). However, power systems in most countries are moving in the direction of deregulated markets and price...... itself. We estimated EFP of pumped water as a function of wellfield pumping rate (EFP-Q relationship) for a wellfield in Denmark using a coupled well and pipe network model. This EFP-Q relationship was subsequently used in a Stochastic Dynamic Programming (SDP) framework to minimize total cost...... of operating the combined wellfield-storage-demand system over the course of a 2-year planning period based on a time series of observed price on the Danish power market and a deterministic, time-varying hourly water demand. In the SDP setup, hourly pumping rates are the decision variables. Constraints include...
Estimation of Hedonic Single-Family House Price Function Considering Neighborhood Effect Variables
Directory of Open Access Journals (Sweden)
Chihiro Shimizu
2014-05-01
Full Text Available In the formulation of hedonic models, in addition to locational factors and building structures which affect the house prices, the generation of the omitted variable bias is thought to occur in cases when local environmental variables and the individual characteristics of house buyers are not taken into consideration. However, since it is difficult to obtain local environmental information in a small neighborhood unit and to observe individual characteristics of house buyers, these variables have not been sufficiently considered in previous studies. We demonstrated that non-negligible levels of omitted variable bias are generated if these variables are not considered.
Rational and Behavioral Perspectives on the Role of Annuities in Retirement Planning
Jeffrey R. Brown
2007-01-01
This paper discusses the role of annuities in retirement planning. It begins by explaining the basic theory underlying the individual welfare gains available from annuitizing resources in retirement. It then contrasts these findings with the empirical findings that so few consumers behave in a manner that is consistent with them placing a high value on annuities. After reviewing the strengths and weaknesses of the large literature that seeks to reconcile these findings through richer extensio...
Annuitants Added to the Annuity Roll Processing System (ARPS)
Office of Personnel Management — Small table showing the total Civil Service Retirement System (CSRS) and Federal Employees Retirement System (FERS) Annuitants added to the Annuity Roll Processing...
Testing causal relationships between wholesale electricity prices and primary energy prices
International Nuclear Information System (INIS)
Nakajima, Tadahiro; Hamori, Shigeyuki
2013-01-01
We apply the lag-augmented vector autoregression technique to test the Granger-causal relationships among wholesale electricity prices, natural gas prices, and crude oil prices. In addition, by adopting a cross-correlation function approach, we test not only the causality in mean but also the causality in variance between the variables. The results of tests using both techniques show that gas prices Granger-cause electricity prices in mean. We find no Granger-causality in variance among these variables. -- Highlights: •We test the Granger-causality among wholesale electricity and primary energy prices. •We test not only the causality in mean but also the causality in variance. •The results show that gas prices Granger-cause electricity prices in mean. •We find no Granger-causality in variance among these variables
20 CFR 228.40 - Cost of living increase applicable to the tier I annuity component.
2010-04-01
... 20 Employees' Benefits 1 2010-04-01 2010-04-01 false Cost of living increase applicable to the... § 228.40 Cost of living increase applicable to the tier I annuity component. The tier I annuity... the Federal Register annually. The cost-of-living increase is payable beginning with the benefit for...
2010-04-01
... 26 Internal Revenue 5 2010-04-01 2010-04-01 false Pension and annuity plans; contributions in... (CONTINUED) INCOME TAXES Pension, Profit-Sharing, Stock Bonus Plans, Etc. § 1.404(a)-7 Pension and annuity...)(D). When contributions paid by an employer in a taxable year to or under a pension or annuity plan...
Directory of Open Access Journals (Sweden)
Seccia Antonio
2017-01-01
Full Text Available The choice of a bottle of wine is affected by the presence of attributes that are searched by consumers and can be evaluated before the purchase. The aim of the paper is to analyze the effect of some search attributes on wine price variability applying the Hedonic Price Model. It allows explaining how the price of wine varies depending on its main quality attributes. The analysis has been based on a sample of wines made in Puglia, Italian region characterized by a tradition in wine production and consumption. Data have been collected from a wine guidebook considering the years 2008–2013. The study provided a measure of the market value of some search attributes for wines produced in Puglia. Attributes as alcoholic content, age and score given by experts, influence price variability allowing wines to obtain a premium price, such as the most known Protected Designation of Origin (PDO and some Protected Geographical Indication (PGI. The name of the variety seems not to have high influence with the exception of less known and locally grown varieties. Results may be of interest for marketers and policy makers of wine industry. Managerial implications could refer to the importance of differentiation strategies aimed to market segmentation and to the pricing strategy. Policymakers could also find interesting hints about the influence of the different appellations and the importance of minor autochthonous grape varieties.
The quotient of normal random variables and application to asset price fat tails
Caginalp, Carey; Caginalp, Gunduz
2018-06-01
The quotient of random variables with normal distributions is examined and proven to have power law decay, with density f(x) ≃f0x-2, with the coefficient depending on the means and variances of the numerator and denominator and their correlation. We also obtain the conditional probability densities for each of the four quadrants given by the signs of the numerator and denominator for arbitrary correlation ρ ∈ [ - 1 , 1) . For ρ = - 1 we obtain a particularly simple closed form solution for all x ∈ R. The results are applied to a basic issue in economics and finance, namely the density of relative price changes. Classical finance stipulates a normal distribution of relative price changes, though empirical studies suggest a power law at the tail end. By considering the supply and demand in a basic price change model, we prove that the relative price change has density that decays with an x-2 power law. Various parameter limits are established.
Impact of variable renewable production on electricity prices in Germany: a Markov switching model
International Nuclear Information System (INIS)
Martin de Lagarde, Cyril; Lantz, Frederic
2016-01-01
This paper aims at assessing the impact of renewable energy sources (RES) production on electricity spot prices. To do so, we use a two-regime Markov Switching (MS) model, that enables to disentangle the so-called 'merit-order effect' due to wind and solar photovoltaic productions (used in relative share of the electricity demand), depending on the price being high or low. We find that there are effectively two distinct price regimes that are put to light thanks to an inverse hyperbolic sine transformation that allows to treat negative prices. We also show that these two regimes coincide quite well with two regimes for the electricity demand (load). Indeed, when demand is low, prices are low and the merit-order effect is lower than when prices are high, which is consistent with the fact that the inverse supply curve is convex (i.e. has increasing slope). To illustrate this, we computed the mean marginal effects of RES production and load. On average, an increase of 1 GW of wind will decrease the price in regime 1 (resp. 2) by 0.77 euro /MWh (resp. 1 euro /MWh). The influence of solar is slightly weaker, as an extra gigawatt lowers the price of 0.73 euro /MWh in period 1, and 0.96 euro /MWh in regime 2. On the contrary, if the demand increases by 1 GW in regime 1 (resp. 2), the price increases on average by 0.93 euro /MWh (resp. 1.18 euro /MWh). Although we made sure these marginal effects are significantly different from one another, they are much more variable than the estimated coefficients of the model. Also, note that these marginal effects are only valid inside each regime when there is no switching. The latter regime partly corresponds to the high load regime, at the exception of periods during which RES production is high. The impact on volatility could also be observed: the variance of the (transformed) price is higher during the high-price regime than in the low-price one. In addition to the switching of the coefficients, we allowed the probabilities of
Energy Technology Data Exchange (ETDEWEB)
Caviglia-Harris, J.L. [Salisbury University, Salisbury, MD (United States). Dept. of Economics and Finance; Kahn, J.R. [Washington and Lee University, Lexington, VA (United States). Dept. of Economics
2003-07-01
Carbon annuities have been suggested as a means for rewarding landowners for preserving forests and sequestering carbon. Although this is an intuitively appealing approach, the benefits of the sequestration activities have not been compared with the opportunity cost of preserving the forest. This paper represents an initial attempt at analysing how large carbon annuities must be to induce a landowner in the Amazonian rainforest to accept the annuity and leave the forest intact. The benefits of carbon sequestration are computed based on estimates in the literature on the carbon contained in a hectare of rainforest and the damages associated with a ton of carbon emissions. This is compared with information on household income from Rondonia, Brazil. Our results show that, for the majority of our conservative assumptions about the damages of carbon emissions, the magnitude of an annuity is greater than the income from agriculture. For less conservative assumptions about the damages from global warming, a fraction of the annuity would be a sufficient incentive for small- scale farmers to switch to sustainable techniques that leave the forest intact. (author)
2010-04-01
... under the annuity contract. The actuarial present value of any additional benefits described under this... actuarial present value of any additional benefits provided under an annuity contract described in paragraph... beneficiary under the contract and the actuarial present value of the additional benefits is no more than 120...
Do changes in natural gas futures prices influence changes in natural gas spot prices?
International Nuclear Information System (INIS)
Herbert, J.H.
1993-01-01
Data on natural gas futures and spot markets are examined to determine if variability in price on futures markets influences variability in price on spot markets. Using econometric techniques, it is found that changes in futures contract prices do not precede changes in spot market prices. (Author)
Mathematics-for-teaching: Insights from the case of annuities
Directory of Open Access Journals (Sweden)
Craig Pournara
2014-11-01
Full Text Available Shulman’s notations of subject matter knowledge (SMK and pedagogical content knowledge (PCK have been very influential in education research on teachers’ knowledge for teaching. However, there is little empirical evidence in support of these as separate analytical constructs. Furthermore, attempts to distinguish SMK and PCK highlight the complex and multidimensional nature of teachers’ knowledge and hence the difficulty of separating SMK and PCK. The author adopts the notion of mathematics-for-teaching (MfT and argues that teachers’ knowledge for teaching annuities comprises knowledge of mathematical aspects, knowledge of pedagogical aspects and contextual knowledge of finance. Drawing from a larger study in which the author taught a financial mathematics course to pre-service secondary mathematics teachers, four examples of teachers’ knowledge for teaching annuities are identified, each of which illustrates how knowledge of mathematics, knowledge of pedagogy and contextual knowledge of finance are intertwined.
26 CFR 1.404(a)-4 - Pension and annuity plans; limitations under section 404(a)(1)(A).
2010-04-01
... 26 Internal Revenue 5 2010-04-01 2010-04-01 false Pension and annuity plans; limitations under... OF THE TREASURY (CONTINUED) INCOME TAX (CONTINUED) INCOME TAXES Pension, Profit-Sharing, Stock Bonus Plans, Etc. § 1.404(a)-4 Pension and annuity plans; limitations under section 404(a)(1)(A). (a) Subject...
26 CFR 1.404(a)-5 - Pension and annuity plans; limitations under section 404(a)(1)(B).
2010-04-01
... 26 Internal Revenue 5 2010-04-01 2010-04-01 false Pension and annuity plans; limitations under... OF THE TREASURY (CONTINUED) INCOME TAX (CONTINUED) INCOME TAXES Pension, Profit-Sharing, Stock Bonus Plans, Etc. § 1.404(a)-5 Pension and annuity plans; limitations under section 404(a)(1)(B). (a) Subject...
26 CFR 1.404(a)-6 - Pension and annuity plans; limitations under section 404(a)(1)(C).
2010-04-01
... 26 Internal Revenue 5 2010-04-01 2010-04-01 false Pension and annuity plans; limitations under... OF THE TREASURY (CONTINUED) INCOME TAX (CONTINUED) INCOME TAXES Pension, Profit-Sharing, Stock Bonus Plans, Etc. § 1.404(a)-6 Pension and annuity plans; limitations under section 404(a)(1)(C). (a...
Structured settlement annuities, part 1: overview and the underwriting process.
Schmidt, C J; Singer, R B
2000-01-01
Structured settlement underwriting is the underwriting of medically impaired lives for the purchase of an annuity to fund the settlement. Other than risk assessment, structured settlement (SS) underwriting has little in common with traditional life insurance underwriting. Most noteworthy of these differences is the relative lack of actuarial data on which to base decisions about mortality and the necessity for prospective thinking about risk assessment. The purpose of this paper is to provide a foundation for understanding the structured settlement business and to contrast the underwriting of structured settlements with that of traditional life insurance. This is the first part of a two-part article on SS annuities. Part 2 deals with the mortality experience in SS annuitants and the life-table methodology used to calculate life expectancy for annuitants at increased mortality risk.
Optimal Smooth Consumption and Annuity Design
DEFF Research Database (Denmark)
Bruhn, Kenneth; Steffensen, Mogens
2013-01-01
We propose an optimization criterion that yields extraordinary consumption smoothing compared to the well known results of the life-cycle model. Under this criterion we solve the related consumption and investment optimization problem faced by individuals with preferences for intertemporal stabil...... stability in consumption. We find that the consumption and investment patterns demanded under the optimization criterion is in general offered as annuity benefits from products in the class of ‘Formula Based Smoothed Investment-Linked Annuities’....
2011-10-24
...; Comment Request; Survey of Nonparticipating Single Premium Group Annuity Rates AGENCY: Pension Benefit... for pricing annuity contracts. The American Council of Life Insurers conducts this survey for PBGC... markets. To determine these interest rates, PBGC gathers pricing data from insurance companies that are...
THE EFFECT OF MACROECONOMIC VARIABLES ON BANKING STOCK PRICE INDEX IN INDONESIA STOCK EXCHANGE
Directory of Open Access Journals (Sweden)
Laduna R.
2018-01-01
Full Text Available Stock price index can be regarded as a barometer in the measuremet of a nation’s economic condition, besides it can also be used in conducting statistical analysis on the current market. Stock is the proof of one’s share in a company in the form of securities issued by the listed go-public companies. This study was conducted to measure the effect of macroeconomic variables such as inflation, interest rate, and exchange rate on banking stock price index in Indonesia stock exchange or Bursa Efek Indonesia (BEI. The results of study show that inflation and exchange rate posively influence the stock price index. The positive effect of the exchange rate shows that issuers who were positively affected by Rupiah (IDR depreciation appear to be the most dominant group. Meanwhile, the interest rate or Suku Bunga (SBI has a negative effect. Lower interest rate stimulates higher investments and better economic activities which increase the stock price.
Deregulated power prices: comparison of volatility
International Nuclear Information System (INIS)
Li Ying; Flynn, P.C.
2004-01-01
We examine electrical power price variability for 14 deregulated markets. Power price volatility is measured by price velocity, the daily average of the absolute value of price change per hour. Deregulated markets show a wide variability in price velocity. Some price velocity is expected and arises from the daily diurnal price pattern, which differs significantly between markets. Even when the expected daily variability in price is removed, the residual unexpected variability differs between markets. Some deregulated markets, most notably Britain and Spain, show patterns that are predictable and consistent and have low values of unexpected price velocity. These markets create a climate conducive to consumers facing the market through real time pricing and shaping consumption behaviors in response to price changes. Other markets, for example, South Australia and Alberta, have patterns that are inconsistent and irregular, and hence are hard for a customer to interpret; a customer in such a market will have a higher incentive to avoid demand side management and escape risk through hedging mechanisms
A State-Space Estimation of the Lee-Carter Mortality Model and Implications for Annuity Pricing
Man Chung Fung; Gareth W. Peters; Pavel V. Shevchenko
2015-01-01
In this article we investigate a state-space representation of the Lee-Carter model which is a benchmark stochastic mortality model for forecasting age-specific death rates. Existing relevant literature focuses mainly on mortality forecasting or pricing of longevity derivatives, while the full implications and methods of using the state-space representation of the Lee-Carter model in pricing retirement income products is yet to be examined. The main contribution of this article is twofold. Fi...
Analytic bounds and approximations for annuities and Asian options
Vanduffel, S.; Shang, Z.; Henrard, L.; Dhaene, J.; Valdez, E.A.
2008-01-01
Even in case of the Brownian motion as most natural rate of return model it appears too difficult to obtain analytic expressions for most risk measures of constant continuous annuities. In literature the so-called comonotonic approximations have been proposed but these still require the evaluation
2010-01-01
... 5 Administrative Personnel 2 2010-01-01 2010-01-01 false List of Events for Which Inclusion of... of Part 847—List of Events for Which Inclusion of NAFI Service May Affect the Rate of Annuity Payable... of annuity. CSRS disability retirement Commencing date of annuity. 1 FERS disability retirement First...
Demand side management—A simulation of household behavior under variable prices
International Nuclear Information System (INIS)
Gottwalt, Sebastian; Ketter, Wolfgang; Block, Carsten; Collins, John; Weinhardt, Christof
2011-01-01
Within the next years, consumer households will be increasingly equipped with smart metering and intelligent appliances. These technologies are the basis for households to better monitor electricity consumption and to actively control loads in private homes. Demand side management (DSM) can be adopted to private households. We present a simulation model that generates household load profiles under flat tariffs and simulates changes in these profiles when households are equipped with smart appliances and face time-based electricity prices. We investigate the impact of smart appliances and variable prices on electricity bills of a household. We show that for households the savings from equipping them with smart appliances are moderate compared to the required investment. This finding is quite robust with respect to variation of tariff price spreads and to different types of appliance utilization patterns. Finally, our results indicate that electric utilities may face new demand peaks when day-ahead hourly prices are applied. However, a considerable amount of residential load is available for shifting, which is interesting for the utilities to balance demand and supply. - Highlights: ► Our model generates residential load profiles that are based on real world data. ► We simulate changes in load profiles when smart appliances and time-of-use tariffs are applied. ► The economic incentive for households to invest in smart appliances is low. ► Time-of-use tariffs create new, even higher peaks. ► Electric utilities have a large amount of the hourly load available for shifting.
20 CFR 218.43 - When a surviving divorced spouse annuity ends.
2010-04-01
... Act that is equal to or larger than the amount of the full surviving divorced spouse annuity before... which the surviving divorced spouse remarries unless the marriage is to an individual entitled to a...
2010-01-01
..., OPM will determine the present value of the annuity without credit for the NAFI service under... service as of the date of computation under § 847.603 times the present value factor for the retiree's age on that date. (c) In cases in which the annuity is payable to a survivor, the present value under...
2010-01-01
... annuity equal to the amount that the former spouse would have received if the marriage were never... be equal to a prorate share. The marriage began on [insert date].” ¶ 704Award of a fixed monthly... of the former spouse survivor annuity will be equal to a prorata share. The marriage to [former...
International Nuclear Information System (INIS)
Jang, Dongsik; Eom, Jiyong; Jae Park, Min; Jeung Rho, Jae
2016-01-01
To the extent that demand response represents an intentional electricity usage adjustment to price changes or incentive payments, consumers who exhibit more-variable load patterns on normal days may be capable of altering their loads more significantly in response to dynamic pricing plans. This study investigates the variation in the pre-enrollment load patterns of Korean commercial and industrial electricity customers and their impact on event-day loads during a critical peak pricing experiment in the winter of 2013. Contrary to conventional approaches to profiling electricity loads, this study proposes a new clustering technique based on variability indices that collectively represent the potential demand–response resource that these customers would supply. Our analysis reveals that variability in pre-enrollment load patterns does indeed have great predictive power for estimating their impact on demand–response loads. Customers in relatively low-variability clusters provided limited or no response, whereas customers in relatively high-variability clusters consistently presented large load impacts, accounting for most of the program-level peak reductions. This study suggests that dynamic pricing programs themselves may not offer adequate motivation for meaningful adjustments in load patterns, particularly for customers in low-variability clusters. - Highlights: • A method of clustering customers by variability indices is developed. • Customers in high-variability clusters provide substantial peak reductions. • Low-variability clusters exhibit limited reductions. • For low-variability customers, alternative policy instruments is well advised. • A model of discerning customer's demand response potential is suggested.
Sun, Wei; Li, Shiyong
2014-08-01
This paper presents an unobservable single-server queueing system with three types of uncertainty, where the service rate, or waiting cost or service quality is random variable that may obtain n(n > 2) values. The information about the realised values of parameters is only known to the server. We are concerned about the server's behaviour: revealing or concealing the information to customers. The n-value assumption and the server's behaviour enable us to consider various pricing strategies. In this paper, we analyse the effect of information and uncertainty on profits and make comparisons between the profits under different pricing strategies. Moreover, as for parameter variability reflected by the number of each parameter's possible choices n, we observe the effect of variable n on all types of profits and find that revealing the parameter information can much more benefit the server with the increase of n.
Effect of oil price on Nigeria’s food price volatility
Directory of Open Access Journals (Sweden)
Ijeoma C. Nwoko
2016-12-01
Full Text Available This study examines the effect of oil price on the volatility of food price in Nigeria. It specifically considers the long-run, short-run, and causal relationship between these variables. Annual data on oil price and individual prices of maize, rice, sorghum, soya beans, and wheat spanning from 2000 to 2013 were used. The price volatility for each crop was obtained using Generalized Autoregressive Conditional Heteroskedascity (GARCH (1, 1 model. Our measure of oil price is the Refiner acquisition cost of imported crude oil. The Augmented Dickey–Fuller and Phillip–Perron unit root tests show that all the variables are integrated of order one, I (1. Therefore, we use the Johansen co-integration test to examine the long-run relationship. Our results show that there is no long-run relationship between oil price and any of the individual food price volatility. Thus, we implement a VAR instead of a VECM to investigate the short-run relationship. The VAR model result revealed a positive and significant short-run relationship between oil price and each of the selected food price volatility with exception of that of rice and wheat price volatility. These results were further confirmed by the impulse response functions. The Granger causality test result indicates a unidirectional causality from oil price to maize, soya bean, and sorghum price volatilities but does not show such relationship for rice and wheat price volatilities. We draw some policy implications of these findings.
2010-04-01
... § 1.664-4 with respect to the valuation of the remainder interest in property transferred to a... 26 Internal Revenue 13 2010-04-01 2010-04-01 false Valuation of annuities, unitrust interests... TAX (CONTINUED) INCOME TAXES General Actuarial Valuations § 1.7520-1 Valuation of annuities, unitrust...
The individual life-cycle, annuity market imperfections and economic growth
Heijdra, Ben J.; Mierau, Jochen O.
We study the effects of an annuity market imperfection on individual agents' life-cycle decisions and on the macroeconomic growth rate in an overlapping generations model with single-sector endogenous growth. Our model features both age-dependent mortality and labour productivity. We model imperfect
Deriving the bond pricing equation
Directory of Open Access Journals (Sweden)
Kožul Nataša
2014-01-01
Full Text Available Given the recent focus on Eurozone debt crisis and the credit rating downgrade not only of US debt, but that of other countries and many UK major banking institutions, this paper aims to explain the concept of bond yield, its different measures and bond pricing equation. Yields on capital market instruments are rarely quoted on the same basis, which makes direct comparison between different as investment choices impossible. Some debt instruments are quoted on discount basis, whilst coupon-bearing ones accrue interest differently, offer different compounding opportunities, have different coupon payment frequencies, and manage non-business day maturity dates differently. Moreover, rules governing debt vary across countries, markets and currencies, making yield calculation and comparison a rather complex issue. Thus, some fundamental concepts applicable to debt instrument yield measurement, with focus on bond equation, are presented here. In addition, bond equation expressed in annuity form and used to apply Newton-Raphson algorithm to derive true bond yield is also shown.
Adjusted Money's Worth Ratios in Life Annuities
Jaime Casassus; Eduardo Walker
2013-01-01
The Money's Worth Ratio (MWR) measures an annuity's actuarial fairness. It is calculated as the discounted present value of expected future payments divided by its cost. We argue that from the perspective of annuitants, this measure may overestimate the value-for-money obtained, since it does not adjust for liquidity or risk factors. Measuring these factors is challenging, requiring detailed knowledge of assets, liabilities, and of the stochastic processes followed by them. Using a multi-fact...
2010-01-01
... 5 Administrative Personnel 2 2010-01-01 2010-01-01 false How is the present value of an immediate....905 How is the present value of an immediate annuity with credit for NAFI service computed? (a) OPM will determine the present value of the immediate annuity including service credit for NAFI service by...
2010-04-01
... § 1.664-4 of this chapter with respect to the valuation of the remainder interest in property... 26 Internal Revenue 14 2010-04-01 2010-04-01 false Valuation of annuities, unitrust interests... Valuations § 20.7520-1 Valuation of annuities, unitrust interests, interests for life or terms of years, and...
International Nuclear Information System (INIS)
Özkan, Şeyda; Farquharson, Robert J.; Hill, Julian; Malcolm, Bill
2015-01-01
Highlights: • Two different pasture-based dairy feeding systems were evaluated. • The home-grown forage system outperformed the traditional pasture-based system. • Probability of achieving $200,000 income was reduced by imposition of a carbon tax. • Different farming systems will respond to change differently. • The ‘best choice’ for each individual farm is subjective. - Abstract: The imposition of a carbon tax in the economy will have indirect impacts on dairy farmers in Australia. Although there is a great deal of information available regarding mitigation strategies both in Australia and internationally, there seems to be a lack of research investigating the variable prices of carbon-based emissions on dairy farm operating profits in Australia. In this study, a stochastic analysis comparing the uncertainty in income in response to different prices on carbon-based emissions was conducted. The impact of variability in pasture consumption and variable prices of concentrates and hay on farm profitability was also investigated. The two different feeding systems examined were a ryegrass pasture-based system (RM) and a complementary forage-based system (CF). Imposing a carbon price ($20–$60) and not changing the systems reduced the farm operating profits by 28.4% and 25.6% in the RM and CF systems, respectively compared to a scenario where no carbon price was imposed. Different farming businesses will respond to variability in the rapidly changing operating environment such as fluctuations in pasture availability, price of purchased feeds and price of milk or carbon emissions differently. Further, in case there is a carbon price imposed for GHG emissions emanated from dairy farming systems, changing from pasture-based to more complex feeding systems incorporating home-grown double crops may reduce the reductions in farm operating profits. There is opportunity for future studies to focus on the impacts of different mitigation strategies and policy
Annuities and Other Retirement Products : Designing the Payout Phase
Rocha, Roberto; Vittas, Dimitri; Rudolph, Heinz P.
2011-01-01
This book examines recent changes in the landscape of retirement products and annuity markets in five countries. All the selected countries (Australia, Chile, Denmark, Sweden, and Switzerland) have mandatory or quasi-mandatory savings schemes. But they also exhibit significant differences in the structure of their pension systems, the relative importance of public pillars, the role and str...
Seel, J; Mills, AD; Wiser, RH
2018-01-01
Increasing penetrations of variable renewable energy (VRE) can affect wholesale electricity price patterns and make them meaningfully different from past, traditional price patterns. Many long-lasting decisions for supply- and demand-side electricity infrastructure and programs are based on historical observations or assume a business-as-usual future with low shares of VRE. Our motivating question is whether certain electric-sector decisions that are made based on assumptions reflecting low V...
A Non-linear "Inflation-Relative Prices Variability" Relationship: Evidence from Latin America
Mª Ángeles Caraballo Pou; Carlos Dabús; Diego Caramuta
2006-01-01
This paper presents evidence on a non-linear "inflation-relative prices variability" relationship in three Latin American countries with very high inflation experiences: Argentina, Brazil and Peru. More precisely, and in contrast to results found in previous literature for similar countries, we find a non-concave relation at higher inflation regimes, i.e. when inflation rate surpasses certain threshold. This non-concavity is mainly explained by the unexpected component of inflation, which sug...
2010-04-01
...) (pertaining to certain limitations on the use of prescribed tables), for determination of the present value of.... The present value of annuities, life estates, terms of years, remainders, and reversions for estates... determined under paragraph (d) of this section. The present value of annuities, life estates, terms of years...
IMPACT OF AGRICULTURAL POLICY ON RELATIVE PRICE VARIABILITY OF FOOD CROPS AND INFLATION IN NIGERIA
Directory of Open Access Journals (Sweden)
Ifeoluwa Akin Babalola
2016-08-01
Full Text Available Prices of food crops in Nigeria tend to exhibit similar trend with inflation. The study therefore established quantitatively relationships among agricultural policy, relative price variability (RPV of food crops and inflation in Nigeria. Data for the study includes annual producer prices (nominal and output of food crops and annual inflation rate obtained from the publications of the Central Bank of Nigeria, Nigerian Bureau of Statistics, Food and Agricultural Organisation and Nigerian Institute of Social and Economic Research covering the period of 1970-2009. Analytical tools used were RPV index and Error Correction Method (ECM. The results showed that the variables are stationary at their levels. As inflation increases, RPV of food crops also increases both in short run (0.0002 and the long run (0.0310. Civilian Post-Structural Adjustment Period Policies (CPSAP caused a significant reduction in inflation and consequently reduced the RPV of food crops in the long run. There is a need for policies that will buffer the food crop sub-sector from the effects of inflation. Policies that reduce the rate of inflation and minimise RPV among food crops are needed. Effective management of inefficiencies and misallocation of resources in the sub-sector should be explored.
Simulation of hybrid renewable microgeneration systems for variable electricity prices
International Nuclear Information System (INIS)
Brandoni, C.; Renzi, M.; Caresana, F.; Polonara, F.
2014-01-01
This paper addresses a hybrid renewable system that consists of a micro-Combined Cooling Heat and Power (CCHP) unit and a solar energy conversion device. In addition to a traditional PV system, a High Concentrator Photovoltaic (HCPV) device, the design of which is suitable for building integration application, was also modelled and embedded in the hybrid system. The work identifies the optimal management strategies for the hybrid renewable system in an effort to minimise the primary energy usage, the carbon dioxide emissions and the operational costs for variable electricity prices that result from the day-ahead electricity market. An “ad hoc” model describes the performance of the HCPV module, PV and Internal Combustion Engine, whilst the other units were simulated based on their main characteristic parameters. The developed algorithm was applied to three different building typologies. The results indicate that the best configuration is the hybrid renewable system with PV, which can provide a yearly primary energy reduction of between 20% and 30% compared to separate production. The hybrid renewable system with HCPV becomes competitive with the PV technology when the level of solar radiation is high. - Highlights: • The paper addresses a hybrid renewable system that consists of a micro-CCHP unit and a solar energy conversion device. • Both PV and High Concentrator Photovoltaic (HCPV) systems have been modelled and embedded in the hybrid system. • The work identifies the optimal management strategies for variable electricity prices. • Hybrid renewable systems provide a yearly primary energy reduction of between 20% and 30% compared to separate production. • When the level of solar radiation is high, HCPV becomes competitive with the PV technology
Bequest Motives and the Annuity Puzzle.
Lockwood, Lee M
2012-04-01
Few retirees annuitize any wealth, a fact that has so far defied explanation within the standard framework of forward-looking, expected utility-maximizing agents. Bequest motives seem a natural explanation. Yet the prevailing view is that people with plausible bequest motives should annuitize part of their wealth, and thus that bequest motives cannot explain why most people do not annuitize any wealth. I show, however, that people with plausible bequest motives are likely to be better off not annuitizing any wealth at available rates. The evidence suggests that bequest motives play a central role in limiting the demand for annuities.
DEFF Research Database (Denmark)
Konicz, Agnieszka Karolina; Mulvey, John M.
2013-01-01
of such financial decisions, especially in the retirement arena. They present as an example the choice to purchase a life annuity for a middle-aged person. Buyers must choose whether to purchase before retirement or at the date of retirement. The article provides some guidelines on whether or not to purchase......Individuals are often faced with financial decisions that have long-term implications for themselves and their families, but they have few sources of unbiased assistance. The authors suggest that a stochastic financial planning system, properly constructed and calibrated, can be applied to a number...... deferred life annuities, and who might most benefit from such a purchase....
2010-04-01
... annuity. The value of the gift is the cost of the contract. Example (2). An annuitant purchased from a... Revenue INTERNAL REVENUE SERVICE, DEPARTMENT OF THE TREASURY (CONTINUED) ESTATE AND GIFT TAXES GIFT TAX; GIFTS MADE AFTER DECEMBER 31, 1954 Transfers § 25.2512-6 Valuation of certain life insurance and annuity...
2010-04-01
... 26 Internal Revenue 4 2010-04-01 2010-04-01 false Contributions to pension plan, employees... TAXES Insolvency Reorganizations § 1.381(c)(11)-1 Contributions to pension plan, employees' annuity... or transferor corporation in respect of any pension, annuity, stock bonus, or profit-sharing plan. (b...
What Factors Affect the Prices of Low-Priced U.S. Solar PV Systems?
Energy Technology Data Exchange (ETDEWEB)
Nemet, Gregory F. [Univ. of Wisconsin, Madison, WI (United States); Mercator Research Inst. on Global Commons and Climate Change, Berlin (Germany); O' Shaughnessy, Eric [National Renewable Energy Lab. (NREL), Golden, CO (United States); Wiser, Ryan [Lawrence Berkeley National Lab. (LBNL), Berkeley, CA (United States); Darghouth, Naïm R. [Lawrence Berkeley National Lab. (LBNL), Berkeley, CA (United States); Barbose, Galen [Lawrence Berkeley National Lab. (LBNL), Berkeley, CA (United States); Gillingham, Ken [Yale Univ., New Haven, CT (United States); Rai, Varun [Univ. of Texas, Austin, TX (United States)
2016-08-01
The price of solar PV systems has declined rapidly, yet there are some much lower-priced systems than others. This study explores the factors leading some systems to be so much lower priced than others. Using a data set of 42,611 residential-scale PV systems installed in the U.S. in 2013, we use quantile regressions to estimate the importance of factors affecting the installed prices for low-priced (LP) systems (those at the 10th percentile) in comparison to median-priced systems. We find that the value of solar to consumers–a variable that accounts for subsidies, electric rates, and PV generation levels–is associated with lower prices for LP systems but higher prices for median priced systems. Conversely, systems installed in new home construction are associated with lower prices at the median but higher prices for LP. Other variables have larger cost-reducing effects on LP than on median priced systems: systems installed in Arizona and Florida, as well as commercial and thin film systems. In contrast, the following have a smaller effect on prices for LP systems than median priced systems: tracking systems, self-installations, systems installed in Massachusetts, the system size, and installer experience. These results highlight the complex factors at play that lead to LP systems and shed light into how such LP systems can come about.
Oil prices and the stock prices of alternative energy companies
International Nuclear Information System (INIS)
Henriques, Irene; Sadorsky, Perry
2008-01-01
Energy security issues coupled with increased concern over the natural environment are driving factors behind oil price movements. While it is widely accepted that rising oil prices are good for the financial performance of alternative energy companies, there has been relatively little statistical work done to measure just how sensitive the financial performance of alternative energy companies are to changes in oil prices. In this paper, a four variable vector autoregression model is developed and estimated in order to investigate the empirical relationship between alternative energy stock prices, technology stock prices, oil prices, and interest rates. Our results show technology stock prices and oil prices each individually Granger cause the stock prices of alternative energy companies. Simulation results show that a shock to technology stock prices has a larger impact on alternative energy stock prices than does a shock to oil prices. These results should be of use to investors, managers and policy makers. (author)
Customizing Prices in Online Markets
Werner Reinartz
2002-01-01
Dynamic pricing is the dynamic adjustment of prices to consumers depending on the value these customers attribute to a good. Underlying the concept of dynamic pricing is what marketers call price customization. Price customization is the charging of different prices to end consumers based on a discriminatory variable. Internet technology will serve as a great enabling tool for making dynamic pricing accessible to many industries.
Oil price shocks and long run price and import demand behavior
International Nuclear Information System (INIS)
Kleibergen, F.; Van Dijk, H.K.; Urbain, J.P.
1997-01-01
The effect which the oil price time series has on the long run properties of Vector AutoRegressive (VAR) models for price levels and import demand is investigated. As the oil price variable is assumed to be weakly exogenous for the long run parameters, a cointegration testing procedure allowing for weakly exogenous variables is developed using a LU decomposition of the long run multiplier matrix. The likelihood based cointegration test statistics, Wald, Likelihood Ratio and Lagrange Multiplier, are constructed and their limiting distributions derived. Using these tests, we find that incorporating the oil price in a model for the domestic or import price level of seven industrialized countries decreases the long run memory of the inflation rate. Second, we find that the results for import demand can be classified with respect to the oil importing or exporting status of the specific country. The result for Japan is typical as its import price is not influenced by gnp in the long run, which is the case for all other countries. 31 refs
International Nuclear Information System (INIS)
Paulo, J.A.; Tomé, M.
2017-01-01
Aim of study: Use the SUBER model to evaluate the influence of the cork debarking rotation period (CDR) on equivalent annual annuity (EAA) value. Area of study: Nine simulated stands, varying in site index (14.4, 15.6, 17.1) and cork quality characteristics (high, medium, low). Material and methods: EAA values were computed considering CDR periods varying from 9 to 14 years, two contrasting structures of cork prices (high and low cork price scenarios), and three discount rate values (0.5%, 2% and 5%). Main results: For discount rates of 0.5% and 2% the impact of different CDR on the EAA is similar. In stands characterized by high to average site index values or high to medium cork quality characteristics, CDR of 9 and 11 years are associated with similar values of EAA. The variation of the CDR in stands characterized by low site index values and/or low cork quality characteristics did not have a relevant effect on the variation of EAA. For the simulations carried out with a discount rate of 5% the EAA decreases with the increase of CDR, indicating that the minimum legal value of 9 years for CDR should be applied. Research highlights: In stands characterized by high to average site index values or high to medium cork quality characteristics, a delay in the debarking may result in a significant increase of cork thickness and, as a result, of cork price. Detailed knowledge of cork and stand characteristics and updated information on cork prices structure and values are essential for the best usage of management tools such as the SUBER model, which can contribute to the decision-making process concerning the debarking operation.
Energy Technology Data Exchange (ETDEWEB)
Paulo, J.A.; Tomé, M.
2017-11-01
Aim of study: Use the SUBER model to evaluate the influence of the cork debarking rotation period (CDR) on equivalent annual annuity (EAA) value. Area of study: Nine simulated stands, varying in site index (14.4, 15.6, 17.1) and cork quality characteristics (high, medium, low). Material and methods: EAA values were computed considering CDR periods varying from 9 to 14 years, two contrasting structures of cork prices (high and low cork price scenarios), and three discount rate values (0.5%, 2% and 5%). Main results: For discount rates of 0.5% and 2% the impact of different CDR on the EAA is similar. In stands characterized by high to average site index values or high to medium cork quality characteristics, CDR of 9 and 11 years are associated with similar values of EAA. The variation of the CDR in stands characterized by low site index values and/or low cork quality characteristics did not have a relevant effect on the variation of EAA. For the simulations carried out with a discount rate of 5% the EAA decreases with the increase of CDR, indicating that the minimum legal value of 9 years for CDR should be applied. Research highlights: In stands characterized by high to average site index values or high to medium cork quality characteristics, a delay in the debarking may result in a significant increase of cork thickness and, as a result, of cork price. Detailed knowledge of cork and stand characteristics and updated information on cork prices structure and values are essential for the best usage of management tools such as the SUBER model, which can contribute to the decision-making process concerning the debarking operation.
5 CFR 837.505 - Cost-of-living adjustments on Member annuities.
2010-01-01
... 5 Administrative Personnel 2 2010-01-01 2010-01-01 false Cost-of-living adjustments on Member... Cost-of-living adjustments on Member annuities. (a) Applying cost-of-living adjustments to recomputed... appointive position subject to CSRS, will include the cost-of-living adjustments under section 8340 of title...
International Nuclear Information System (INIS)
Miller, Mark; Alberini, Anna
2016-01-01
Price elasticity estimates of residential electricity demand vary widely across the energy economics and policy literature. In this paper, we seek to explain these findings using three nationwide datasets from the U.S. – the American Housing Survey, Forms EIA-861, and the Residential Energy Consumption Survey. We examine the role of the sample period, level of aggregation, use of panel data, use of instrumental variables, and inclusion of housing characteristics and capital stock. Our findings suggest that price elasticities have remained relatively constant over time. Upon splitting our panel datasets into annual cross sections, we do observe a negative relationship between price elasticities and the average price. Whether prices are rising or falling appears to have little effect on our estimates. We also find that aggregating our data can result in both higher and lower price elasticity estimates, depending on the dataset used, and that controlling for unit-level fixed effects with panel data generally results in more inelastic demand functions. Addressing the endogeneity of price and/or measurement error in price with instrumental variables has a small but noticeable effect on the price elasticities. Finally, controlling for housing characteristics and capital stock produces a lower price elasticity. - Highlights: • The price elasticity of residential electricity demand varies widely across studies. • We use three large datasets from the US to examine reasons for such wide variation. • Some assessed effects include aggregation, unobserved heterogeneity, and price trends. • Correcting for such issues can change the estimated price elasticity by 50–100%.
Does responsive pricing smooth demand shocks?
Pascal, Courty; Mario, Pagliero
2011-01-01
Using data from a unique pricing experiment, we investigate Vickrey’s conjecture that responsive pricing can be used to smooth both predictable and unpredictable demand shocks. Our evidence shows that increasing the responsiveness of price to demand conditions reduces the magnitude of deviations in capacity utilization rates from a pre-determined target level. A 10 percent increase in price variability leads to a decrease in the variability of capacity utilization rates between...
Quintana Meza, Aldo
2012-01-01
This paper discusses on how to set fixed contributions for a given objective of a private pension plan, by using two traditional financial models such as annuities and perpetuities. The private pension plan has two components: (i) the contributions’ plan on a monthly basis (annuity), and (ii) the pension plan on a monthly basis (perpetuity). The document focuses on the relationship between the size to the contribution and the pension fund returns. The document covers the Peruvian case. Est...
2010-01-01
... 5 Administrative Personnel 2 2010-01-01 2010-01-01 false Present Value Conversion Factors for Earlier Commencing Date of Annuities of Current and Former Spouses of Deceased Separated Employees A...—Present Value Conversion Factors for Earlier Commencing Date of Annuities of Current and Former Spouses of...
Energy Technology Data Exchange (ETDEWEB)
Seel, Joachim [Lawrence Berkeley National Lab. (LBNL), Berkeley, CA (United States); Mills, Andrew D. [Lawrence Berkeley National Lab. (LBNL), Berkeley, CA (United States); Wiser, Ryan H. [Lawrence Berkeley National Lab. (LBNL), Berkeley, CA (United States); Deb, Sidart [LCG Consulting, Los Altos, CA (United States); Asokkumar, Aarthi [LCG Consulting, Los Altos, CA (United States); Hassanzadeh, Mohammad [LCG Consulting, Los Altos, CA (United States); Aarabali, Amirsaman [LCG Consulting, Los Altos, CA (United States)
2018-05-11
Increasing penetrations of variable renewable energy (VRE) can affect wholesale electricity price patterns and make them meaningfully different from past, traditional price patterns. Many long-lasting decisions for supply- and demand-side electricity infrastructure and programs are based on historical observations or assume a business-as-usual future with low shares of VRE. Our motivating question is whether certain electric-sector decisions that are made based on assumptions reflecting low VRE levels will still achieve their intended objective in a high VRE future. We qualitatively describe how various decisions may change with higher shares of VRE and outline an analytical framework for quantitatively evaluating the impacts of VRE on long-lasting decisions. We then present results from detailed electricity market simulations with capacity expansion and unit commitment models for multiple regions of the U.S. for low and high VRE futures. We find a general decrease in average annual hourly wholesale energy prices with more VRE penetration, increased price volatility and frequency of very low-priced hours, and changing diurnal price patterns. Ancillary service prices rise substantially and peak net-load hours with high capacity value are shifted increasingly into the evening, particularly for high solar futures. While in this report we only highlight qualitatively the possible impact of these altered price patterns on other demand- and supply-side electric sector decisions, the core set of electricity market prices derived here provides a foundation for later planned quantitative evaluations of these decisions in low and high VRE futures.
Optimizing wellfield operation in a variable power price regime
DEFF Research Database (Denmark)
Bauer-Gottwein, Peter; Schneider, Raphael; Davidsen, Claus
Wellfield management is a multi-objective optimization problem. One important management objective has been energy efficiency in terms of minimizing the energy footprint (EFP) of delivered water (MWh/m3). However, power systems in most countries are moving in the direction of deregulated power...... use itself. We estimated energy footprint as a function of wellfield pumping rate (EFP-Q relationship) for a wellfield in Denmark using a coupled well and pipe network model. This EFP-Q relationship was subsequently used in a stochastic dynamic programming framework to minimize total cost of operating...... the combined wellfield-storage-demand system over the course of a 2-year planning period based on a time series of observed price on the Danish power market and a deterministic, time-varying hourly water demand. In the SDP setup, hourly pumping rates are the decision variables. Constraints include storage...
Spreadsheets as a Transparent Resource for Learning the Mathematics of Annuities
Pournara, Craig
2009-01-01
The ability of mathematics teachers to decompress mathematics and to move between representations are two key features of mathematical knowledge that is usable for teaching. This article reports on four pre-service secondary mathematics teachers learning the mathematics of annuities. In working with spreadsheets students began to make sense of…
How to Find the Price That's Right.
Crompton, John L.
1981-01-01
Five primary methods used by recreation and park agencies to establish a price are reviewed: (1) going-rate pricing; (2) demand oriented pricing; (3) variable cost pricing; (4) partial overhead pricing; and (5) average cost pricing. (CJ)
Directory of Open Access Journals (Sweden)
Aldo Quintana Meza
2012-12-01
Full Text Available This paper discusses on how to set fixed contributions for a given objective of a private pension plan, by using two traditional financial models such as annuities and perpetuities. The private pension plan has two components: (i the contributions’ plan on a monthly basis (annuity, and (ii the pension plan on a monthly basis (perpetuity. The document focuses on the relationship between the size to the contribution and the pension fund returns. The document covers the Peruvian case.
Determinants Of Equity Prices In The Stock Market
Directory of Open Access Journals (Sweden)
Muhammad Usman Javaid
2010-12-01
Full Text Available This study examines the effect of market variables on the movement stock prices in Pakistan. Asset pricing is considered as efficient if the asset prices reflect all available market information. This study examined the extent to which some "information factors" or market indices affect the stock price. A simple regression model has been used to develop a relation between the variables (stock prices, earnings per share, gross domestic product, dividend, inflation and KIBOR after testing for multi-collinearity among the independent variables. All the variables have shown positive correlation with stock prices with some exceptions of GDP and inflation. This study has enriched the existing literature while it would help policy makers who are interested in deploying instruments of monetary policy and other economic indices for the growth of the capital market.
PRICE REACTIONS AND ORGANIC PRICE PREMIUMS FOR PRIVATE LABEL AND BRANDED MILK
Zhuang, Yan; Dimitri, Carolyn; Jaenicke, Edward C.
2010-01-01
Using Nielsen Homescan data set from 52 markets in the United States, this paper assesses the price interactions among the four fluid milk categories (organic private label, organic national brand, non-organic private label and non-organic national brand), how demographic variables and product properties in a market affect milk prices, and the impacts of private label and organic milk market shares on milk prices. We find several types of price competition exist among the four milk categories...
2010-04-01
... individual to or under a qualified pension, annuity, or profit-sharing plan. 1.404(e)-1A Section 1.404(e)-1A...) INCOME TAXES Pension, Profit-Sharing, Stock Bonus Plans, Etc. § 1.404(e)-1A Contributions on behalf of a self-employed individual to or under a qualified pension, annuity, or profit-sharing plan. (a) In...
IS THE PRICE RIGHT? PRICING FOR LONG TERM PROFITABILITY
Directory of Open Access Journals (Sweden)
Andrea Erika NYÁRÁDI
2007-01-01
Full Text Available The way how we choose our pricing strategy has a significant impact on company’s success. Nowadays companies more and more adopt a new way of thinking in pricing, namely pricing for a long term period in order to bring higher profitability, to build an efficient pricing strategy. Marketers have only recently begun to focus seriously on effective pricing. These companies are the so called progressive companies. They have begun doing more than just worrying about pricing. To increase profitability many are abandoning traditional reactive pricing procedures in favor of proactive pricing, making explicit corporate decisions to change their focus to growth in top-line sales to growth in profitability. The long-term implications of price strategies are still under-researched, and managers should be aware of shifts in customer reactions that may result from frequent adoption of certain strategies. The company pricing strategy should be seen in relation to developments in the company variables, internal ones (capital strength, competencies, organizational conditions, efficiency of the work force etc. as well as external ones (customers, competitors, the technological development etc., adopting strategic pricing. In this paper I will present the most effective pricing strategies leading to long term profitability, and also suggest practical conditions for pricing strategies to maximize profit in the long run.
International Nuclear Information System (INIS)
Ewing, Bradley T.; Thompson, Mark A.
2007-01-01
This paper examines the empirical relationship between oil prices and several key macroeconomic variables. In particular, we investigate the cyclical comovements of crude oil prices with output, consumer prices, unemployment, and stock prices. The methodology involves the use of the Hodrick-Prescott [Hodrick, R.J., Prescott, E.C., 1980. Post-War US Business Cycles: An Empirical Investigation. Working Paper, Carnegie Mellon University] and Baxter-King [Baxter, M., King, R.G., 1999. Measuring business cycles: approximate band-pass filters for economic time series. Review of Economics and Statistics 81, 575-593] filters, as well as the recently developed full-sample asymmetric Christiano-Fitzgerald [Christiano, L.J., Fitzgerald, T.J., 2003. The band pass filter. International Economic Review 44, 435-465] band-pass filter. Contemporaneous and cross-correlation estimates are made using the stationary cyclical components of the time series to make inference about the degree to which oil prices move with the cycle. Besides documenting a number of important cyclical relationships using three different time series filtering methods, the results suggest that crude oil prices are procyclical and lag industrial production. Additionally, we find that oil prices lead consumer prices. (author)
Price volatility, hedging and variable risk premium in the crude oil market
International Nuclear Information System (INIS)
Ahmad Jalali-Naini; Maryam Kazemi Manesh
2006-01-01
The crude oil price exhibits a high degree of volatility which varies significantly over time. Such characteristics imply that the oil market is a promising area for testing volatility models. Testing and predicting volatility using ARCH and GARCH models have grown in the literature. A useful application of the volatility models is in the formulation of hedging strategies. In this paper we compare the optimal hedge ratio for the crude oil using the classical minimum risk approach and use ARCH to incorporate the effect of heteroskedasticity in the residuals on the hedge ratio. In addition, we test for the existence of a variable risk premium in the crude oil market. We find that, assuming rational expectations, there is a non-zero risk premium. We test for the variability of the risk premia and find evidence in its support when we employed a multivariate GARCH model. (author)
Adverse Selection in Private Annuity Markets and the Role of Mandatory Social Annuitization
Heijdra, Ben J.; Reijnders, Laurie S. M.
We study the effects on the macroeconomic equilibrium, the wealth distribution, and welfare of adverse selection in private annuity markets in a closed economy inhabited by overlapping generations of heterogeneous agents who are distinguished by their health status. If an agent's health type is
Quantitative analysis on the fluctuation of vegetable price in supermarket
Directory of Open Access Journals (Sweden)
Miranda Suci
2018-01-01
Full Text Available In this paper we analyze the variables affecting the determination of vegetable sale price in supermarket and investigate each amount considered into the formulation. We use the supermarket pricing strategies literatures, cost management theory, and any information obtained from suppliers and supermarket to investigate the variables influenced the sale price gap between supplier sale price and supermarket sale price. In order to obtain the supermarket sale price, it is required to understand the concept of costs. Supermarket as a merchandising firm has two components of costs called purchase costs and operating expenses which are computed to be Cost of Goods Sold (COGS. We found that supplier sale price is the purchase costs and plays has the main role in determining the supermarket sale price. The operating expenses considered is the holding cost. The vegetable characteristics and consumer behaviour have driven the contribution of amount of variables into the sale price at supermarket. Finally, we present the variables satisfying the vegetable sale price formulation and how they are calculated becoming the supermarket sale price.
International Nuclear Information System (INIS)
Coudert, V.; Mignon, V.; Penot, A.
2007-01-01
Oil prices and the United States (US) dollar exchange rate are driving the evolution of the world economy. This paper investigated long-term relationships between oil prices and the US effective exchange rate. An empirical study was performed on oil prices and the dollar real effective exchange rate between 1974 to 2004. The impact of the dollar exchange rate was also explored, and the effects of oil prices on supply and demand were considered. A dynamic partial equilibrium framework study was evaluated in order to compare how other countries used revenues from oil exports in dollars. The study showed that both variables had similar evolutions when price fluctuations were low. Strong increases in the dollar were associated with lower oil prices. However, adjustment speeds of the dollar real effective exchange rate was slow. Co-integration and causality tests showed that oil prices influenced the exchange rate, and that the link between the 2 variables was transmitted through the country's net foreign asset position. It was concluded that higher oil prices improved US net foreign asset position in relation to other countries, and had a positive impact on dollar appreciation. 24 refs., 6 tabs., 1 fig
Statoil`s exposure to oil price fluctuations: An analysis on investment level and stock price
Nåmdal, Synne Meling; Meling, Kristine
2015-01-01
Master's thesis in Finance In this thesis an econometric analysis of Statoil’s investment level and stock return has been performed, with purpose of examine the affect that fluctuations in the price of crude oil has on these variables. The results revealed that crude oil prices have a significant impact on Statoil´s stock returns, due to the direct impact the crude oil price has on Statoil’s cash flows. The investment level does not seem to be affected by either of the variables in the ana...
Statoil`s exposure to oil price fluctuations: An analysis on investment level and stock price
Nåmdal, Synne Meling; Meling, Kristine
2015-01-01
In this thesis an econometric analysis of Statoil’s investment level and stock return has been performed, with purpose of examine the affect that fluctuations in the price of crude oil has on these variables. The results revealed that crude oil prices have a significant impact on Statoil´s stock returns, due to the direct impact the crude oil price has on Statoil’s cash flows. The investment level does not seem to be affected by either of the variables in the analysis, and this could indicate...
Einav, Liran; Finkelstein, Amy; Schrimpf, Paul
2010-05-01
Much of the extensive empirical literature on insurance markets has focused on whether adverse selection can be detected. Once detected, however, there has been little attempt to quantify its welfare cost, or to assess whether and what potential government interventions may reduce these costs. To do so, we develop a model of annuity contract choice and estimate it using data from the U.K. annuity market. The model allows for private information about mortality risk as well as heterogeneity in preferences over different contract options. We focus on the choice of length of guarantee among individuals who are required to buy annuities. The results suggest that asymmetric information along the guarantee margin reduces welfare relative to a first best symmetric information benchmark by about £127 million per year, or about 2 percent of annuitized wealth. We also find that by requiring that individuals choose the longest guarantee period allowed, mandates could achieve the first-best allocation. However, we estimate that other mandated guarantee lengths would have detrimental effects on welfare. Since determining the optimal mandate is empirically difficult, our findings suggest that achieving welfare gains through mandatory social insurance may be harder in practice than simple theory may suggest.
Einav, Liran; Finkelstein, Amy; Schrimpf, Paul
2009-01-01
Much of the extensive empirical literature on insurance markets has focused on whether adverse selection can be detected. Once detected, however, there has been little attempt to quantify its welfare cost, or to assess whether and what potential government interventions may reduce these costs. To do so, we develop a model of annuity contract choice and estimate it using data from the U.K. annuity market. The model allows for private information about mortality risk as well as heterogeneity in preferences over different contract options. We focus on the choice of length of guarantee among individuals who are required to buy annuities. The results suggest that asymmetric information along the guarantee margin reduces welfare relative to a first best symmetric information benchmark by about £127 million per year, or about 2 percent of annuitized wealth. We also find that by requiring that individuals choose the longest guarantee period allowed, mandates could achieve the first-best allocation. However, we estimate that other mandated guarantee lengths would have detrimental effects on welfare. Since determining the optimal mandate is empirically difficult, our findings suggest that achieving welfare gains through mandatory social insurance may be harder in practice than simple theory may suggest. PMID:20592943
Stephanie A. Snyder; Michael A. Kilgore; Rachel Hudson; Jacob Donnay
2008-01-01
A hedonic model was developed to analyze the market for undeveloped forest land in Minnesota. Variables describing in situ conditions, locational characteristics, buyer perceptions and intentions, and transactional terms were tested for their influence on sale price. The independent variables explained 67% of the per hectare sale price variation. Water frontage, road...
Assessing the Demand for Annuities in an Undeveloped Market: Evidence from Hong Kong
K-L. Chou (Kee-Lee); J. Inkmann (Joachim); J.L.W. van Kippersluis (Hans); W.S. Chan (Wai)
2016-01-01
textabstractHow to design an attractive annuity for an undeveloped market and how to assess the potential demand for such a product? We first conduct a discrete choice experiment among participants of a large-scale occupational defined contribution pension scheme in Hong Kong to identify desired
Directory of Open Access Journals (Sweden)
Ernest Kissi
2018-03-01
Full Text Available Prices of construction resources keep on fluctuating due to unstable economic situations that have been experienced over the years. Clients knowledge of their financial commitments toward their intended project remains the basis for their final decision. The use of construction tender price index provides a realistic estimate at the early stage of the project. Tender price index (TPI is influenced by various economic factors, hence there are several statistical techniques that have been employed in forecasting. Some of these include regression, time series, vector error correction among others. However, in recent times the integrated modelling approach is gaining popularity due to its ability to give powerful predictive accuracy. Thus, in line with this assumption, the aim of this study is to apply autoregressive integrated moving average with exogenous variables (ARIMAX in modelling TPI. The results showed that ARIMAX model has a better predictive ability than the use of the single approach. The study further confirms the earlier position of previous research of the need to use the integrated model technique in forecasting TPI. This model will assist practitioners to forecast the future values of tender price index. Although the study focuses on the Ghanaian economy, the findings can be broadly applicable to other developing countries which share similar economic characteristics.
Ilya, Gikhman
2007-01-01
In this article we discuss fundamentals of the debt securities pricing. We begin with a generalization of the present value concept. Though the present value is the base valuation method in the modern finance we will illustrate that this concept does not sufficiently accurate in producing instrument pricing. The incompleteness of the unique present value approach stems from variability of the interest rates. Admitting variability of the interest rates we define two present values one for buye...
2012-02-03
... Modifications to Minimum Present Value Requirements for Partial Annuity Distribution Options Under Defined... guidance relating to the minimum present value requirements applicable to certain defined benefit pension plans. These proposed regulations would change the regulations regarding the minimum present value...
Oil prices, SUVs, and Iraq. An investigation of automobile manufacturer oil price sensitivity
Energy Technology Data Exchange (ETDEWEB)
Cameron, Ken [United States Navy (United States); Schnusenberg, Oliver [Department of Accounting and Finance, Coggin College of Business, The University of North Florida, 1 UNF Drive, Jacksonville, FL 32224 (United States)
2009-05-15
There has been much speculation about the recent upsurge in crude oil prices and the effect it will have on the economy and business. The objective of this paper is to investigate the relationship between oil prices and stock prices of automobile manufacturers. We add an oil price factor, measured alternatively by the excess change in WTI crude oil prices or the excess return on an energy ETF, to the Fama-French three-factor model over the period March 20, 2001 to September 30, 2008. Our dependent variable is the excess return on a price-weighted index of automobile manufacturers. Results indicate that oil prices add value to the pricing model, particularly for manufacturers specializing in SUVs and for a subperiod following the Iraq invasion on March 19, 2003. (author)
Annuities and lifetime income: the Anglo-Saxon experience.
Malik, Markus
2004-01-01
A number of western industrialized nations have found themselves in a similar position to the United States today: an aging population leading to increasing, and perhaps unsustainable, expenditures on a traditional social security system. This article examines the risks that individuals face in retirement, describes the role of annuities in addressing those risks and examines why annuitization rates are so low. It then reviews the pension structures in the United Kingdom, Australia and New Zealand--countries with similar governmental and economic structures to those of the United States--and describes how these have impacted those countries' annuitization rates.
Questions and Answers Explaining the New Tax Rules Applicable to Tax-Sheltered Annuities.
Gordon, David E.; Spuehler, Donald R.
1991-01-01
The Tax Reform Act of 1986 and subsequent legislation have radically altered the rules needed to maintain favorable tax status of tax-sheltered annuity plans for college employees. Application of the new rules is complex. Critical questions facing institutions and organizations are answered, and potential liabilities facing educational employers…
Analysis of commodity prices with the particle filter
International Nuclear Information System (INIS)
Aiube, Fernando Antonio Lucena; Baidya, Tara Keshar Nanda; Tito, Edison Americo Huarsaya
2008-01-01
The behavior of commodities prices is fundamental to real-asset investment decisions, hedging, and pricing financial derivatives. Schwartz and Smith [Schwartz, E.S., Smith, J.E. (2000). Short term-variations and long-term dynamics in commodity prices. Management Science, 46, 893-911.] proposed a two-factor model for describing the stochastic processes of commodity prices, in which the two factors are short-term variations and equilibrium prices. These are both unobserved state variables that are estimated using the Kalman filter. The estimation is based on the observation of future prices for different maturities. The authors have carried out this process without incorporating jumps in the short-term variation of prices. Here we aim to demonstrate that the inclusion of jumps better explains the behavior of oil prices, and in fact creates difficulties in the estimation of state variables. This is because the variables become non-Gaussian so the Kalman filter is not recommended. Another methodology, called the particle filter, is more suitable in this case, and we describe its application in this article
Space-time modeling of electricity spot prices
DEFF Research Database (Denmark)
Abate, Girum Dagnachew; Haldrup, Niels
In this paper we derive a space-time model for electricity spot prices. A general spatial Durbin model that incorporates the temporal as well as spatial lags of spot prices is presented. Joint modeling of space-time effects is necessarily important when prices and loads are determined in a network...... in the spot price dynamics. Estimation of the spatial Durbin model show that the spatial lag variable is as important as the temporal lag variable in describing the spot price dynamics. We use the partial derivatives impact approach to decompose the price impacts into direct and indirect effects and we show...... that price effects transmit to neighboring markets and decline with distance. In order to examine the evolution of the spatial correlation over time, a time varying parameters spot price spatial Durbin model is estimated using recursive estimation. It is found that the spatial correlation within the Nord...
EXPLANATORY MODEL OF SPOT PRICE OF IRON ORE
Directory of Open Access Journals (Sweden)
Juan Enrique Villalva A.
2015-11-01
Full Text Available The objective of this study was to construct an explanatory model of the spot price of iron ore in the international market. For this, the method of multiple linear regressions was used. As a dependent variable, the spot price of iron ore (62% Fe China Tianjin port was taken, between 2010 and 2013. As independents variables were taken seven variables of international iron ore market. The resulting model includes variables: Iron ore inventory in Chinese ports, Baltic Dry Index (BDI, Iron ore exports from Brazil & Australia and Chinese Rebar Steel Price, as explanatory variables of the behavior of the spot price of iron ore in the international market. The model has an adjusted coefficient of determination R2 of 0.90, and was validated by comparing its predictions vs. known values of 2014.
Improving the asset pricing ability of the Consumption-Capital Asset Pricing Model?
DEFF Research Database (Denmark)
Rasmussen, Anne-Sofie Reng
This paper compares the asset pricing ability of the traditional consumption-based capital asset pricing model to models from two strands of literature attempting to improve on the poor empirical results of the C-CAPM. One strand is based on the intertemporal asset pricing model of Campbell (1993...... able to price assets conditionally as suggested by Cochrane (1996) and Lettau and Ludvigson (2001b). The unconditional C-CAPM is rewritten as a scaled factor model using the approximate log consumptionwealth ratio cay, developed by Lettau and Ludvigson (2001a), as scaling variable. The models...... and composite. Thus, there is no unambiguous solution to the pricing ability problems of the C-CAPM. Models from both the alternative literature strands are found to outperform the traditional C-CAPM on average pricing errors. However, when weighting pricing errors by the full variance-covariance matrix...
Electric power prices: variable tendency depending on the country
International Nuclear Information System (INIS)
Anon.
1999-01-01
The deregulation of the electric power sector is very much in the news in most countries and at different stages. A study carried out by the national utility service (NUS) in 17 countries worldwide takes stock of the influence of deregulation on electric power prices. According to this study, the most important price increases are found in 4 non-European countries (Norway, South Africa, USA, New Zealand) while the most important decreases are found within Europe (Sweden 20%, Denmark 15.6%, Italy 12% and Germany 8%). In France the decrease of tariffs reaches only 3%. This short paper analyzes the evolution of prices in the different countries selected in the study, but no real tendency is outlined as the stage of competition is different in each country. (J.S.)
2012-03-09
... DEPARTMENT OF THE TREASURY Internal Revenue Service 26 CFR Part 1 [REG-110980-10] RIN 1545-BJ55 Modifications to Minimum Present Value Requirements for Partial Annuity Distribution Options Under Defined... FR 5454), providing guidance relating to the minimum present value requirements applicable to certain...
Annuity factors, duration and convexity : insights from a financial engineering perspective
Ekern, Steinar
1998-01-01
This paper applies a unified and integrative financial engineering perspective to key derived concepts in traditional fixed income analysis, with the purpose of enhancing conceptual insights and motivating computational applications. The emphasis on annuity factors and their impact on duration and convexity differs from the focus prevailing in related discussions. By decomposing the cashflow streams of a coupon bond into different, specific, and clearly defined portfolios of component bonds w...
Equilibrium prices supported by dual price functions in markets with non-convexities
International Nuclear Information System (INIS)
Bjoerndal, Mette; Joernsten, Kurt
2004-06-01
The issue of finding market clearing prices in markets with non-convexities has had a renewed interest due to the deregulation of the electricity sector. In the day-ahead electricity market, equilibrium prices are calculated based on bids from generators and consumers. In most of the existing markets, several generation technologies are present, some of which have considerable non-convexities, such as capacity limitations and large start up costs. In this paper we present equilibrium prices composed of a commodity price and an uplift charge. The prices are based on the generation of a separating valid inequality that supports the optimal resource allocation. In the case when the sub-problem generated as the integer variables are held fixed to their optimal values possess the integrality property, the generated prices are also supported by non-linear price-functions that are the basis for integer programming duality. (Author)
Price Strategies between a Dominant Retailer and Manufacturers
Cho, Hsun Jung; Mak, Hou Kit
2009-08-01
Supply chain-related game theoretical applications have been discussed for decades. This research accounts for the emergence of a dominant retailer, and the retailer Stackelberg pricing models of distribution channels. Research in the channel pricing game may use different definitions of pricing decision variables. In this research, we pay attentions to the retailer Stackelberg pricing game, and discuss the effects when choosing different decision variables. According the literature it was shown that the strategies between channel members depend critically on the form of the demand function. Two different demand forms—linear and non-linear—will be considered in our numerical example respectively. Our major finding is the outcomes are not relative to manufacturers' pricing decisions but to the retailer's pricing decision and choosing percentage margin as retailer's decision variable is the best strategy for the retailer but worst for manufacturers. The numerical results show that it is consistence between linear and non-linear demand form.
26 CFR 1.403(a)-1 - Taxability of beneficiary under a qualified annuity plan.
2010-04-01
... January 1, 1963, and which provide life insurance protection. (e) As to inclusion of full-time life... which are purchased for employees who perform services for certain public schools. (b) The amounts... or made available, as provided in section 72 (relating to annuities), except that certain total...
Banks, James; Crawford, Rowena; Tetlow, Gemma
2015-10-01
We provide new empirical evidence on the importance of defined contribution pension wealth in England, and the nature of annuitization decisions taken by older adults who retire with such sources of wealth. Other things equal, financial literacy, and numeracy in particular, are important factors governing individuals' choices over whether to shop around for an annuity as opposed to taking the 'path of least resistance' option and purchasing from their original pension fund provider. This has important policy and welfare implications given that buying an annuity on the open market has significant financial benefits for most people. In the context of the increasing reliance on private provision for retirement, the importance of individuals having the financial literacy to successfully navigate complex financial decisions late in life should not be underestimated.
Business cycles and natural gas prices
International Nuclear Information System (INIS)
Apostolos, S.; Asghar, S.
2005-01-01
This paper investigates the basic stylised facts of natural gas price movements using data for the period that natural gas has been traded on an organised exchange and the methodology suggested by Kydland and Prescott (1990). Our results indicate that natural gas prices are procyclical and lag the cycle of industrial production. Moreover, natural gas prices are positively contemporaneously correlated with United States consumer prices and lead the cycle of consumer prices, raising the possibility that natural gas prices might be a useful guide for US monetary policy, like crude oil prices are, possibly serving as an important indicator variable. (author)
International Nuclear Information System (INIS)
Eltony, M. Nagy; Al-Awadi, Mohammad
2001-01-01
In this study, a vector autoregression model (VAR) and a vector error correction model (VECM) were estimated to examine the impact of oil price fluctuations on seven key macroeconomic variables for the Kuwaiti economy. Quarterly data for the period 1984-1998 were utilised. Theoretically and empirically speaking, VECM is superior to the VAR approach. Also, the results corresponding to the VECM model are closer to common sense. However, the estimated models indicate a high degree of interrelation between major macroeconomic variables. The empirical results highlight the causality running from the oil prices and oil revenues, to government development and current expenditure and then towards other variables. For the most part, the empirical evidence indicates that oil price shocks and hence oil revenues have a notable impact on government expenditure, both development and current. However, government development expenditure has been influenced relatively more. The results also point out the significant of the CPI in explaining a notable part of the variations of both types of government expenditure. On the other hand, the variations in value of imports are mostly accounted for by oil revenue fluctuations. On the other hand, the variations in value of imports are mostly accounted for by oil revenue fluctuations and then by the fluctuation in government development expenditures. Also, the results from the VECM approach indicate that a significant part of LM2 variance is explained by the variance in oil revenue. It reaches about 46 per cent in the 10th quarter, even more than its own variations. (Author)
20 CFR 222.31 - Relationship as child for annuity and lump-sum payment purposes.
2010-04-01
... 20 Employees' Benefits 1 2010-04-01 2010-04-01 false Relationship as child for annuity and lump... UNDER THE RAILROAD RETIREMENT ACT FAMILY RELATIONSHIPS Relationship as Child § 222.31 Relationship as... the employee. For procedures on how a determination of the person's relationship to the employee is...
International Nuclear Information System (INIS)
Toalster, J.
1992-01-01
In this paper, four different, popular approaches to the analysis of oil price movements will be considered and an alternative method will be proposed. Whilst we await the development of a rigorous theoretical framework within which to evaluate the phenomenon of oil price movements some progress may be effected by an amalgam of approaches, with the traditional supply and demand model being supplemented by observations regarding political and social developments in particular countries or regions, together with an assessment of emerging and prospective technological achievements. In this way it should be possible to identify the critical influences at work, from which it should also be possible to select either the single most important variable or combination of variables, affecting the oil price. Moreover, it is my belief that the crucial variables influencing the oil price almost certainly, are more likely to be political and social, rather than economic. In this context and notwithstanding the fact that there is only a minimal level of surplus productive capacity in the world oil industry at present (perhaps 1-2 million b/d albeit rising rapidly), it is reasonable to conclude that oil prices will average around $18-19 a barrel for North Sea Brent in 1992 and 1993, with oscillations of $2-4 a barrel either side, rising slightly in 1994 to $19-20 a barrel and to $20-21 a barrel in 1995. Thereafter, the most likely outcome is for a rise in line with inflation (say $ a barrel/annum) with no prospect of an upward spike, because demand will be weaker than most commentators expect up to the year 2000, whilst OPEC oil supplies will be substantially higher than the consensus forecast. (author)
Does PPP hold for Big Mac price or consumer price index? Evidence from panel cointegration
Chien-Fu Chen; Chung-Hua Shen; Chien-An Wang
2007-01-01
This paper examines the validity of purchasing power parity (PPP) using CPI and Big Mac prices. The benchmark model, i.e., the OLS method, which does not take nonstationarity into account, rejects the hypothesis of PPP regardless of prices used. We next use the panel cointegration method to consider the nonstationary nature of variables. Estimated results for CPI are mixed. The PPP is rejected when the nominal exchange rate is employed as the dependent variable but is not rejected when the pr...
Demand Uncertainty and Price Stabilization
E. Kwan Choi; Stanley R. Johnson
1987-01-01
Price stabilization is an important policy goal of government intervention in competitive markets. These policies are primarily directed at raising producer income and stabilizing market prices at levels acceptable to consumers and producers (Fox 1956, Turnovsky 1978, Newbery and Stiglitz 1979). Many of the stabilization policy results have been developed from the study of agricultural commodity markets. In these markets, prices tend to be highly variable due to uncertain and inelastic supply...
Carver, Andrew B.
2013-01-01
Equity Indexed Annuities (EIAs) are controversial financial products because the payoffs to investors are based on formulas that are supposedly too complex for average investors to understand. This brief describes how Monte Carlo simulation can provide insight into the true risk and return of an EIA. This approach can be used as a project…
Improving the Forecasting Accuracy of Crude Oil Prices
Directory of Open Access Journals (Sweden)
Xuluo Yin
2018-02-01
Full Text Available Currently, oil is the key element of energy sustainability, and its prices and economy have a strong mutual influence. Modeling a good method to accurately predict oil prices over long future horizons is challenging and of great interest to investors and policymakers. This paper forecasts oil prices using many predictor variables with a new time-varying weight combination approach. In doing so, we first use five single-variable time-varying parameter models to predict crude oil prices separately. Second, every special model is assigned a time-varying weight by the new combination approach. Finally, the forecasting results of oil prices are calculated. The results show that the paper’s method is robust and performs well compared to random walk.
Price-Matching leads to the Cournot Outcome
DEFF Research Database (Denmark)
Batsaikhan, Mongoljin; Tumennasan, Norovsambuu
Bertrand competition that the market price in the presence of a price-matching option ranges from the monopolistic price to the Bertrand price. Our result suggests that the effect of price-matching depends on whether the output is a choice variable for the firms.......We study the effects of price-matching in a duopoly setting in which each firm selects both its price and output, simultaneously. We show that the availability of a pricematching option leads to the Cournot outcome in this setting. This result is a stark contrast to the one obtained in the standard...
International Nuclear Information System (INIS)
Bondia, Ripsy; Ghosh, Sajal; Kanjilal, Kakali
2016-01-01
Increasing greenhouse gas emissions, exhaustibility and geo-politics induced price volatility of crude oil has magnified the importance of looking for alternative sources of energy. In this paper, we investigate the long term relationship of stock prices of alternative energy companies with oil prices in a multivariate framework. To this end, we use threshold cointegration tests, which endogenously incorporate possible regime shifts in long run relationship of underlying variables. In contrast to the findings of the previous study by Managi and Okimoto (2013), our results indicate presence of cointegration among the variables with two endogenous structural breaks. This study confirms that ignoring the presence of structural breaks in a long time series data, as has been done in previous study, can produce misleading results. In terms of causality, while the stock prices of alternative energy companies are impacted by technology stock prices, oil prices and interest rates in the short run, there is no causality running towards prices of alternative energy stock prices in the long run. The study discusses the possible reasons behind the empirical findings and concludes with a discussion on short run and long run investment opportunities for the investors. - Highlights: • Cointegration between alternative energy companies stock price and oil price. • Threshold cointegration tests are employed. • Cointegration among the variables exists with two endogenous structural breaks. • Alternative energy companies stock price impacted by oil prices in short run. • No causality running towards prices of alternative energy stock prices in long run.
Directory of Open Access Journals (Sweden)
Lya Aklimawati
2013-12-01
Full Text Available High volatility cocoa price movement is consequenced by imbalancing between power demand and power supply in commodity market. World economy expectation and market liberalization would lead to instability on cocoa prices in the international commerce. Dynamic prices moving erratically influence the benefit of market players, particularly producers. The aim of this research is (1 to estimate the empirical cocoa prices model for responding market dynamics and (2 analyze short-term and long-term effect of price determinants variables on cocoa prices. This research was carried out by analyzing annualdata from 1980 to 2011, based on secondary data. Error correction mechanism (ECM approach was used to estimate the econometric model of cocoa price.The estimation results indicated that cocoa price was significantly affected by exchange rate IDR-USD, world gross domestic product, world inflation, worldcocoa production, world cocoa consumption, world cocoa stock and Robusta prices at varied significance level from 1 - 10%. All of these variables have a long run equilibrium relationship. In long run effect, world gross domestic product, world cocoa consumption and world cocoa stock were elastic (E >1, while other variables were inelastic (E <1. Variables that affecting cocoa pricesin short run equilibrium were exchange rate IDR-USD, world gross domestic product, world inflation, world cocoa consumption and world cocoa stock. The analysis results showed that world gross domestic product, world cocoa consumption and world cocoa stock were elastic (E >1 to cocoa prices in short-term. Whereas, the response of cocoa prices was inelastic to change of exchange rate IDR-USD and world inflation.Key words: Price
Asymmetric and nonlinear pass-through of crude oil prices to gasoline and natural gas prices
International Nuclear Information System (INIS)
Atil, Ahmed; Lahiani, Amine; Nguyen, Duc Khuong
2014-01-01
In this article, we use the recently developed nonlinear autoregressive distributed lags (NARDL) model to examine the pass-through of crude oil prices into gasoline and natural gas prices. Our approach allows us to simultaneously test the short- and long-run nonlinearities through positive and negative partial sum decompositions of the predetermined explanatory variables. It also offers the possibility to quantify the respective responses of gasoline and natural gas prices to positive and negative oil price shocks from the asymmetric dynamic multipliers. The obtained results indicate that oil prices affect gasoline prices and natural gas prices in an asymmetric and nonlinear manner, but the price transmission mechanism is not the same. Important policy implications can be learned from the empirical findings. - Highlights: • The pass-through of crude oil prices into gasoline and natural gas prices is examined. • We use a NARDL model to test for the long-run and short-run asymmetric reactions. • Both gasoline and natural gas prices significantly adjust to changes in the price of oil. • Negative oil shocks have greater effects than positive oil shocks. • Policy implications are discussed
Explaining crude oil prices using fundamental measures
International Nuclear Information System (INIS)
Coleman, Les
2012-01-01
Oil is the world's most important commodity, and improving the understanding of drivers of its price is a longstanding research objective. This article analyses real oil prices during 1984–2007 using a monthly dataset of fundamental and market parameters that cover financial markets, global economic growth, demand and supply of oil, and geopolitical measures. The innovation is to incorporate proxies for speculative and terrorist activity and dummies for major industry events, and quantify price impacts of each. New findings are positive links between oil prices and speculative activity, bond yields, an interaction term incorporating OPEC market share and OECD import dependence, and the number of US troops and frequency of terrorist attacks in the Middle East. Shocks also prove significant with a $6–18 per barrel impact on price for several months. - Highlights: ► Article introduces new variables to the study of oil prices. ► New variables are terrorist incidents and military activity, and oil futures market size. ► Shocks prove important affecting prices by $6–18 per barrel for several months. ► OPEC market influence rises with OECD import dependence.
High prices on electric power now again?
International Nuclear Information System (INIS)
Doorman, Gerard
2003-01-01
Deregulation of the electric power market has yielded low prices for the consumers throughout the 1990s. Consumption has now increased considerably, but little new production has been added. This results in high prices in dry years, but to understand this one must understand price formation in the Nordic spot market. The high prices are a powerful signal to the consumers to reduce consumption, but they are also a signal to the producers to seize any opportunity to increase production. However, the construction of new dams etc. stirs up the environmentalists. Ordinary consumers may protect themselves against high prices by signing fixed-price contracts. For those who can tolerate price fluctuations, spot prices are a better alternative than the standard contract with variable price
Environmental factors influencing fluctuation of share prices on ...
African Journals Online (AJOL)
Environmental factors influencing fluctuation of share prices on Nigeria stock exchange market. ... What are these environmental variables that affect the fluctuation of share prices in Nigeria? ... The results show inflation, money supply, total deficits index of industrial production, interest rate and GDP influence stock prices.
2010-04-01
...) and Table II of § 1.72-9 (male, age 70; female, age 67)) 19.7 Expected return as of the annuity... estate $280 for business expenses for which his estate was liable and $100 for taxes accrued on certain...
Assessing the effect of oil price on world food prices: Application of principal component analysis
International Nuclear Information System (INIS)
Esmaeili, Abdoulkarim; Shokoohi, Zainab
2011-01-01
The objective of this paper is to investigate the co-movement of food prices and the macroeconomic index, especially the oil price, by principal component analysis to further understand the influence of the macroeconomic index on food prices. We examined the food prices of seven major products: eggs, meat, milk, oilseeds, rice, sugar and wheat. The macroeconomic variables studied were crude oil prices, consumer price indexes, food production indexes and GDP around the world between 1961 and 2005. We use the Scree test and the proportion of variance method for determining the optimal number of common factors. The correlation coefficient between the extracted principal component and the macroeconomic index varies between 0.87 for the world GDP and 0.36 for the consumer price index. We find the food production index has the greatest influence on the macroeconomic index and that the oil price index has an influence on the food production index. Consequently, crude oil prices have an indirect effect on food prices. - Research Highlights: →We investigate the co-movement of food prices and the macroeconomic index. →The crude oil price has indirect effect on the world GDP via its impacts on food production index. →The food production index is the source of causation for CPI and GDP is affected by CPI. →The results confirm an indirect effect among oil price, food price principal component.
Price satisfaction and producer loyalty
DEFF Research Database (Denmark)
Mutonyi, Sarah; Beukel, Karin; Gyau, Amos
2016-01-01
Purpose The purpose of this paper is to investigate which dimensions of price satisfaction influence producers’ trust in buyers and assess the mediating role of such trust in the relationship between price satisfaction and producer loyalty in fresh fruit supply chains. Design/methodology/approach......Purpose The purpose of this paper is to investigate which dimensions of price satisfaction influence producers’ trust in buyers and assess the mediating role of such trust in the relationship between price satisfaction and producer loyalty in fresh fruit supply chains. Design...... reliability, and relative price are dimensions of price satisfaction that affect producers’ trust in the buyer. Moreover, trust between the producer and the buyer is found to be a strong mediator between price satisfaction and producer loyalty. The findings support recent studies about trust and its mediating...... between the multi-dimensional nature of price satisfaction and producer loyalty with trust as a mediating variable in the business-to-business (B2B) context. Although B2B relationships have been shown to be of great importance for smallholders in enhancing business performance with their buyers, little...
International Nuclear Information System (INIS)
Gallo, Andres; Mason, Paul; Shapiro, Steve; Fabritius, Michael
2010-01-01
The continuing increases in oil prices have renewed the argument over the real culprits behind these movements. The growth in demand for oil in international markets, especially from the United States and China, is often identified as the main source of consumption pressure on prices, and thus the upward trend in oil prices. This paper uses unit root tests with two endogenous breaks to analyze the characteristics of oil prices, production, and consumption for several countries. By taking into account structural breaks, we find that many countries' oil consumption and oil prices are stationary, while other countries' are not. We also perform causality tests to determine the direction of any possible relationship between oil price and oil consumption and production. Our statistical analysis reveals that production variables cause oil prices, while oil prices tend to cause consumption. As a result, we claim that the blame for the recent fluctuations in oil prices is more appropriately associated with supply factors, not consumption influences. (author)
Modeling the stock price returns volatility using GARCH(1,1) in some Indonesia stock prices
Awalludin, S. A.; Ulfah, S.; Soro, S.
2018-01-01
In the financial field, volatility is one of the key variables to make an appropriate decision. Moreover, modeling volatility is needed in derivative pricing, risk management, and portfolio management. For this reason, this study presented a widely used volatility model so-called GARCH(1,1) for estimating the volatility of daily returns of stock prices of Indonesia from July 2007 to September 2015. The returns can be obtained from stock price by differencing log of the price from one day to the next. Parameters of the model were estimated by Maximum Likelihood Estimation. After obtaining the volatility, natural cubic spline was employed to study the behaviour of the volatility over the period. The result shows that GARCH(1,1) indicate evidence of volatility clustering in the returns of some Indonesia stock prices.
Actuarial risk measures for financial derivative pricing
Goovaerts, M.J.; Laeven, R.J.A.
2008-01-01
We present an axiomatic characterization of price measures that are superadditive and comonotonic additive for normally distributed random variables. The price representation derived involves a probability measure transform that is closely related to the Esscher transform, and we call it the
The Value of Negotiating Cost-Based Transfer Prices
Directory of Open Access Journals (Sweden)
Anne Chwolka
2010-10-01
Full Text Available This paper analyzes the potential of one-step transfer prices based on either variable or full costs for coordinating decentralized production and quality-improving investment decisions. Transfer prices based on variable costs fail to induce investments on the upstream stage. In contrast, transfer prices based on full costs provide strong investment incentives for the upstream divisions. However, they fail to coordinate the investment decisions. We show that negotiations prevent such coordination failure. In particular, we find that the firm benefits from a higher degree of decentralization so that total profit increases in the number of parameters being subject to negotiations.
Price Overreactions in the Cryptocurrency Market
Caporale, Guglielmo Maria; Plastun, Alex
2018-01-01
This paper examines price overreactions in the case of the following cryptocurrencies: BitCoin, LiteCoin, Ripple and Dash. A number of parametric (t-test, ANOVA, regression analysis with dummy variables) and non-parametric (Mann-Whitney U test) tests confirm the presence of price patterns after overreactions: the next-day price changes in both directions are bigger than after "normal" days. A trading robot approach is then used to establish whether these statistical anomalies can be exploited...
The Impact of Macroeconomic Fundamentals on Stock Prices Revisited: Evidence from Indian Data
Directory of Open Access Journals (Sweden)
Pramod Kumar NAIK
2012-11-01
Full Text Available The study investigates the relationships between the Indian stock market index (BSE Sensex and five macroeconomic variables, namely, industrial production index, wholesale price index, money supply, treasury bills rates and exchange rates over the period 1994:04–2011:06. Johansen’s co-integration and vector error correction model have been applied to explore the long-run equilibrium relationship between stock market index and macroeconomic variables. The analysis reveals that macroeconomic variables and the stock market index are co-integrated and, hence, a long-run equilibrium relationship exists between them. It is observed that the stock prices positively relate to the money supply and industrial production but negatively relate to inflation. The exchange rate and the short-term interest rate are found to be insignificant in determining stock prices. In the Granger causality sense, macroeconomic variable causes the stock prices in the long-run but not in the short-run. There is bidirectional causality exists between industrial production and stock prices whereas, unidirectional causality from money supply to stock price, stock price to inflation and interest rates to stock prices are found.
Causality relation between the producer price index and the consumer price index. Ecuador Case
Directory of Open Access Journals (Sweden)
Víctor Quinde Rosales
2018-01-01
Full Text Available The present document is an investigation with a type of inductive reasoning. It evaluated the relationship of causality between the producer price index (IPP, and the consumer price index (IPC in a period from January 1998 to December 2016. The unit root test Dickey-Fuller Augmented (DFA was used under an empirical- analytic paradigm, an autoregressive vector-VAR model was generated and the Granger causality test was performed. The results show a positive trend and seasonality in the data of the variables, a VAR model of two variables was obtained with a number of optimal remnants of fourteen VAR2 (14 to which the causality test was performed, demonstrating a bi - directionality of both indices.
Explaining the so-called 'price premium' in oil markets
International Nuclear Information System (INIS)
Merino, A.; Ortiz, A.
2005-01-01
This paper explores the information content of several variables on the so-called ''oil price premium over fundamentals''. We define this premium as the difference between the market oil price and the estimated price consistent with the OECD's relative industry stock level. By using Granger causality tests and extended regressions we test the systematic ability of a broad set of variables to explain the premium. We find that speculation in the oil market - measured by non-commercial long positions - can improve the traditional model, reducing the premium significantly during some parts of the sample. (author)
Directory of Open Access Journals (Sweden)
De-Lei Sheng
2014-01-01
Full Text Available Defined contribution and annuity contract are merged into one pension plan to study both accumulation phase and distribution phase, which results in such effects that both phases before and after retirement being “defined”. Under the Heston’s stochastic volatility model, this paper focuses on mean-variance insurers with the return of premiums clauses to study the optimal time-consistent investment strategy for the DC pension merged with an annuity contract. Both accumulation phase before retirement and distribution phase after retirement are studied. In the time-consistent framework, the extended Hamilton-Jacobi-Bellman equations associated with the optimization problem are established. Applying stochastic optimal control technique, the time-consistent explicit solutions of the optimal strategies and the efficient frontiers are obtained. In addition, numerical analysis illustrates our results and also deepens our knowledge or understanding of the research results.
International Nuclear Information System (INIS)
Voituriez, T.
2009-01-01
We review in this study the different factors which have been presented by the scientific community as possible explanations of the sudden upsurge in commodity prices between 2006 and 2008. We examine whether scientific evidence validates any causal relationship, and particularly emphasize the role of explanatory variables underpinning the co-movement of energy and food price rises. Our aim is to provide an up-to-date understanding of food and energy market relationships, so as to better anticipate the possible changes in the evolution of prices in the coming years. (author)
Directory of Open Access Journals (Sweden)
Darko Medved
2015-01-01
Full Text Available With the introduction of Solvency II a consistent market approach to the valuation of insurance assets and liabilities is required. For the best estimate of life annuity provisions one should estimate the longevity risk of the insured population in Slovenia. In this paper the current minimum standard in Slovenia for calculating pension annuities is tested using the Lee-Carter model. In particular, the mortality of the Slovenian population is projected using the best fit from the stochastic mortality projections method. The projected mortality statistics are then corrected with the selection effect and compared with the current minimum standard.
Price discrimination in two-sided markets
Directory of Open Access Journals (Sweden)
Kai Zhang
2016-03-01
Full Text Available The use of a price discrimination strategy is an important tool in competition. It can hurt firms and benefit consumers in a one-sided market. However, in two-sided markets, its primary goal is to attract more agents or increase profits. Here, the performance of a second-degree price discrimination strategy in the context of duopoly two-sided platforms is analysed. Two exogenous variables, which include the discount rate and the price discrimination threshold, are used in order to examine whether the price discrimination strategy could help two-sided platforms achieve their objective, which is to maximise their market value. Three cases are considered, and we demonstrate that the price discrimination strategy cannot attract more agents and at the same time increase the profits; a lower price discrimination threshold cannot ensure larger markets shares; a higher discount rate is detrimental to the profit of a platform. However, this is good for its market shares. Moreover, discriminative pricing increases the competition.
Income and price elasticities of electricity demand: Aggregate and sector-wise analyses
Energy Technology Data Exchange (ETDEWEB)
Jamil, Faisal, E-mail: fsljml@hotmail.com [School of Economics, Quaid-e-Azam University, Islamabad (Pakistan); Ahmad, Eatzaz, E-mail: eatzaz@qau.edu.pk [School of Economics, Quaid-e-Azam University, Islamabad (Pakistan)
2011-09-15
Cointegration and vector error correction modeling approaches are widely used in electricity demand analysis. The study rigorously examines the determinants of electricity demand at aggregate and sectoral levels in Pakistan. In the backdrop of severe electricity shortages, our empirical findings give support to the existence of a stable long-run relationship among the variables and indicate that electricity demand is elastic in the long run to both income and price at aggregate level. At sectoral level, long-run income and price elasticity estimates follow this pattern except in agricultural sector, where electricity demand is found elastic to output but inelastic to electricity price. On the contrary, the coefficients for income and price are rather small and mostly insignificant in the short run. We employed temperature index, price of diesel oil and capital stock at aggregate and sectoral levels as exogenous variables. These variables account for most of the variations in electricity demand in the short run. It shows that mechanization of the economy significantly affect the electricity demand at macro level. Moreover, elastic electricity demand with respect to electricity price in most of the sectors implies that electricity price as a policy tool can be used for efficient use and conservation. - Highlights: > The study conducts analysis for aggregate and four sectors. > Sectoral analyses are for residential, commercial, manufacturing and agricultural sectors. > We obtained higher positive income and negative price elasticity in the long run. > The higher price elasticity implies that price can be used as a policy tool. > Capital stock and temperature variables explain most of the short-run demand fluctuations.
Directory of Open Access Journals (Sweden)
Mario Antonio Margarido
2018-01-01
Full Text Available This study aims to determine and analyze the spatial elasticity (or horizontal of price transmission between international sugar prices and the average price received by the Brazilian exporter of sugar, using the Structural Model. The data used are from January/2004 to November/2015. As a result, variations of 1% in the international sugar price are transmitted to the average price received by Brazilian sugar exporters with a magnitude of 0.3% on average, setting inelastic relationship between the two variables and, consequently, the non-occurrence of the law of one price. So, there are mechanisms in this market that are hindering the full functioning of the arbitration. This situation is not unusual, because the sugar is one of the most commercially protected product and suffer much interference.
Panda, S.; Saha, S.; Basu, M.
2013-01-01
Product perishability is an important aspect of inventory control. To minimise the effect of deterioration, retailers in supermarkets, departmental store managers, etc. always want higher inventory depletion rate. In this article, we propose a dynamic pre- and post-deterioration cumulative discount policy to enhance inventory depletion rate resulting low volume of deterioration cost, holding cost and hence higher profit. It is assumed that demand is a price and time dependent ramp-type function and the product starts to deteriorate after certain amount of time. Unlike the conventional inventory models with pricing strategies, which are restricted to a fixed number of price changes and to a fixed cycle length, we allow the number of price changes before as well as after the start of deterioration and the replenishment cycle length to be the decision variables. Before start of deterioration, discounts on unit selling price are provided cumulatively in successive pricing cycles. After the start of deterioration, discounts on reduced unit selling price are also provided in a cumulative way. A mathematical model is developed and the existence of the optimal solution is verified. A numerical example is presented, which indicates that under the cumulative effect of price discounting, dynamic pricing policy outperforms static pricing strategy. Sensitivity analysis of the model is carried out.
CORN PRODUCERS´ RESPONSE TO THE 2001 NITROGEN FERTILIZER PRICE INCREASE
Daberkow, Stan G.; McBride, William D.
2004-01-01
During the past few years, nitrogen fertilizer prices and price volatility have increased. Producers of nitrogen-intensive crops, such as corn, who are faced with increased nitrogen prices or price volatility, can adopt either cost-reducing or price variability-reducing strategies. Using a behavioral model in the logit specification and data from a 2001 national survey of U.S. corn producers, we found that the probability of forward pricing nitrogen fertilizer and the probability of using nit...
SUCIU Titus
2013-01-01
In individual companies, price is one significant factor in achieving marketing success. In many purchase situations, price can be of great importance to customers. Marketers must establish pricing strategies that are compatible with the rest of the marketing mix. Management should decide whether to charge the same price to all similar buyers of identical quantities of a product (a one-price strategy) or to set different prices (a flexible price strategy). Many organizations, especially retai...
Retrospective evaluation of appliance price trends
International Nuclear Information System (INIS)
Dale, Larry; Antinori, Camille; McNeil, Michael; McMahon, James E.; Sydny Fujita, K.
2009-01-01
Real prices of major appliances (refrigerators, dishwashers, heating and cooling equipment) have been falling since the late 1970s despite increases in appliance efficiency and other quality variables. This paper demonstrates that historic increases in efficiency over time, including those resulting from minimum efficiency standards, incur smaller price increases than were expected by the Department of Energy (DOE) forecasts made in conjunction with standards. This effect can be explained by technological innovation, which lowers the cost of efficiency, and by market changes contributing to lower markups and economies of scale in production of higher efficiency units. We reach four principal conclusions about appliance trends and retail price setting: 1.For the past several decades, the retail price of appliances has been steadily falling while efficiency has been increasing. 2.Past retail price predictions made by the DOE analyses of efficiency standards, assuming constant prices over time, have tended to overestimate retail prices. 3.The average incremental price to increase appliance efficiency has declined over time. DOE technical support documents have typically overestimated this incremental price and retail prices. 4.Changes in retail markups and economies of scale in production of more efficient appliances may have contributed to declines in prices of efficient appliances
Pricing end-of-life components
Vadde, Srikanth; Kamarthi, Sagar V.; Gupta, Surendra M.
2005-11-01
The main objective of a product recovery facility (PRF) is to disassemble end-of-life (EOL) products and sell the reclaimed components for reuse and recovered materials in second-hand markets. Variability in the inflow of EOL products and fluctuation in demand for reusable components contribute to the volatility in inventory levels. To stay profitable the PRFs ought to manage their inventory by regulating the price appropriately to minimize holding costs. This work presents two deterministic pricing models for a PRF bounded by environmental regulations. In the first model, the demand is price dependent and in the second, the demand is both price and time dependent. The models are valid for single component with no inventory replenishment sale during the selling horizon . Numerical examples are presented to illustrate the models.
Relative Pricing of Publicly Traded U.S. Electric Utility Companies
Jewczyn, Nicholas Stephen
In the financial turmoil of 2008, U.S. firms reported debt-ratios that differed from the debt-ratios calculated from balance sheets. The problem is that investors bought common stock expecting initial investment return and lost money when companies delisted. The purpose of this quantitative study was to determine sample securities pricing with the application of synthetic assets and debt accrued. Addressed in the research questions was whether those securities were (a) underpriced compared with return-on-assets (ROA), (b) overpriced compared with ROA, (c) a debt-ratio higher than 60% and also overpriced, (d) underpriced with a synthetic asset added, or (e) related by relative pricing to variant pricing and market capitalization. The study's base theory was Pan's efficient market hypothesis (EMH) of security price prediction of market prices versus model prices. The data from the financial statements of 16 publicly traded U.S. electric utility companies were analyzed via correlations and multiple regression analyses to determine securities pricing and suitability. The findings from the analyses of the sample's variables of market price, book value, market-to-book, and study constructed variables from those variable data were statistically significant. The alternate hypotheses were accepted for all 5 research questions since the analytical operationalization of the hypothetical constructs led to significant relationships. Results suggest that the use of more pricing determinants in securities evaluation may lead to investors losing less money and earning the expected returns for a more efficient capital market, leading to a stronger economy and macroeconomic stability.
2010-04-01
... out of the rents or other income of the land, whether or not it is a charge upon the income of the... paid by reason of death of insured, employees' death benefits, see section 101 and the regulations thereunder; (4) Annuities paid by employees' trusts, see section 402 and the regulations thereunder; (5...
Price Analysis of Railway Freight Transport under Marketing Mechanism
Shi, Ying; Fang, Xiaoping; Chen, Zhiya
Regarding the problems in the reform of the railway tariff system and the pricing of the transport, by means of assaying the influence of the price elasticity on the artifice used for price, this article proposed multiple regressive model which analyzed price elasticity quantitatively. This model conclude multi-factors which influences on the price elasticity, such as the averagely railway freight charge, the averagely freight haulage of proximate supersede transportation mode, the GDP per capita in the point of origin, and a series of dummy variable which can reflect the features of some productive and consume demesne. It can calculate the price elasticity of different classes in different domains, and predict the freight traffic volume on different rate levels. It can calculate confidence-level, and evaluate the relevance of each parameter to get rid of irrelevant or little relevant variables. It supplied a good theoretical basis for directing the pricing of transport enterprises in market economic conditions, which is suitable for railway freight, passenger traffic and other transportation manner as well. SPSS (Statistical Package for the Social Science) software was used to calculate and analysis the example. This article realized the calculation by HYFX system(Ministry of Railways fund).
NEURAL NETWORKS FOR STOCK MARKET OPTION PRICING
Directory of Open Access Journals (Sweden)
Sergey A. Sannikov
2017-03-01
Full Text Available Introduction: The use of neural networks for non-linear models helps to understand where linear model drawbacks, coused by their specification, reveal themselves. This paper attempts to find this out. The objective of research is to determine the meaning of “option prices calculation using neural networks”. Materials and Methods: We use two kinds of variables: endogenous (variables included in the model of neural network and variables affecting on the model (permanent disturbance. Results: All data are divided into 3 sets: learning, affirming and testing. All selected variables are normalised from 0 to 1. Extreme values of income were shortcut. Discussion and Conclusions: Using the 33-14-1 neural network with direct links we obtained two sets of forecasts. Optimal criteria of strategies in stock markets’ option pricing were developed.
Income and price elasticities of electricity demand: Aggregate and sector-wise analyses
International Nuclear Information System (INIS)
Jamil, Faisal; Ahmad, Eatzaz
2011-01-01
Cointegration and vector error correction modeling approaches are widely used in electricity demand analysis. The study rigorously examines the determinants of electricity demand at aggregate and sectoral levels in Pakistan. In the backdrop of severe electricity shortages, our empirical findings give support to the existence of a stable long-run relationship among the variables and indicate that electricity demand is elastic in the long run to both income and price at aggregate level. At sectoral level, long-run income and price elasticity estimates follow this pattern except in agricultural sector, where electricity demand is found elastic to output but inelastic to electricity price. On the contrary, the coefficients for income and price are rather small and mostly insignificant in the short run. We employed temperature index, price of diesel oil and capital stock at aggregate and sectoral levels as exogenous variables. These variables account for most of the variations in electricity demand in the short run. It shows that mechanization of the economy significantly affect the electricity demand at macro level. Moreover, elastic electricity demand with respect to electricity price in most of the sectors implies that electricity price as a policy tool can be used for efficient use and conservation. - Highlights: → The study conducts analysis for aggregate and four sectors. → Sectoral analyses are for residential, commercial, manufacturing and agricultural sectors. → We obtained higher positive income and negative price elasticity in the long run. → The higher price elasticity implies that price can be used as a policy tool. → Capital stock and temperature variables explain most of the short-run demand fluctuations.
Gramse, M; Wille, G
1980-06-01
Annuities granted because of unfitness for work in general or unfitness to perform particular professional work are being paid in Germany by a state insurance agency. Unfitness for work has to be ascertained in each individual case as has been ruled by jurisdiction of the Highest German Court. It is the task of the medical expert in the course of this procedure to register the clinical status of the applicants and to reach a medical judgment in regard to fitness for work. This judgment does not rely upon the diagnosis or prognosis of a particular disease; a decreased fitness for work because of a particular disease can only be assumed if the disease has led to long-term irreversible deficient organ functions. Annuities for a limited time period may be granted if there is a chance for improvement of health. Problems of finding expert judgement are reported.
Comparative analysis of used car price evaluation models
Chen, Chuancan; Hao, Lulu; Xu, Cong
2017-05-01
An accurate used car price evaluation is a catalyst for the healthy development of used car market. Data mining has been applied to predict used car price in several articles. However, little is studied on the comparison of using different algorithms in used car price estimation. This paper collects more than 100,000 used car dealing records throughout China to do empirical analysis on a thorough comparison of two algorithms: linear regression and random forest. These two algorithms are used to predict used car price in three different models: model for a certain car make, model for a certain car series and universal model. Results show that random forest has a stable but not ideal effect in price evaluation model for a certain car make, but it shows great advantage in the universal model compared with linear regression. This indicates that random forest is an optimal algorithm when handling complex models with a large number of variables and samples, yet it shows no obvious advantage when coping with simple models with less variables.
Revenue Improvement Through Demand-Dependent Pricing of Network Services
National Research Council Canada - National Science Library
Sanders, David
2000-01-01
... of the expectation of rewards based upon variable demands. This work shows that revenue improvement can occur in this network environment when a dynamic pricing policy is applied as opposed to optimal static pricing...
Method of determining the efficiency of price and non-price competition in service sector
Directory of Open Access Journals (Sweden)
Savel’eva Nadezhda
2017-01-01
Full Text Available With the end of 2014, the domestic banking system has serious difficulties with the availability of capital for lending and investment programs. Problems based on international political divisions, and their resolution lies in the distant future. in these circumstances, the government is concerned about the development of the Russian banking system in terms of ensuring their competitiveness in the international arena. foreign capital has always been a cheap resource for the domestic banking system, the problem area remains its state at the time of lifting of sanctions. Nowadays banks are forced to use different competition methods in target to adapt to environmental changes and ensure competitive success. So the development of methods for price and non-price competition has economic importance. Analysis of qualitative methodological foundations in banks service revealed strong background. Based on neoteric qualitative evaluation methodology, authors developed method for price and non-price competitiveness. It defines variables of price and non-price competitiveness, to set the value factors, to identify the closest competitors, and to set the position of a particular bank among other participants. It also helps to shape competitors dossier based on the evaluated score.
R.P. Faber (Riemer)
2010-01-01
textabstractThis thesis studies price data and tries to unravel the underlying economic processes of why firms have chosen these prices. It focuses on three aspects of price setting. First, it studies whether the existence of a suggested price has a coordinating effect on the prices of firms.
Regional price differences and food consumption frequency among elementary school children.
Sturm, R; Datar, A
2011-03-01
Food prices may affect diet and weight gain among youth and lead to geographic disparities in obesity. This paper examines the association between regional prices and consumption frequency of fruit/vegetables and snack items among elementary school children in the USA. Observational study using individual-level survey data of fifth-grade children (average age 11 years) and regional food prices based on store visits in 2004. Dependent variables are self-reported consumption frequency in fifth grade; primary explanatory variables are metropolitan area food prices relative to cost of living. Multivariate regression analysis. Price variation across metropolitan areas exists, and lower real prices for vegetables and fruits predict significantly higher intake frequency. Higher dairy prices predict lower frequency of milk consumption, while higher meat prices predict increased milk consumption. Similar price effects were not found for fast food or soft drink consumption. The geographic variation in food prices across the USA is sufficiently large to affect dietary patterns among youth for fruit, vegetables and milk. The price variation is either too small to affect children's consumption frequency of fast food or soft drinks, or the consumption of these foods is less price sensitive. Copyright © 2010 The Royal Society for Public Health. Published by Elsevier Ltd. All rights reserved.
Fischer, Richard B.
1986-01-01
Defines key terms and discusses things to consider when setting fees for a continuing education program. These include (1) the organization's philosophy and mission, (2) certain key variables, (3) pricing strategy options, and (4) the test of reasonableness. (CH)
Role of e-WOM in Hospitality Market Pricing
Directory of Open Access Journals (Sweden)
Kościółek Szczepan
2017-07-01
Full Text Available Aim/purpose - Online assessments are one of the main factors determining a customer's choice of accommodation. This article examines their relationship to prices in the low and high season in Cracow's hospitality market. The question of which attributes in hotel ratings explain the change in price levels was investigated. Design/methodology/approach - The inference was based on ratings and hotel room offers published on the Booking.com platform. Data were collected and estimated for the representative number of 97 hotels in Cracow. Regression analysis was then used to estimate the model. Findings - The results of the analysis showed that price levels for the high and low seasons are correlated with ratings for comfort and location. It is more precise to use these variables as an explanation for prices in the high season. Guests' perceptions of comfort and location are combined with other hotel features. Research implications/limitations - The study showed which of the hotel parameters should be enhanced when rationally increasing price levels. The limitations of the study are that it covered only one Polish city, collected data from a single website, and omitted other variables to explain the prices of hotel rooms. Originality/value/contribution - This is one of the first papers to examine the correlation between electronic consumer ratings and price levels in the Polish hospitality market and one of few investigations based on the role of e-WOM for the pricing of all objects in the sector, not just for a specific category of hotels. Keywords: consumer ratings, e-WOM, hospitality market, online reviews, pricing.
Martin Feldstein
1989-01-01
The social security program now provides a constant real benefit throughout each retirees lifetime. This paper examines whether total welfare would rise if benefits were lower in early retirement years (when most individuals have some saving with which to finance consumption) and higher in later years (when the uncertainty of survival and the absence of actuarially fair private annuities makes the availability of social security benefits more important.) The analysis shows that there is a pot...
The Impact of Macroeconomic Indicators on Indian Stock Prices: An Empirical Analysis
Directory of Open Access Journals (Sweden)
Giri A. K.
2017-04-01
Full Text Available The purpose of the present study is to examine the long run and the short run relationship between stock price and a set of macroeconomic variables for Indian economy using annual data from 1979 to 2014. The long run relationship is examined by implementing the ARDL bounds testing approach to co-integration. VECM method is used to test the short and long run causality and variance decomposition is used to predict long run exogenous shocks of the variables. The results confirm a long run relationship among the variables. Evidence suggests that Economic growth, inflation and exchange rate influence stock prices positively. However, crude oil price influences the stock price negatively. This implies that the increase in oil price induces inflationary expectation in the mind of investors and hence stock prices are adversely affected. The VECM result indicates that short run and long run unidirectional causality running from economic growth and FDI to stock prices in India. The result of the variance decomposition shows that stock market development in India is mostly explained by its own shocks. The Government can take steps to control the crude oil price in India and Investors’ confidence has to be gained by boosting the economic growth of the economy through appropriate policy tools.
Price volatility in wind dominant electricity markets
DEFF Research Database (Denmark)
Farashbashi-Astaneh, Seyed-Mostafa; Chen, Zhe
2013-01-01
High penetration of intermittent renewable energy sources causes price volatility in future electricity markets. This is specially the case in European countries that plan high penetration levels. This highlights the necessity for revising market regulations and mechanisms in accordance...... to generation combination portfolio. Proposed solutions should be able to tackle with emerging challenges which are mainly due to high variability and unpredictability of intermittent renewable resources. In this paper high price volatility will be introduced as an emerging challenge in wind dominant...... electricity markets. High price volatility is unappreciated because it imposes high financial risk levels to both electricity consumers and producers. Additionally high price variations impede tracking price signals by consumers in future smart grid and jeopardize implementation of demand response concepts...
Oil price fluctuations and the Nigerian economy
International Nuclear Information System (INIS)
Ayadi, O.F.
2005-01-01
The single most important issue confronting a growing number of world economies today is the price of oil and its attendant consequences on economic output. Several studies have taken the approach of Hamilton (1983) in investigating the effect of oil price shocks on levels of gross domestic product. The focus of this paper is primarily on the relationship between oil price changes and economic development via industrial production. A vector auto regression model is employed on some macroeconomic variables from 1980 through 2004. The results indicate that oil price changes affect real exchange rates, which, in turn, affect industrial production. However, this indirect effect of oil prices on industrial production is not statistically significant. Therefore, the implication of the results presented in this paper is that an increase in oil prices does not lead to an increase in industrial production in Nigeria. (author)
Coal Price Forecasting and Structural Analysis in China
Directory of Open Access Journals (Sweden)
Xiaopeng Guo
2016-01-01
Full Text Available Coal plays an important role in China’s energy structure and its price has been continuously decreasing since the second half of 2012. Constant low price of coal affected the profits of coal enterprises and the coal use of its downstream firms; the precision of coal price provides a reference for these enterprises making their management strategy. Based on the historical data of coal price and related factors such as port stocks, sales volume, futures prices, Producer Price Index (PPI, and crude oil price rate from November 2013 to June 2016, this study aims to forecast coal price using vector autoregression (VAR model and portray the dynamic correlations between coal price and variables by the impulse response function and variance decomposition. Comparing predicted and actual values, the root mean square error (RMSE was small which indicated good precision of this model. Thus this short period prediction can help these enterprises make the right business decisions.
Impact of cigarette minimum price laws on the retail price of cigarettes in the USA.
Tynan, Michael A; Ribisl, Kurt M; Loomis, Brett R
2013-05-01
Cigarette price increases prevent youth initiation, reduce cigarette consumption and increase the number of smokers who quit. Cigarette minimum price laws (MPLs), which typically require cigarette wholesalers and retailers to charge a minimum percentage mark-up for cigarette sales, have been identified as an intervention that can potentially increase cigarette prices. 24 states and the District of Columbia have cigarette MPLs. Using data extracted from SCANTRACK retail scanner data from the Nielsen company, average cigarette prices were calculated for designated market areas in states with and without MPLs in three retail channels: grocery stores, drug stores and convenience stores. Regression models were estimated using the average cigarette pack price in each designated market area and calendar quarter in 2009 as the outcome variable. The average difference in cigarette pack prices are 46 cents in the grocery channel, 29 cents in the drug channel and 13 cents in the convenience channel, with prices being lower in states with MPLs for all three channels. The findings that MPLs do not raise cigarette prices could be the result of a lack of compliance and enforcement by the state or could be attributed to the minimum state mark-up being lower than the free-market mark-up for cigarettes. Rather than require a minimum mark-up, which can be nullified by promotional incentives and discounts, states and countries could strengthen MPLs by setting a simple 'floor price' that is the true minimum price for all cigarettes or could prohibit discounts to consumers and retailers.
7 CFR 1000.50 - Class prices, component prices, and advanced pricing factors.
2010-01-01
... 7 Agriculture 9 2010-01-01 2009-01-01 true Class prices, component prices, and advanced pricing... advanced pricing factors. Class prices per hundredweight of milk containing 3.5 percent butterfat, component prices, and advanced pricing factors shall be as follows. The prices and pricing factors described...
Cordeiro De Sousa, João
2017-01-01
The reduction in price of solar PV technology led, in the recent years, multiple investors to apply for installing new solar PV power plants in Portugal which would operate without subsidies or feed-in-tari s. In 2016 it was reported the approval of construction of such power plants and given the low variable cost of this technology it is expected that their penetration would reduce the electricity market prices. Hence, before doing the economic assessment of potential new sola...
2010-04-01
...) with respect to the valuation of the remainder interest in property transferred to a charitable... 26 Internal Revenue 14 2010-04-01 2010-04-01 false Valuation of annuities, unitrust interests...) ESTATE AND GIFT TAXES GIFT TAX; GIFTS MADE AFTER DECEMBER 31, 1954 General Actuarial Valuations § 25.7520...
Directory of Open Access Journals (Sweden)
Luciana Koprencka
2016-04-01
Full Text Available The real estate market is complex and influenced by too many factors. Real Estate market in Albania has experienced a boom after the 1990. We have inherited from the communist system a very poor market of housing. The number of dwellings in 1990 in Albania was 219 dwellings per 1000 inhabitants and the useful floor space was 5 m² per person, but in Bulgaria number of dwellings per 1,000 people varies 465 and in Romania average useful floor space per person was 37 sq. The data used in this study are derived from the database of the World Bank, the Institute of Statistics, reports of Bank of Albania also from information provided individually on the ground and different sources. In this study is analyzed the relationship that exists between economic growth, remittances and the price of dwellings in Albania. The dependent variable is the average price of housing in major cities of Albania. Independent variables in the model are GDP per capita and the remittances. The Econometric model is a Linear Regress equation and the period are the years from 1998 to 2013. The model used is the statistical program EViews 6.0. Unfortunately the information let the desired, so we do not have an official detailed information on prices of Albanian real estate market. In Albania few researchers have been studying real estate market in Albania.
Customer perspectives on district heating price models
Directory of Open Access Journals (Sweden)
Kerstin Sernhed
2017-01-01
Full Text Available In Sweden there has been a move towards more cost reflective price models for district heating in order to reduce economic risks that comes with variable heat demand and high shares of fixed assets. The keywords in the new price models are higher shares of fixed cost, seasonal energy prices and charging for capacity. Also components that are meant to serve as incentives to affect behaviour are introduced, for example peak load components and flow components. In this study customer responses to these more complex price models have been investigated through focus group interviews and through interviews with companies that have changed their price models. The results show that several important customer requirements are suffering with the new price models. The most important ones are when energy savings do not provide financial savings, when costs are hard to predict and are perceived to be out of control.
Effects of price and availability on abortion demand.
Gohmann, S F; Ohsfeldt, R L
1993-10-01
This study explained the variation in US state abortion demand due to the price of services, the net of insurance cost of birth services, the ability to pay, contraceptive use, individual attitudes regarding abortion, and government policy affecting cost of benefits of terminating an unintended pregnancy or of carrying to birth. The empirical model uses pooled data from 48 states for 1982, 1984, 1985, and 1987. Prices are deflated to 1977 dollars. Another two-staged least squares model is based on cross-sectional state level data for 1985. The dependent variable is the log of abortion per 1000 pregnancies. Other variables pertain to income, education, labor force, family planning, tax, aid to families with dependent children, religion, and abortion-related measures. The results of the cross-sectional analysis are consistent with Medoff's and Garbacz's findings. The estimated coefficient of per capita income is positive with a point elasticity ranging from 0.62 to 1.0. The model with the most complete specifications has an abortion price elasticity range from -0.75 to -1.3 and is statistically significant when religion measures are excluded. The Hausman test shows the pro-choice variable significantly correlated with the error term. The net price of birth services is not statistically significant. Catholic religion and no religion are only significant when the abortion provider variable is excluded. The suggestion is that the effect of Catholicism is ambiguous. In the pooled analysis, the fixed effects model is used to control for abortion attitudes and other unobserved factors. Abortion demand includes abortion per 1000 pregnancies, the ratio of abortions to pregnancies, and the logarithm of abortions per 1000 pregnancies. Higher income is associated with a higher abortion rate and elasticities of 0.76 and 0.35 and is associated with a higher pregnancy rate. The abortion ratio is found to be elastic with respect to price, and price elasticities are sensitive to
Relationship between performance measurements and sale price of ...
African Journals Online (AJOL)
Unknown
Abstract. The sale prices of 1 609 Dorper rams sold between 1990 and 1999 were compared with their measured performances. An analysis of variance was carried out in order to determine which variables influenced sale price. The most importance factors were classification (stud vs. commercial), auction weight and coat ...
2010-04-01
... following conditions must be satisfied: (1) The contributions must be paid toward the purchase of retirement... taxable year toward the purchase of retirement annuities (or for disability, severance, insurance..., experience rating credits, or surrender or cancellation credits. The arrangement may be in the form of...
Gas pricing in developing countries: A case study of Pakistan
International Nuclear Information System (INIS)
Sohail, H.M.; Abid, M.S.; Ansari, A.M.
1994-01-01
Pakistan, a developing country, has gone through various phases of formulating gas pricing policies during its 40-year history of natural gas production and consumption. This paper identifies critical factors that influenced gas pricing policies in Pakistan and adverse effects experienced when any of these factors was not given proper consideration. For instance, on the producer's side, discounted pricing formulas discouraged further exploration and development, leaving high-potential areas unexplored and discovered fields dormant for more than a decade. On the consumer's side, subsidized gas prices encouraged consumption to rise steeply without new discoveries to offset additional surplus consumption. The paper also discusses various short- and long-term variables that should go into a gas pricing policy for developing countries. References to recent policies are also given, indicating how these variables were incorporated in real terms. The conclusions and recommendations, based on Pakistan's long experience with the gas industry, should be useful for other oil-importing countries rich in indigenous gas resources
Constrained Monopoly Pricing with Random Participation
Basaluzzo, Gabriel; Miravete, Eugenio J
2007-01-01
We present a flexible model of monopoly nonlinear pricing with endogenous participation decisions of heterogeneous consumers. We make use of the moments that define the few self-selecting tariff options that are commonly used to implement the optimal nonlinear tariff to estimate how demand and cost variables affect the pricing strategies offered by incumbent monopolists in several early U.S. local cellular telephone markets through the different elements of the theoretical model: marginal cos...
International Nuclear Information System (INIS)
Nese, Gjermund
2004-11-01
The report focuses on the pricing of natural gas. The motivation has been the wish of the Norwegian authorities to increase the use of natural gas and that this should follow market conditions. The pricing of gas occurs at present in various ways in the different markets. The report identifies to main factors behind the pricing. 1) The type of market i.e. how far the liberalization of the gas markets has gone in the various countries. 2) The development within the regulation, climate and tax policies. The gas markets are undergoing as the energy markets in general, a liberalization process where the traditional monopoly based market structures are replaced by markets based on competition. There are great differences in the liberalization development of the various countries, which is reflected in the various pricing principles applied for the trade of gas in the countries. The analysis shows that the net-back-pricing is predominant in some countries i.e. that the price is in various ways indexed towards and follow the development of the price of alternative energy carriers so that the gas may be able to compete. The development towards trade places for gas where the pricing is based on offer and demand is already underway. As the liberalization of the European gas markets progresses it is expected that the gas price will be determined increasingly at spot markets instead of through bilateral agreements between monopolistic corporations. The development within the regulation, climate and tax policies and to what extent this may influence the gas prices in the future, are also studied. There seem to be effects that may pull in both directions but it is evident that these political variables will influence the gas pricing in the international market to a large extent and thereby also the future internal natural gas market
The behavior of hake prices in Chile: is the world market leading?
Directory of Open Access Journals (Sweden)
Felipe Quezada
2014-11-01
Full Text Available In this study we analyzed price determination throughout the Chilean hake market chain. To analyze the relationship between different prices participating in this chain, a VECM model was successfully estimated. One cointegration vector was identified. Tests for weak exogenous variables, causality, and significance of different variables were performed, and a parsimonious version of the model was selected. The results obtained in this paper outline a price determination process that, in the end, is governed by world market conditions. Moreover, the diverse links in the hake market chain seem to be well integrated, which implies that there is little room for domestic price determination.
2011-10-31
... annuity conversion rate. Under PBGC's operating policy on cash balance plans (established pre-PPA 2006... pension equity plan that provides for the use of deferred annuity conversion factors (or an interest rate... annuity conversion plan that uses a variable interest rate to determine the amount of a benefit, PBGC...
The Effect of Macroeconomic Factors on Stock Prices of Swiss Real Estate Companies
Directory of Open Access Journals (Sweden)
Marie Ligocká
2016-01-01
Full Text Available Stock values of companies listed on stock exchanges could be influenced by many factors. The aim of this article is to examine existence and character of relationship between stock prices of selected Swiss real estate companies and macroeconomic fundamentals (GDP, interest rate, price level. The existence of long-run equilibrium relationship between stock prices and macroeconomic fundamentals is tested with the Johansen cointegration. The short run dynamics between the variables is examined by Vector Error Correction modelling and the Granger causality test. During the period 2005 – 2014 we revealed a long‑run equilibrium for five of the six analyzed stocks. We also confirmed that macroeconomic variables and the interest rate in particular, can explain a long-run behavior of stock prices. By contrast, macroeconomic variables are usually short in explanation of short‑run dynamics of stock prices. However, the results differ substantially among the stocks and, hence, they prevent us from drawing any general conclusion for the entire real estate sector in Switzerland.
Impacts of Variable Renewable Energy on Bulk Power System Assets, Pricing, and Costs
Energy Technology Data Exchange (ETDEWEB)
Wiser, Ryan H. [Lawrence Berkeley National Lab. (LBNL), Berkeley, CA (United States); Mills, Andrew [Lawrence Berkeley National Lab. (LBNL), Berkeley, CA (United States); Seel, Joachim [Lawrence Berkeley National Lab. (LBNL), Berkeley, CA (United States); Levin, Todd [Argonne National Lab. (ANL), Argonne, IL (United States); Botterud, Audun [Argonne National Lab. (ANL), Argonne, IL (United States)
2017-11-29
We synthesize available literature, data, and analysis on the degree to which growth in variable renewable energy (VRE) has impacted to date or might in the future impact bulk power system assets, pricing, and costs. We do not analyze impacts on specific power plants, instead focusing on national and regional system-level trends. The issues addressed are highly context dependent—affected by the underlying generation mix of the system, the amount of wind and solar penetration, and the design and structure of the bulk power system in each region. Moreover, analyzing the impacts of VRE on the bulk power system is a complex area of research and there is much more to be done to increase understanding of how VRE impacts the dynamics of current and future electricity markets. While more analysis is warranted, including additional location-specific assessments, several high-level findings emerge from this synthesis: -VRE Is Already Impacting the Bulk Power Market -VRE Impacts on Average Wholesale Prices Have Been Modest -VRE Impacts on Power Plant Retirements Have So Far Been Limited -VRE Impacts on the Bulk Power Market will Grow with Penetration -The ’System Value’ of VRE will Decline with Penetration -Power System Flexibility Can Reduce the Rate of VRE Value Decline All generation types are unique in some respect—bringing benefits and challenges to the power system—and wholesale markets, industry investments, and operational procedures have evolved over time to manage the characteristics of a changing generation fleet. With increased VRE penetrations, power system planners, operators, regulators, and policymakers will continue to be challenged to develop methods to smoothly and cost-effectively manage the reliable integration of these new and growing sources of electricity supply.
Can environmental sustainability be used to manage energy price risk?
International Nuclear Information System (INIS)
Henriques, Irene; Sadorsky, Perry
2010-01-01
Energy security issues and climate change are two of the most pressing problems facing society and both of these problems are likely to increase energy price variability in the coming years. This paper develops and estimates a model of a company's energy price exposure and presents evidence showing that increases in a company's environmental sustainability lowers its energy price exposure. This result is robust across two different measures of energy prices. These results should be useful to companies seeking new ways of addressing energy price risk as well as governments concerned about the impact that energy price risk can have on economic growth and prosperity. (author)
STOCK PRICES, 1900-1995: THE REAL AND NOMINAL STORY
Directory of Open Access Journals (Sweden)
Kenneth Weiher
2000-01-01
Full Text Available Prompted by the inflation-adjusted Dow Jones Industrials Average setting its first record high in almost thirty years in 1995, this paper studies the impact of inflation on nominal and real stock prices from a theoretical, historical, and empirical perspective. While stocks are an excellent longterm hedge against inflation, nominal stock prices stagnate and real stock prices fall during a period of rapid inflation. Both nominal and real stockprices then go through a catch-up phase during the subsequent disinflation period. The history for this century is consistent with this pattern. Regression analysis between real and nominal stock prices as the dependent variables and inflation as the independent variable shows statistically significant evidence that (a nominal stock returns are positively related to inflation while real stock returns are not; and (b both nominal and real stock returns are negatively related to accelerations of inflation and positively related to decelerations.
Price sensitivity of residential energy consumption in Norway
International Nuclear Information System (INIS)
Nesbakken, R.
1999-01-01
The main aim of this paper is to test the stability of the results of a model which focus on the relationship between the choice of heating equipment and the residential energy consumption. The results for the income and energy price variables are of special interest. Stability in the time dimension is tested by applying the model on micro data for each of the years 1993-1995. The parameter estimates are stable within a 95% confidence interval. However, the estimated impact of the energy price variable on energy consumption was considerably weaker in 1994 than in 1993 and 1995. The results for two different income groups in the pooled data set are also subject to stability testing. The energy price sensitivity in residential energy consumption is found to be higher for high-income households than for low-income households. 19 refs
The effect of costs and regulation on electricity prices
International Nuclear Information System (INIS)
Schlaf, E.P.
1991-01-01
Two distinct econometric tests were performed to determine if state price regulation of public utilities has had a measurable impact on retail electricity prices. The results of both tests agree that, during the 1971-1985 period, average national electricity prices in each of the three major consuming sectors and the four Census regions were below the level which would have been preferred by profit-maximizing monopolists. Electricity consumers received price benefits during the sample period as a result of regulation. The first test of the effectiveness of state price regulation used a 'revealed preference' approach by comparing the actual prices set by regulatory commissioners with prices and outcomes predicted by three competing theories of regulatory motivation. The second test of the effectiveness of price regulation combined traditional cost function inputs with regulatory variables in reduced-form price equations to determine whether the amount of regulatory intensity, as measured by the number of staff members per regulated utility, is associated with declining electricity prices and whether appointed commissioners allow higher prices than elected commissioners
Expectations, learning, and the changing relationship between oil prices and the macroeconomy
Energy Technology Data Exchange (ETDEWEB)
Milani, Fabio [Department of Economics, 3151 Social Science Plaza, University of California, Irvine, CA 92697-5100 (United States)
2009-11-15
This paper estimates a structural general equilibrium model to investigate the changing relationship between the oil price and macroeconomic variables. The oil price, through the role of oil in production and consumption, affects aggregate demand and supply in the model. The assumption of rational expectations is relaxed in favor of learning. Oil prices, therefore, affect the economy through an additional channel, i.e. through their effect on the formation of agents' beliefs. The estimated learning dynamics indicates that economic agents' perceptions about the effects of oil prices on the economy have changed over time: oil prices were perceived to have large effects on output and inflation in the 1970s, but only milder effects after the mid-1980s. Since expectations play a large role in the determination of output and inflation, the effects of oil price increases on expectations can magnify the response of macroeconomic variables to oil price shocks. In the estimated model, in fact, the implied responses of output and inflation to oil price shocks were much more pronounced in the 1970s than in 2008. Therefore, through the time variation in the impact of oil prices on beliefs, the paper can successfully explain the observed weakening of the effects of oil price shocks on real activity and inflation. (author)
Expectations, learning, and the changing relationship between oil prices and the macroeconomy
International Nuclear Information System (INIS)
Milani, Fabio
2009-01-01
This paper estimates a structural general equilibrium model to investigate the changing relationship between the oil price and macroeconomic variables. The oil price, through the role of oil in production and consumption, affects aggregate demand and supply in the model. The assumption of rational expectations is relaxed in favor of learning. Oil prices, therefore, affect the economy through an additional channel, i.e. through their effect on the formation of agents' beliefs. The estimated learning dynamics indicates that economic agents' perceptions about the effects of oil prices on the economy have changed over time: oil prices were perceived to have large effects on output and inflation in the 1970s, but only milder effects after the mid-1980s. Since expectations play a large role in the determination of output and inflation, the effects of oil price increases on expectations can magnify the response of macroeconomic variables to oil price shocks. In the estimated model, in fact, the implied responses of output and inflation to oil price shocks were much more pronounced in the 1970s than in 2008. Therefore, through the time variation in the impact of oil prices on beliefs, the paper can successfully explain the observed weakening of the effects of oil price shocks on real activity and inflation. (author)
Directory of Open Access Journals (Sweden)
Salvador Cruz Rambaud
2015-07-01
Full Text Available This paper proposes an expression of the value of an annuity with payments of 1 unit each when the interest rate is random. In order to attain this objective, we proceed on the assumption that the non-central moments of the capitalization factor are known. Specifically, to calculate the value of these annuities, we propose two different expressions. First, we suppose that the random interest rate is normally distributed; then, we assume that it follows the beta distribution. A practical application of these two methodologies is also implemented using the R statistical software.
ACCESSIBILITY TO CENTER BUSINESS DISTRICT AND LAND PRICE
Directory of Open Access Journals (Sweden)
Suparmono Suparmono
2014-10-01
Full Text Available AbstractThis paper models land price for housing in Sleman district. It uses a multiple regression model to estimate the land price based on various variables. It finds six variables that influence the land price, namely the land width, width of the nearest road, width of the nearest main road, distance to the nearest main road, distance to Yogyakarta ring road, and the travel time to Gadjah Mada University campus. It also finds four insignificant variables, namely distance to Malioboro road, distance to Gadjah Mada University campus, travel time to Yogyakarta ring road, and travel time to Malioboro. Keyword: Land price, center of business district, accessibilityJEL classification numbers: D46, D49AbstrakPaper ini memodelkan harga tanah untuk perumahan di Kabupaten Sleman menggunakan model regresi berganda untuk memperkirakan harga tanah berdasarkan berbagai variabel. Paper ini menemukan enam variabel yang mempengaruhi harga tanah, yaitu lebar tanah, lebar jalan terdekat, lebar jalan utama terdekat, jarak ke jalan utama terdekat, jarak ke jalan lingkar Yogyakarta, dan waktu perjalanan ke Universitas Gadjah Mada. Paper ini juga menemukan empat variabel yang tidak signifikan, yaitu jarak ke jalan Malioboro, jarak ke kampus Universitas Gadjah Mada, waktu tempuh ke jalan lingkar Yogyakarta, dan waktu tempuh ke Malioboro.Keyword: Harga tanah, center of business district, aksesibilitasJEL classification numbers: D46, D49
How have hospitals faced the pricing issues of the 1990's?
Kleimenhagen, A; Naidu, G M; Pillari, G D
1994-01-01
National health care expenditures are rising rapidly, bringing on a health care financing crisis. For this reason, it is useful to see how hospitals are facing the price issues of the 1990's. This study examines the price strategies hospitals follow and analyzes their observations on price sensitivity and payer mix. The results clearly show that hospitals have not given much attention to the pricing variable. The study suggests that marketing and finance will have to work closely together in developing future pricing strategies.
The impact of oil-price shocks on Hawaii's economy: A case study using vector autoregression
International Nuclear Information System (INIS)
Gopalakrishnan, C.; Tian, X.; Tran, D.
1991-01-01
The effects of oil-price shocks on the macroeconomic performance of a non-oil-producing, oil-importing state are studied in terms of Hawaii's experience (1974-1986) using Vector Autoregression (VAR). The VAR model contains three macrovariables-real oil price, interest rate, and real GNP, and three regional variable-total civilian labor force, Honolulu consumer price index, and real personal income. The results suggested that oil-price shock had a positive effect on interest rate as well as local price (i.e., higher interest and higher local price), but a negative influence on real GNP. The negative income effect, however, was offset by the positive employment effect. The price of oil was found to be exogenous to all other variables in the system. The macrovariables exerted a pronounced impact on Hawaii's economy, most notably on consumer price
Price Determinants of the Tendering Process for Pharmaceuticals in the Cyprus Market.
Petrou, Panagiotis; Talias, Michael A
2015-09-01
Tendering has been a promising approach for procuring pharmaceuticals. Significant price reductions have been well documented by several authors. To our knowledge, there are limited data detailing the impact of variables in the tendering process. In this article, our objective was to evaluate the impact of potentially exploratory variables, which included innovation status, total value and volume of sales of each product, health care setting administration (hospital/outpatient), patent status (branded/generic), tendering type, and wholesale price, on price reduction in the tendering process. Financial data of public sector sales during 2011 were analyzed. On the basis of these data, we selected 178 medicines with corresponding sales of €49 million, out of a total market value of €104 million. Medicines were selected according to volume, value, and therapeutic value across all therapeutic areas. We performed a beta regression for the assessment of impact of variables and applied the same methodology to different subgroups. The generic status of medicines is statistically significantly associated with a higher price reduction. Tendering type by alternative, high wholesale prices, and high volume are robust estimators for price reduction. Innovation status does not have any effect on price reduction. Outpatient medicines reach lower prices as compared with hospital medicines. A rather unexpected finding is the negative correlation of high sales value with price reduction. These findings will lead to better understanding of the tendering framework, enabling us to further evolve its operational capacity, aiming to generate more savings. Moreover, our study indicates areas in which a more optimized approach is needed. Copyright © 2015 International Society for Pharmacoeconomics and Outcomes Research (ISPOR). Published by Elsevier Inc. All rights reserved.
Determinants of market prices of shares on the capital market of Bosnia and Herzegovina
Directory of Open Access Journals (Sweden)
Alihodžić Almir
2017-01-01
Full Text Available Stock markets are efficient if the prices at any time reflect all publicly available information. Share prices should be adjusted at those points when investors try to take advantage of the new information that was not subject to accounting recognition. The main goal of this paper will be to determine whether the financial statements of a selected group of companies listed on the Sarajevo and Banja Luka Stock Exchange represent a good basis and reflect the market price or simply follow the legal obligations and requirements by regulatory agencies. The paper is based on the regression analysis of dependent and independent variables in the period from 2011 to 2015. The dependent variable will be the closing trading price on the stock exchanges, whereas the independent variables will be: the market price and earnings (PE ratio, earnings per share (EPS, net profit after tax (NP, return on equity (ROE, the market and book value (PB ratio, and the total turnover on the stock exchanges (TR.
7 CFR 1124.50 - Class prices, component prices, and advanced pricing factors.
2010-01-01
... 7 Agriculture 9 2010-01-01 2009-01-01 true Class prices, component prices, and advanced pricing factors. 1124.50 Section 1124.50 Agriculture Regulations of the Department of Agriculture (Continued... prices, and advanced pricing factors. See § 1000.50. ...
7 CFR 1030.50 - Class prices, component prices, and advanced pricing factors.
2010-01-01
... 7 Agriculture 9 2010-01-01 2009-01-01 true Class prices, component prices, and advanced pricing factors. 1030.50 Section 1030.50 Agriculture Regulations of the Department of Agriculture (Continued... prices, and advanced pricing factors. See § 1000.50. ...
International Nuclear Information System (INIS)
Groenewegen, G.G.
1992-01-01
On a conference (Gas for Europe in the 1990's) during the Gasexpo '91 the author held a speech of which the Dutch text is presented here. Attention is paid to the current European pricing methods (prices based on the costs of buying, transporting and distributing the natural gas and prices based on the market value, which is deducted from the prices of alternative fuels), and the transparency of the prices (lack of information on the way the prices are determined). Also attention is paid to the market signal transparency and gas-gas competition, which means a more or less free market of gas distribution. The risks of gas-to-gas competition for a long term price stability, investment policies and security of supply are discussed. Opposition against the Third Party Access (TPA), which is the program to implement gas-to-gas competition, is caused by the fear of natural gas companies for lower gas prices and lower profits. Finally attention is paid to government regulation and the activities of the European Commission (EC) in this matter. 1 fig., 6 ills., 1 tab
Electricity price forecasting in deregulated markets: A review and evaluation
Energy Technology Data Exchange (ETDEWEB)
Aggarwal, Sanjeev Kumar; Saini, Lalit Mohan; Kumar, Ashwani [Department of Electrical Engineering, National Institute of Technology, Kurukshetra, Haryana (India)
2009-01-15
The main methodologies used in electricity price forecasting have been reviewed in this paper. The following price-forecasting techniques have been covered: (i) stochastic time series, (ii) causal models, and (iii) artificial intelligence based models. The quantitative analysis of the work done by various authors has been presented based on (a) time horizon for prediction, (b) input variables, (c) output variables, (d) results, (e) data points used for analysis, (f) preprocessing technique employed, and (g) architecture of the model. The results have been presented in the form of tables for ease of comparison. Classification of various price-influencing factors used by different researchers has been done and put for reference. Application of various models as applied to different electricity markets is also presented for consideration. (author)
Electricity price forecasting in deregulated markets: A review and evaluation
International Nuclear Information System (INIS)
Aggarwal, Sanjeev Kumar; Saini, Lalit Mohan; Kumar, Ashwani
2009-01-01
The main methodologies used in electricity price forecasting have been reviewed in this paper. The following price-forecasting techniques have been covered: (i) stochastic time series, (ii) causal models, and (iii) artificial intelligence based models. The quantitative analysis of the work done by various authors has been presented based on (a) time horizon for prediction, (b) input variables, (c) output variables, (d) results, (e) data points used for analysis, (f) preprocessing technique employed, and (g) architecture of the model. The results have been presented in the form of tables for ease of comparison. Classification of various price-influencing factors used by different researchers has been done and put for reference. Application of various models as applied to different electricity markets is also presented for consideration. (author)
Joint pricing and inventory replenishment decisions with returns and expediting
Zhu, Stuart X.
2012-01-01
We study a single-item periodic-review model for the joint pricing and inventory replenishment problem with returns and expediting. Demand in consecutive periods are independent random variables and their distributions are price sensitive. At the end of each period, after the demand is realized, a
DOMESTIC AND FORIGN FACTORS FOR STOCK PRICES IN INDONESIA
Directory of Open Access Journals (Sweden)
Rahajeng Cahyaning Putri Cipto
2011-09-01
Full Text Available Indonesia has been developing various sectors of its economy, and so it needs a huge amount of capital. Therefore, it has been putting a lot of efforts to develop its capital market. This paper analyzes the impacts of domestic and foreign factors on Indonesia stock price. Some considered domestic factors are interest rates, production index, and foreign exchange rates. Various considered foreign factors are Singapore and US stock prices. The paper uses Vector Error Correction Mechanism model to analyze the data. The estimation results suggest that all variables significantly influence Indonesia stock price, with Singapore stock price as the dominant factors.Keywords: Stock price, interest rates, exchange rates, production indexJEL classification numbers: G12, G15
How intrinsic values influence wines prices
Directory of Open Access Journals (Sweden)
Gál Péter
2017-01-01
Full Text Available The use of hedonic price indices is quite common in the wine economics literature, yet they mainly include scores of organoleptic tests and some dummy variables representing varieties and quality signs as geographical indications. This study focuses on the relation between the composition and the price of wines on the example of Hungarian wines. In Hungary, the wine law renders chemical analysis compulsory for all wines released to the market. The study includes five main compounds: actual alcoholic strength, total sugars, total acidity, sugar free extract and pH value and is based on hedonic price indices calculated on a sample of 2,453 wines. Results of several regressions – using different model specifications – consistently show that actual alcoholic strength, sugar content, sugar free extract and pH value are related with the price. Some characteristics have an optimal level, while in other cases the relation is linear.
Pharmaceutical pricing in Japan: market evidence for rheumatoid arthritis treatment.
Mahlich, Jörg; Kamae, Isao; Sruamsiri, Rosarin
2018-06-01
Drug price setting is one of the key challenges faced by the Japanese health care system. This study aims to identify the determinants of drug price in Japan using the example of the rheumatoid arthritis (RA) treatment market. In order to compare prices across different products, we calculated prices per defined daily dose using WHO methodology. Price determinants were calculated both at launch and over time using IMS quarterly data on medicines approved for RA treatment in Japan from 2012 to 2015. Pharmaceutical pricing was modeled as a function of clinical and economic variables using regression analysis. For prices at the launch we found that differences in efficacy are not reflected in price differentials. We also report that the number of products within a molecule class had a negative effect on prices while originator drugs maintained higher prices. Although the existing pricing rules in Japan are very comprehensive they do not necessarily capture differences in product characteristics. The findings here support the notion that competitive forces are weak in highly regulated markets such as Japan.
Oil Price and Economic Resilience. Romania’s Case
Directory of Open Access Journals (Sweden)
Monica Dudian
2017-02-01
Full Text Available The emerging economies that do not face fiscal, monetary and foreign debt pressures can use the savings generated by lower oil prices for investments in order to generate economic growth. Hence, there is no doubt that the oil price affects the economy’s resilience to shocks. The importance of this impact derives from the magnitude of the price change and its diffusion within the economy. Moreover, the sustainability of any company and of the economy as a whole is subject to the availability and the price of the energy resources. The cost of these resources is an important variable used in the majority of the models regarding the assessment of sustainable development. Therefore, this article examines the impact of the oil price changes on industrial production in Romania. We found that, similar to other countries, in Romania, the growth rate of industrial production responds more strongly to a rise in oil prices. Thus, the oil Brent price has an asymmetric effect on the production evolution. This finding suggests that macroeconomic stabilization is more difficult to achieve when the oil price rises.
Lee, Yong Suk; Kim, Hong-Suk; Kim, Hyung-Do; Yoo, Ki-Bong; Jang, Sung-In; Park, Eun-Cheol
2016-10-01
Cigarette pricing policy is one tool for controlling smoking behavior on a national scale. It is unclear, however, what effects such policy has on adolescents and which characteristic subgroups of adolescents are more or less sensitive to cigarette pricing policy. Our data came from the 2013 Korea Youth Risk Behavior Web-based Survey. The dependent variable was whether or not a participant was classified as a "persistent smokers," defined as a smoker who would continue smoking despite any price increase. Other variables of interest were smoking days (quantity), previous attempts to stop smoking, and previous education on smoking cessation. The statistical analysis was performed using weighted data and the SURVEYFREQ and SURVEYLOGISTIC procedures in SAS 9.3. Among 7094 adolescent smokers (5349 males and 1745 females), 19.9% of males and 25.1% of females reported as persistent smokers. Compared with light smokers, heavy smokers are more likely to be persistent smokers (male: odds ratio [OR] = 2.45, 95% confidence interval [CI] = 2.04-2.95, P value policy than mild smokers, pricing policy alone is not enough to reduce the societal burden caused by smoking. We suggest that additional cessation policy is needed along with pricing policy for adolescents with heavier smoking behavior in Korea. This study shows that heavy smokers are more likely to be persistent smokers despite the cigarette price increase policy, compared with light smokers in Korean adolescents. Because heavier smokers were less sensitive to pricing policy than mild smokers, pricing policy alone is not enough to reduce the societal burden caused by smoking. We suggest that additional tobacco control policies should be evaluated and effective ones implemented in addition to cigarette prices to reduce smoking among regular adolescent smokers. © The Author 2016. Published by Oxford University Press on behalf of the Society for Research on Nicotine and Tobacco. All rights reserved. For permissions, please e
CAUSAL RELATIONSHIPS BETWEEN GRAIN, MEAT PRICES AND EXCHANGE RATES
Directory of Open Access Journals (Sweden)
Naveen Musunuru
2017-10-01
Full Text Available Understanding agricultural commodity price relationships are important as they help producers improve their awareness regarding production costs and ultimately aid in income determination. The present paper empirically examines the dynamic interrelationships among grain, meat prices and the U.S. dollar exchange rate. Johansen cointegration tests reveal no cointegrating relationships among the study variables. Majority of the commodities studied in the paper exhibited unidirectional causality except for corn and lean hogs. The vector autoregression (VAR model results indicate that the grain and meat prices are influenced by their own past prices. The role of exchange rates is found to be limited in linking the agricultural commodities.
Directory of Open Access Journals (Sweden)
Claudio Monteiro
2016-09-01
Full Text Available This paper presents novel intraday session models for price forecasts (ISMPF models for hourly price forecasting in the six intraday sessions of the Iberian electricity market (MIBEL and the analysis of mean absolute percentage errors (MAPEs obtained with suitable combinations of their input variables in order to find the best ISMPF models. Comparisons of errors from different ISMPF models identified the most important variables for forecasting purposes. Similar analyses were applied to determine the best daily session models for price forecasts (DSMPF models for the day-ahead price forecasting in the daily session of the MIBEL, considering as input variables extensive hourly time series records of recent prices, power demands and power generations in the previous day, forecasts of demand, wind power generation and weather for the day-ahead, and chronological variables. ISMPF models include the input variables of DSMPF models as well as the daily session prices and prices of preceding intraday sessions. The best ISMPF models achieved lower MAPEs for most of the intraday sessions compared to the error of the best DSMPF model; furthermore, such DSMPF error was very close to the lowest limit error for the daily session. The best ISMPF models can be useful for MIBEL agents of the electricity intraday market and the electric energy industry.
Denli, H. H.; Koc, Z.
2015-12-01
Estimation of real properties depending on standards is difficult to apply in time and location. Regression analysis construct mathematical models which describe or explain relationships that may exist between variables. The problem of identifying price differences of properties to obtain a price index can be converted into a regression problem, and standard techniques of regression analysis can be used to estimate the index. Considering regression analysis for real estate valuation, which are presented in real marketing process with its current characteristics and quantifiers, the method will help us to find the effective factors or variables in the formation of the value. In this study, prices of housing for sale in Zeytinburnu, a district in Istanbul, are associated with its characteristics to find a price index, based on information received from a real estate web page. The associated variables used for the analysis are age, size in m2, number of floors having the house, floor number of the estate and number of rooms. The price of the estate represents the dependent variable, whereas the rest are independent variables. Prices from 60 real estates have been used for the analysis. Same price valued locations have been found and plotted on the map and equivalence curves have been drawn identifying the same valued zones as lines.
Adaptation of warrant price with Black Scholes model and historical volatility
Aziz, Khairu Azlan Abd; Idris, Mohd Fazril Izhar Mohd; Saian, Rizauddin; Daud, Wan Suhana Wan
2015-05-01
This project discusses about pricing warrant in Malaysia. The Black Scholes model with non-dividend approach and linear interpolation technique was applied in pricing the call warrant. Three call warrants that are listed in Bursa Malaysia were selected randomly from UiTM's datastream. The finding claims that the volatility for each call warrants are different to each other. We have used the historical volatility which will describes the price movement by which an underlying share is expected to fluctuate within a period. The Black Scholes model price that was obtained by the model will be compared with the actual market price. Mispricing the call warrants will contribute to under or over valuation price. Other variables like interest rate, time to maturity date, exercise price and underlying stock price are involves in pricing call warrants as well as measuring the moneyness of call warrants.
Fuzzy Optimization of Option Pricing Model and Its Application in Land Expropriation
Directory of Open Access Journals (Sweden)
Aimin Heng
2014-01-01
Full Text Available Option pricing is irreversible, fuzzy, and flexible. The fuzzy measure which is used for real option pricing is a useful supplement to the traditional real option pricing method. Based on the review of the concepts of the mean and variance of trapezoidal fuzzy number and the combination with the Carlsson-Fuller model, the trapezoidal fuzzy variable can be used to represent the current price of land expropriation and the sale price of land on the option day. Fuzzy Black-Scholes option pricing model can be constructed under fuzzy environment and problems also can be solved and discussed through numerical examples.
Market Makers' Supply and Pricing of Financial Market Liquidity
Shen, Pu; Starr, Ross M.
2000-01-01
This study models the bid-ask spread in financial markets as a function of asset price variability and order flow. The market-maker is characterized as passively accepting orders to buy and to sell a security at the market's prevailing price (plus or minus half the bid-ask spread). The bid-ask spread adjusts to cover market-makers' average costs. The bid-ask spread then varies positively with: the security's price volatility, the volatility of order flow, and the absolute value of the market-...
The asymmetric effects of oil price and monetary policy shocks. A nonlinear VAR approach
International Nuclear Information System (INIS)
Rahman, Sajjadur; Serletis, Apostolos
2010-01-01
In this paper we investigate the asymmetric effects of oil price shocks and monetary policy on macroeconomic activity, using monthly data for the United States, over the period from 1983:1 to 2008:12. In doing so, we use a logistic smooth transition vector autoregression (VAR), as detailed in Terasvirta and Anderson (1992) and Weise (1999), and make a distinction between two oil price volatility regimes (high and low), using the realized oil price volatility as a switching variable. We isolate the effects of oil price and monetary policy shocks and their asymmetry on output growth and, following Koop et al. (1996) and Weise (1999), we employ simulation methods to calculate Generalized Impulse Response Functions (GIRFs) to trace the effects of independent shocks on the conditional means of the variables. Our results suggest that in addition to the price of oil, oil price volatility has an impact on macroeconomic activity and that monetary policy is not only reinforcing the effects of oil price shocks on output, it is also contributing to the asymmetric response of output to oil price shocks. (author)
The asymmetric effects of oil price and monetary policy shocks. A nonlinear VAR approach
Energy Technology Data Exchange (ETDEWEB)
Rahman, Sajjadur [Department of Economics, University of Saskatchewan, Saskatoon (Canada); Serletis, Apostolos [Department of Economics, University of Calgary, Calgary (Canada)
2010-11-15
In this paper we investigate the asymmetric effects of oil price shocks and monetary policy on macroeconomic activity, using monthly data for the United States, over the period from 1983:1 to 2008:12. In doing so, we use a logistic smooth transition vector autoregression (VAR), as detailed in Terasvirta and Anderson (1992) and Weise (1999), and make a distinction between two oil price volatility regimes (high and low), using the realized oil price volatility as a switching variable. We isolate the effects of oil price and monetary policy shocks and their asymmetry on output growth and, following Koop et al. (1996) and Weise (1999), we employ simulation methods to calculate Generalized Impulse Response Functions (GIRFs) to trace the effects of independent shocks on the conditional means of the variables. Our results suggest that in addition to the price of oil, oil price volatility has an impact on macroeconomic activity and that monetary policy is not only reinforcing the effects of oil price shocks on output, it is also contributing to the asymmetric response of output to oil price shocks. (author)
Relating price strategies and price-setting practices
Ingenbleek, P.T.M.; Lans, van der I.A.
2013-01-01
Purpose - This article addresses the relationship between price strategies and price-setting practices. The first derive from a normative tradition in the pricing literature and the latter from a descriptive tradition. Price strategies are visible in the market, whereas price-setting practices are
Does Pharmaceutical Pricing Transparency Matter? Examining Brazil's Public Procurement System.
Kohler, Jillian Clare; Mitsakakis, Nicholas; Saadat, Faridah; Byng, Danalyn; Martinez, Martha Gabriela
2015-08-04
We review procurement and pricing transparency practices for pharmaceutical products. We specifically focus on Brazil and examine its approach to increasing pricing transparency, with the aim of determining the level of effectiveness in lower prices using a tool (Banco de Preços em Saúde, BPS) that only reveals purchase prices as compared to other tools (in other countries) that establish a greater degree of price transparency. A general report of Preços em Saúde (BPS) and Sistema Integrado de Administração de Serviços Gerais (SIASG) pricing data was created for 25 drugs that met specific criteria. To explore the linear time trend of each of the drugs, separate regression models were fitted for each drug, resulting in a total of 19 models. Each model controlled for the state variable and the interaction between state and time, in order to accommodate expected heterogeneity in the data. Additionally, the models controlled for procurement quantities and the effect they have on the unit price. Secondary analysis using mixed effects models was also carried out to account for the impact that institutions and suppliers may have upon the unit price. Adjusting for these predictor variables (procurement quantities, supplier, purchasing institution) was important to determine the sole effect that time has had on unit prices. A total of 2 x 19 = 38 models were estimated to explore the overall effect of time on changes in unit price. All statistical analyses were performed using the R statistical software, while the linear mixed effects models were fitted using the lme4 R package. The findings from our analysis suggest that there is no pattern of consistent price decreases within the two Brazilian states during the five-year period for which the prices were analyzed. While the BPS does allow for an increase in transparency and information on drug purchase prices in Brazil, it has not shown to lead to consistent reductions in drug purchase prices for some of the most
Carbon pricing in the EU: Evaluation of different EU ETS reform options
International Nuclear Information System (INIS)
Brink, Corjan; Vollebergh, Herman R.J.; Werf, Edwin van der
2016-01-01
This paper studies various options to support allowance prices in the EU Emissions Trading System (ETS), such as adjusting the cap, an auction reserve price, and fixed and variable carbon taxes in addition to the EU ETS. We use a dynamic computable general equilibrium model that explicitly allows for allowance banking and for a detailed cost-effectiveness analysis at the EU Member State level. We find that tightening the cap provides an ad hoc solution to the fundamental issue of the robustness of the effective carbon price, while introducing a price component to the ETS brings structural carbon price support in times of negative demand shocks for emission allowances. These price-based policies still benefit from the intertemporal flexibility through the banking provision in the EU ETS by re-allocating emissions over time with stronger emission reductions in early years and emission increases in later years. A higher emission price has a larger negative impact on the new Member States' economies than on other Member States. Furthermore, introducing a carbon tax in addition to the EU ETS decreases the price of allowances, resulting in welfare gains for net buyers of allowances while net sellers are worse off. - Highlights: • We analyse reform options for European Union Emission Trading System (EU ETS) with a CGE model. • Variable carbon tax and auction reserve price support carbon price at least cost. • Price-based reforms decrease early emissions but increase later emissions through banking. • New Member States' economies are affected more than others by higher CO_2 prices. • Lower allowance prices due to a carbon tax are unfavourable to net sellers of allowances.
Rounaghi, Mohammad Mahdi; Abbaszadeh, Mohammad Reza; Arashi, Mohammad
2015-11-01
One of the most important topics of interest to investors is stock price changes. Investors whose goals are long term are sensitive to stock price and its changes and react to them. In this regard, we used multivariate adaptive regression splines (MARS) model and semi-parametric splines technique for predicting stock price in this study. The MARS model as a nonparametric method is an adaptive method for regression and it fits for problems with high dimensions and several variables. semi-parametric splines technique was used in this study. Smoothing splines is a nonparametric regression method. In this study, we used 40 variables (30 accounting variables and 10 economic variables) for predicting stock price using the MARS model and using semi-parametric splines technique. After investigating the models, we select 4 accounting variables (book value per share, predicted earnings per share, P/E ratio and risk) as influencing variables on predicting stock price using the MARS model. After fitting the semi-parametric splines technique, only 4 accounting variables (dividends, net EPS, EPS Forecast and P/E Ratio) were selected as variables effective in forecasting stock prices.
Endogenous Money, Output and Prices in India
Das, Rituparna
2009-01-01
This paper proposes to quantify the macroeconometric relationships among the variables broad money, lending by banks, price, and output in India using simultaneous equations system keeping in view the issue of endogeneity.
International Nuclear Information System (INIS)
Schreiber, Michael
2017-01-01
To mitigate anthropogenic climate change, both the heating and transport sectors will need to be electrically driven, with the higher electrical demand met by emission-free technologies, in addition to general efficiency improvements. On the generation side, wind and photovoltaic power plants must have a rated power significantly exceeding the current peak demand, in order to cover this increased electrical requirement. On the consumption side, heat pumps and private electric vehicles will increase the percentage of energy withdrawn at the low-voltage level of the new system. Given the right incentives, these customers will shift the energy demand in such a way as to benefit the system. This flexibility can be used as a tool to deal with variable renewable insertion while avoiding simultaneous overloading of the power grid. This thesis analyses and evaluates the effects of different electricity tariff designs on energy consumption. These tariffs should incentivise households to adapt their energy consumption to market prices, without inducing critical peak demands in times of particularly low prices. Therefore, time-varying energy price components and power price components are combined into flexible electricity tariffs and implemented as target functions within an optimization problem. The cost-minimizing effect of household energy management is determined under these flexible tariffs, and the effects of the tariff designs on energy consumption and the induced costs are evaluated. Additionally, the results of the flexible tariff approach are compared with results from a centralized optimization by a virtual power plant. It is possible to develop a design for a suitable flexible tariff that decreases the energy procurement costs of electric vehicles while simultaneously reducing peak demand in comparison to a single real-time pricing incentive. Furthermore, this thesis shows that certain kinds of electricity tariff design do not only fail to support but actually
Reassessing the empirical relationship between the oil price and the dollar
International Nuclear Information System (INIS)
Coudert, Virginie; Mignon, Valérie
2016-01-01
This paper aims at reassessing the empirical relationship between the real price of oil and the U.S. dollar real effective exchange rate over the 1974–2015 period. We find that changes in both variables are now linked by a negative relationship, going from the dollar exchange rate to the real oil price. However, the same relationship is found positive when ending the sample in the mid-2000s, in line with the previous literature. To understand and investigate this evolution, we rely on a nonlinear, smooth transition regression model in which the oil price-dollar nexus depends on the dynamics followed by the U.S. currency. Our results show that the relationship is negative most of the times but turns positive when the dollar hits very high values, as in the early eighties. - Highlights: •We reassess the relationship between the real oil price and the dollar over the 1974–2015 period. •Changes in the two variables are linked by a negative relationship over the whole period. •The link between both variables is positive over the subsample ending in the mid-2000s. •We estimate a nonlinear model in which the oil price-dollar nexus depends on the evolution the dollar. •The relationship is negative most of the times, except when the dollar hits very high values.
Electricity pricing model in thermal generating stations under deregulation
International Nuclear Information System (INIS)
Reji, P.; Ashok, S.; Moideenkutty, K.M.
2007-01-01
In regulated public utilities with competitive power markets, deregulation has replaced the monopoly. Under the deregulated power market, the electricity price primarily depends on market mechanism and power demand. In this market, generators generally follow marginal pricing. Each generator fixes the electricity price based on their pricing strategy and it leads to more price volatility. This paper proposed a model to determine the electricity price considering all operational constraints of the plant and economic variables that influenced the price, for a thermal generating station under deregulation. The purpose of the model was to assist existing stations, investors in the power sector, regulatory authorities, transmission utilities, and new power generators in decision-making. The model could accommodate price volatility in the market and was based on performance incentive/penalty considering plant load factor, availability of the plant and peak/ off peak demand. The model was applied as a case study to a typical thermal utility in India to determine the electricity price. It was concluded that the case study of a thermal generating station in a deregulated environment showed that the electricity price mainly depended on the gross calorific value (GCV) of fuel, mode of operation, price of the fuel, and operating charges. 11 refs., 2 tabs., 1 fig
Exchange rate movement and import price of Machineries in Nigeria ...
African Journals Online (AJOL)
The empirical estimates reveal that one lag variability of import price, exchange rate, foreign cost, domestic competitors price and demand pressure proxied by GDP impact it in the long-run. However, the ECM coefficient is properly signed with -0.549. By implication, approximately 54% of the discrepancy from long run ...
Boosting Learning Algorithm for Stock Price Forecasting
Wang, Chengzhang; Bai, Xiaoming
2018-03-01
To tackle complexity and uncertainty of stock market behavior, more studies have introduced machine learning algorithms to forecast stock price. ANN (artificial neural network) is one of the most successful and promising applications. We propose a boosting-ANN model in this paper to predict the stock close price. On the basis of boosting theory, multiple weak predicting machines, i.e. ANNs, are assembled to build a stronger predictor, i.e. boosting-ANN model. New error criteria of the weak studying machine and rules of weights updating are adopted in this study. We select technical factors from financial markets as forecasting input variables. Final results demonstrate the boosting-ANN model works better than other ones for stock price forecasting.
7 CFR 1131.53 - Announcement of class prices, component prices, and advanced pricing factors.
2010-01-01
... 7 Agriculture 9 2010-01-01 2009-01-01 true Announcement of class prices, component prices, and advanced pricing factors. 1131.53 Section 1131.53 Agriculture Regulations of the Department of Agriculture... class prices, component prices, and advanced pricing factors. See § 1000.53. ...
7 CFR 1005.53 - Announcement of class prices, component prices, and advanced pricing factors.
2010-01-01
... 7 Agriculture 9 2010-01-01 2009-01-01 true Announcement of class prices, component prices, and advanced pricing factors. 1005.53 Section 1005.53 Agriculture Regulations of the Department of Agriculture... class prices, component prices, and advanced pricing factors. See § 1000.53. ...
7 CFR 1126.53 - Announcement of class prices, component prices, and advanced pricing factors.
2010-01-01
... 7 Agriculture 9 2010-01-01 2009-01-01 true Announcement of class prices, component prices, and advanced pricing factors. 1126.53 Section 1126.53 Agriculture Regulations of the Department of Agriculture... class prices, component prices, and advanced pricing factors. See § 1000.53. ...
7 CFR 1032.53 - Announcement of class prices, component prices, and advanced pricing factors.
2010-01-01
... 7 Agriculture 9 2010-01-01 2009-01-01 true Announcement of class prices, component prices, and advanced pricing factors. 1032.53 Section 1032.53 Agriculture Regulations of the Department of Agriculture... class prices, component prices, and advanced pricing factors. See § 1000.53. ...
7 CFR 1030.53 - Announcement of class prices, component prices, and advanced pricing factors.
2010-01-01
... 7 Agriculture 9 2010-01-01 2009-01-01 true Announcement of class prices, component prices, and advanced pricing factors. 1030.53 Section 1030.53 Agriculture Regulations of the Department of Agriculture... of class prices, component prices, and advanced pricing factors. See § 1000.53. ...
7 CFR 1033.53 - Announcement of class prices, component prices, and advanced pricing factors.
2010-01-01
... 7 Agriculture 9 2010-01-01 2009-01-01 true Announcement of class prices, component prices, and advanced pricing factors. 1033.53 Section 1033.53 Agriculture Regulations of the Department of Agriculture... class prices, component prices, and advanced pricing factors. See § 1000.53. ...
7 CFR 1001.53 - Announcement of class prices, component prices, and advanced pricing factors.
2010-01-01
... 7 Agriculture 9 2010-01-01 2009-01-01 true Announcement of class prices, component prices, and advanced pricing factors. 1001.53 Section 1001.53 Agriculture Regulations of the Department of Agriculture... class prices, component prices, and advanced pricing factors. See § 1000.53. ...
7 CFR 1007.53 - Announcement of class prices, component prices, and advanced pricing factors.
2010-01-01
... 7 Agriculture 9 2010-01-01 2009-01-01 true Announcement of class prices, component prices, and advanced pricing factors. 1007.53 Section 1007.53 Agriculture Regulations of the Department of Agriculture... class prices, component prices, and advanced pricing factors. See § 1000.53. ...
7 CFR 1006.53 - Announcement of class prices, component prices, and advanced pricing factors.
2010-01-01
... 7 Agriculture 9 2010-01-01 2009-01-01 true Announcement of class prices, component prices, and advanced pricing factors. 1006.53 Section 1006.53 Agriculture Regulations of the Department of Agriculture... class prices, component prices, and advanced pricing factors. See § 1000.53. ...
Frequency Based Real-time Pricing for Residential Prosumers
Hambridge, Sarah Mabel
This work is the first to explore frequency based pricing for secondary frequency control as a price-reactive control mechanism for residential prosumers. A frequency based real-time electricity rate is designed as an autonomous market control mechanism for residential prosumers to provide frequency support as an ancillary service. In addition, prosumers are empowered to participate in dynamic energy transactions, therefore integrating Distributed Energy Resources (DERs), and increasing distributed energy storage onto the distributed grid. As the grid transitions towards DERs, a new market based control system will take the place of the legacy distributed system and possibly the legacy bulk power system. DERs provide many benefits such as energy independence, clean generation, efficiency, and reliability to prosumers during blackouts. However, the variable nature of renewable energy and current lack of installed energy storage on the grid will create imbalances in supply and demand as uptake increases, affecting the grid frequency and system operation. Through a frequency-based electricity rate, prosumers will be encouraged to purchase energy storage systems (ESS) to offset their neighbor's distributed generation (DG) such as solar. Chapter 1 explains the deregulation of the power system and move towards Distributed System Operators (DSOs), as prosumers become owners of microgrids and energy cells connected to the distributed system. Dynamic pricing has been proposed as a benefit to prosumers, giving them the ability to make decisions in the energy market, while also providing a way to influence and control their behavior. Frequency based real-time pricing is a type of dynamic pricing which falls between price-reactive control and transactive control. Prosumer-to-prosumer transactions may take the place of prosumer-to-utility transactions, building The Energy Internet. Frequency based pricing could be a mechanism for determining prosumer prices and supporting
7 CFR 1033.50 - Class prices, component prices, and advanced pricing factors.
2010-01-01
... 7 Agriculture 9 2010-01-01 2009-01-01 true Class prices, component prices, and advanced pricing factors. 1033.50 Section 1033.50 Agriculture Regulations of the Department of Agriculture (Continued..., and advanced pricing factors. See § 1000.50. ...
7 CFR 1005.50 - Class prices, component prices, and advanced pricing factors.
2010-01-01
... 7 Agriculture 9 2010-01-01 2009-01-01 true Class prices, component prices, and advanced pricing factors. 1005.50 Section 1005.50 Agriculture Regulations of the Department of Agriculture (Continued..., and advanced pricing factors. See § 1000.50. ...
7 CFR 1001.50 - Class prices, component prices, and advanced pricing factors.
2010-01-01
... 7 Agriculture 9 2010-01-01 2009-01-01 true Class prices, component prices, and advanced pricing factors. 1001.50 Section 1001.50 Agriculture Regulations of the Department of Agriculture (Continued..., and advanced pricing factors. See § 1000.50. ...
7 CFR 1006.50 - Class prices, component prices, and advanced pricing factors.
2010-01-01
... 7 Agriculture 9 2010-01-01 2009-01-01 true Class prices, component prices, and advanced pricing factors. 1006.50 Section 1006.50 Agriculture Regulations of the Department of Agriculture (Continued..., and advanced pricing factors. See § 1000.50. ...
7 CFR 1126.50 - Class prices, component prices, and advanced pricing factors.
2010-01-01
... 7 Agriculture 9 2010-01-01 2009-01-01 true Class prices, component prices, and advanced pricing factors. 1126.50 Section 1126.50 Agriculture Regulations of the Department of Agriculture (Continued..., and advanced pricing factors. See § 1000.50. ...
7 CFR 1032.50 - Class prices, component prices, and advanced pricing factors.
2010-01-01
... 7 Agriculture 9 2010-01-01 2009-01-01 true Class prices, component prices, and advanced pricing factors. 1032.50 Section 1032.50 Agriculture Regulations of the Department of Agriculture (Continued..., and advanced pricing factors. See § 1000.50. ...
7 CFR 1131.50 - Class prices, component prices, and advanced pricing factors.
2010-01-01
... 7 Agriculture 9 2010-01-01 2009-01-01 true Class prices, component prices, and advanced pricing factors. 1131.50 Section 1131.50 Agriculture Regulations of the Department of Agriculture (Continued..., and advanced pricing factors. See § 1000.50. ...
7 CFR 1007.50 - Class prices, component prices, and advanced pricing factors.
2010-01-01
... 7 Agriculture 9 2010-01-01 2009-01-01 true Class prices, component prices, and advanced pricing factors. 1007.50 Section 1007.50 Agriculture Regulations of the Department of Agriculture (Continued..., and advanced pricing factors. See § 1000.50. ...
7 CFR 1124.53 - Announcement of class prices, component prices, and advanced pricing factors.
2010-01-01
... 7 Agriculture 9 2010-01-01 2009-01-01 true Announcement of class prices, component prices, and advanced pricing factors. 1124.53 Section 1124.53 Agriculture Regulations of the Department of Agriculture... Announcement of class prices, component prices, and advanced pricing factors. See § 1000.53. ...
West Coast U.S. : demand and prices
International Nuclear Information System (INIS)
Lund, P.G.
1997-01-01
The outlook for Canadian natural gas in Western U.S. markets through the winter of 1997 and 1998 was discussed. The effect of El Nino on West Coast gas pricing was noted, while also admitting that the best scientific minds are unable to determine what these effects actually are. Both the Cambridge Energy Research Associates (CERA) and PIRA predicted that Topock (the border pricing point) prices will track the NYMEX Henry Hub prices. The three points that were emphasized for the winter of 1997-1998 were: (1) Western U.S. pricing is higher than last year, (2) there is a surplus of gas in Canada relative to export capacity, and (3) differentials are anticipated to remain in excess of full transportation costs. The 1997 gas accord rates were also noted and its significance discussed. Increased electric load growth is likely to result in higher electricity prices which may drag gas prices along with them. Any new power generation facility is likely to be gas-fired, a fact which should also help to maintain natural gas prices. Transmission pricing is the major unknown variable. It is well known that from a capital cost perspective it is about four times more expensive to build a high -Kv transmission line than to build a gas pipeline to deliver the equivalent amount of energy. Therefore, to the degree that transmission pricing favours building new generation near load centres, gas should do well. If on the other hand, transmission pricing favours building generation plants near the fuel source, gas probably would not do nearly as well. The effects will not be known until the relevant decisions have been made. 6 figs
Shining a light in the black box of orphan drug pricing
2014-01-01
Background The pricing mechanism of orphan drugs appears arbitrary and has been referred to as a “black box”. Therefore, the aim of this study is to investigate how drug- and disease-specific variables relate to orphan drug prices. Additionally, we aim to explore if certain country-specific pricing and reimbursement policies affect the price level of orphan drugs. Methods Annual treatment costs per indication per patient were calculated for 59 orphan drugs with a publicly available price in Belgium, the Netherlands, Czech Republic, France, Italy and the United Kingdom. A multiple linear regression model was built with 14 drug- and disease-specific variables. A Mann-Whitney U test was used to explore whether there is a correlation between annual treatment costs of orphan drugs across countries with different pricing and reimbursement policies. Results Repurposed orphan drugs, orally administered orphan drugs or orphan drugs for which an alternative treatment is available are associated with lower annual treatment costs. Orphan drugs with multiple orphan indications, for chronic treatments or for which an improvement in overall survival or quality-of-life has been demonstrated, are associated with higher annual treatment costs. No association was found between annual treatments cost of orphan drugs across countries and the different pricing and reimbursement systems. Conclusions This study has shown that prices of orphan drugs are influenced by factors such as the availability of an alternative drug treatment, repurposing, etc. Current debate about the affordability of orphan drugs highlights the need for more transparency in orphan drug price setting. PMID:24767472
Moderating Factors of Immediate, Dynamic, and Long-run Cross-Price Effects
C. Horváth (Csilla); D. Fok (Dennis)
2008-01-01
textabstractIn this article the authors describe their comprehensive analysis of moderating factors of cross-brand effects of price changes and contribute to the literature in five major ways. (1) They consider an extensive set of potential variables influencing cross-brand effects of price changes.
Adaptive wavelet method for pricing two-asset Asian options with floating strike
Černá, Dana
2017-12-01
Asian options are path-dependent option contracts which payoff depends on the average value of the asset price over some period of time. We focus on pricing of Asian options on two assets. The model for pricing these options is represented by a parabolic equation with time variable and three state variables, but using substitution it can be reduced to the equation with only two state variables. For time discretization we use the θ-scheme. We propose a wavelet basis that is adapted to boundary conditions and use an adaptive scheme with this basis for discretization on the given time level. The main advantage of this scheme is small number of degrees of freedom. We present numerical experiments for the Asian put option with floating strike and compare the results for the proposed adaptive method and the Galerkin method.
Edgeworth Price Cycles, Cost-Based Pricing, and Sticky Pricing in Retail Gasoline Markets
Michael D. Noel
2007-01-01
This paper examines dynamic pricing behavior in retail gasoline markets for 19 Canadian cities over 574 weeks. I find three distinct retail pricing patterns: 1. cost-based pricing, 2. sticky pricing, and 3. steep, asymmetric retail price cycles that, while seldom documented empirically, resemble those of Maskin & Tirole[1988]. Using a Markov switching regression, I estimate the prevalence of patterns and the structural characteristics of the cycles. Retail price cycles prevail in over 40% of ...
Raleigh, Clionadh; Choi, Hyun Jin; Kniveton, Dominic
2015-05-01
This study investigates the relationship between violent conflict, food price, and climate variability at the subnational level. Using disaggregated data on 113 African markets from January 1997 to April 2010, interrelationships between the three variables are analyzed in simultaneous equation models. We find that: (i) a positive feedback exists between food price and violence - higher food prices increase conflict rates within markets and conflict increases food prices; (ii) anomalously dry conditions are associated with increased frequencies of conflict; and (iii) decreased rainfall exerts an indirect effect on conflict through its impact on food prices. These findings suggest that the negative effects of climate variability on conflict can be mitigated by interventions and effective price management in local markets. Creating environments in which food prices are stable and reliable, and markets are accessible and safe, can lower the impacts of both climate change and conflict feedbacks.
Effect of the 1973 oil price embargo
International Nuclear Information System (INIS)
Goel, R.K.; Morey, M.J.
1993-01-01
This paper focuses on the effect of the oil shock of 1973 on US gasoline demand by examining the price elasticities of demand before and after the 1973 embargo. Price elasticities provide useful input to the development of public policy dealing with taxation and pollution control. The extensive data used include state level observations for nearly three decades spanning 1952-80. We apply non-parametric regression methods that are more appropriate to our investigation than traditional parametric techniques. Unlike standard regression techniques, non-parametric methods neither assume a functional form for the demand relation nor restrict the distribution of the dependent variable. Our results show that the mean price elasticity of gasoline demand for the USA was - 0.243 for 1952-73 and the corresponding number for 1973-80 was - 0.576, statistically different at the 5% level of significance. The relatively higher price elasticity in the post-embargo period is consistent with the hypothesis that consumers sought substitutes and restricted their consumption in response to prices as well as social responsibility. The policy implications of these results are also discussed. (author)
Competitive Pricing by a Price Leader
Abhik Roy; Dominique M. Hanssens; Jagmohan S. Raju
1994-01-01
We examine the problem of pricing in a market where one brand acts as a price leader. We develop a procedure to estimate a leader's price rule, which is optimal given a sales target objective, and allows for the inclusion of demand forecasts. We illustrate our estimation procedure by calibrating this optimal price rule for both the leader and the follower using data on past sales and prices from the mid-size sedan segment of the U.S. automobile market. Our results suggest that a leader-follow...
Price elasticities of alcohol demand: evidence from Russia.
Goryakin, Yevgeniy; Roberts, Bayard; McKee, Martin
2015-03-01
In this paper, we estimate price elasticities of demand of several types of alcoholic drinks, using 14 rounds of data from the Russia Longitudinal Monitoring Survey-HSE, collected from 1994 until 2009. We deal with potential confounding problems by taking advantage of a large number of control variables, as well as by estimating community fixed effect models. All in all, although alcohol prices do appear to influence consumption behaviour in Russia, in most cases the size of effect is modest. The finding that two particularly problematic drinks-cheap vodka and fortified wine-are substitute goods also suggests that increasing their prices may not lead to smaller alcohol consumption. Therefore, any alcohol pricing policies in Russia must be supplemented with other measures, such as restrictions on numbers of sales outlets or their opening times.
European CO2 prices and carbon capture investments
International Nuclear Information System (INIS)
Abadie, Luis M.; Chamorro, Jose M.
2008-01-01
We assess the option to install a carbon capture and storage (CCS) unit in a coal-fired power plant operating in a carbon-constrained environment. We consider two sources of risk, namely the price of emission allowance and the price of the electricity output. First we analyse the performance of the EU market for CO 2 emission allowances. Specifically, we focus on the contracts maturing in the Kyoto Protocol's first commitment period (2008 to 2012) and calibrate the underlying parameters of the allowance price process. Then we refer to the Spanish wholesale electricity market and calibrate the parameters of the electricity price process. We use a two-dimensional binomial lattice to derive the optimal investment rule. In particular, we obtain the trigger allowance prices above which it is optimal to install the capture unit immediately. We further analyse the effect of changes in several variables on these critical prices, among them allowance price volatility and a hypothetical government subsidy. We conclude that, at current permit prices, immediate installation does not seem justified from a financial point of view. This need not be the case, though, if carbon market parameters change dramatically, carbon capture technology undergoes significant improvements, and/or a specific governmental policy to promote these units is adopted. (author)
He, Lingyun; Ding, Zhihua; Yin, Fang; Wu, Meng
2016-01-01
Significant effort has been exerted on the study of economic variables such as absolute energy prices to understand energy consumption and economic growth. However, this approach ignores general inflation effects, whereby the prices of baskets of goods may rise or fall at different rates from those of energy prices. Thus, it may be the relative energy price, not the absolute energy price, that has most important effects on energy consumption. To test this hypothesis, we introduce a new explanatory variable, the domestic relative energy price, which we define as "the ratio of domestic energy prices to the general price level of an economy," and we test the explanatory power of this new variable. Thus, this paper explores the relationship between relative energy prices and energy consumption in China from the perspective of inflation costs over the period from 1988 to 2012. The direct, regulatory and time-varying effects are captured using methods such as ridge regression and the state-space model. The direct impacts of relative energy prices on total energy consumption and intensity are -0.337 and -0.250, respectively; the effects of comprehensive regulation on energy consumption through the economic structure and the energy structure are -0.144 and -0.148, respectively; and the depressing and upward effects of rising and falling energy prices on energy consumption are 0.3520 and 0.3564, respectively. When economic growth and the energy price level were stable, inflation persisted; thus, rising energy prices benefitted both the economy and the environment. Our analysis is important for policy makers to establish effective energy-pricing policies that ensure both energy conservation and the stability of the pricing system.
Pricing of Fluctuations in Electricity Markets
Tsitsiklis, John N.; Xu, Yunjian
2012-01-01
In an electric power system, demand fluctuations may result in significant ancillary cost to suppliers. Furthermore, in the near future, deep penetration of volatile renewable electricity generation is expected to exacerbate the variability of demand on conventional thermal generating units. We address this issue by explicitly modeling the ancillary cost associated with demand variability. We argue that a time-varying price equal to the suppliers' instantaneous marginal cost may not achieve s...
New Local, National and Regional Cereal Price Indices for Improved Identification of Food Insecurity
Brown, Molly E.; Tondel, Fabien; Thorne, Jennifer A.; Essam, Timothy; Mann, Bristol F.; Stabler, Blake; Eilerts, Gary
2011-01-01
Large price increases over a short time period can be indicative of a deteriorating food security situation. Food price indices developed by the United Nations Food and Agriculture Organization (FAO) are used to monitor food price trends at a global level, but largely reflect supply and demand conditions in export markets. However, reporting by the United States Agency for International Development (USAID)'s Famine Early Warning Systems Network (FEWS NET) indicates that staple cereal prices in many markets of the developing world, especially in surplus-producing areas, often have a delayed and variable response to international export market price trends. Here we present new price indices compiled for improved food security monitoring and assessment, and specifically for monitoring conditions of food access across diverse food insecure regions. We found that cereal price indices constructed using market prices within a food insecure region showed significant differences from the international cereals price, and had a variable price dispersion across markets within each marketshed. Using satellite-derived remote sensing information that estimates local production and the FAO Cereals Index as predictors, we were able to forecast movements of the local or national price indices in the remote, arid and semi-arid countries of the 38 countries examined. This work supports the need for improved decision-making about targeted aid and humanitarian relief, by providing earlier early warning of food security crises.
Value of time: Speeding behavior and gasoline prices
Wolff, Hendrik
2012-01-01
Do drivers reduce speeds when gasoline prices are high? Previous research investigating this energy conservation hypothesis produced mixed results. We take a fresh look at the data and estimate a significant negative relationship between speeding and gasoline prices. This presents a new methodology of deriving the 'Value of Time' (VOT) based on the intensive margin (previous VOT studies compare across the extensive margin) which has important advantages to circumvent potential omitted variabl...
List prices vs. bargain prices: which solution to estimate consumer price indices?
Carlo De Gregorio
2010-01-01
Alternative approaches to CPI surveys are here evaluated, in markets where final prices are based on some sort of price listing. Three types of surveys are compared: local surveys (LOC), with small samples and a local price collection; list price surveys (LIS), with huge samples and centralised collection; mixed surveys (MXD), in which LOC and LIS are jointly used. Based on a multiplicative pricing model, some conditions are derived to establish the relative efficiency of these approaches. Th...
Modeling the Dynamic Interrelations between Mobility, Utility, and Land Asking Price
Hidayat, E.; Rudiarto, I.; Siegert, F.; Vries, W. D.
2018-02-01
Limited and insufficient information about the dynamic interrelation among mobility, utility, and land price is the main reason to conduct this research. Several studies, with several approaches, and several variables have been conducted so far in order to model the land price. However, most of these models appear to generate primarily static land prices. Thus, a research is required to compare, design, and validate different models which calculate and/or compare the inter-relational changes of mobility, utility, and land price. The applied method is a combination of analysis of literature review, expert interview, and statistical analysis. The result is newly improved mathematical model which have been validated and is suitable for the case study location. This improved model consists of 12 appropriate variables. This model can be implemented in the Salatiga city as the case study location in order to arrange better land use planning to mitigate the uncontrolled urban growth.
Directory of Open Access Journals (Sweden)
Tajus Subqi
2016-08-01
Full Text Available This research had analyzed the effect of financial performance and stock beta (systematic risk towards stock price of eight listed companies in Jakarta Islamic Index (JII – LQ 45 for the time period of 2012-2014. The data was gathered by employing literature study and documentation of financial statements. Multiple regressions are used to measure the effect of independent variable towards dependent variable along with ttest and F test. The results based on overall test suggested that only ROE and NPM had opposite direction correlation with the stock price, meanwhile other variables had positive direction correlation. From partial test with 5% level of significance, only EPS and PER had significant effect on stock price while other variables had no effect. Keywords: financial performance analysis, stock price, stock beta (systematic risk, Jakarta Islamic Index
Alcohol Prices and Mortality Due to Liver Cirrhosis
Directory of Open Access Journals (Sweden)
Jon P. Nelson
2015-06-01
Full Text Available This study estimates a reduced-form regression model for mortality rates due to alcoholic liver diseases, with alcohol prices and income as explanatory variables. Panel data cover the years 2000-2010 for 21 member countries of the European Union. In the reduced form, prices affect mortality rates indirectly through the demand for alcohol, while income has potential direct and indirect effects. Country and time fixed effects are used to control for other factors that influence alcohol consumption and mortality. Special attention is paid to outliers in the data, and final results are based on the MS-estimator for robust regressions. Regression results for alcohol prices and income are sensitive to adjustments for stationary data and down-weighting of outliers and other influential data points. Final results indicate that alcohol prices do not affect mortality rates due to chronic liver diseases. Empirical results in the study do not lend support to broad price-based approaches to alcohol policy.
Obesity and supermarket access: proximity or price?
Drewnowski, Adam; Aggarwal, Anju; Hurvitz, Philip M; Monsivais, Pablo; Moudon, Anne V
2012-08-01
We examined whether physical proximity to supermarkets or supermarket price was more strongly associated with obesity risk. The Seattle Obesity Study (SOS) collected and geocoded data on home addresses and food shopping destinations for a representative sample of adult residents of King County, Washington. Supermarkets were stratified into 3 price levels based on average cost of the market basket. Sociodemographic and health data were obtained from a telephone survey. Modified Poisson regression was used to test the associations between obesity and supermarket variables. Only 1 in 7 respondents reported shopping at the nearest supermarket. The risk of obesity was not associated with street network distances between home and the nearest supermarket or the supermarket that SOS participants reported as their primary food source. The type of supermarket, by price, was found to be inversely and significantly associated with obesity rates, even after adjusting for individual-level sociodemographic and lifestyle variables, and proximity measures (adjusted relative risk=0.34; 95% confidence interval=0.19, 0.63) Improving physical access to supermarkets may be one strategy to deal with the obesity epidemic; improving economic access to healthy foods is another.
Estimating temporary and permanent stock price innovations on Croatian capital market
Directory of Open Access Journals (Sweden)
Tihana Škrinjarić
2014-03-01
Full Text Available This paper evaluates the size and duration of temporary and permanent stock price innovations on Croatian capital market in the structural VAR (vector autoregression framework with Blanchard and Quah (1989 decomposition. The purpose is to identify the effects of temporary price innovations in order to determine to which extent future stock prices can be predicted. Temporary components present in stock prices are explained throughout the mean-reversion hypothesis. This means that stock prices deviate from the fundamental values, but they will revert to their mean. In that way, to some extent, it is possible to predict future price movements. The results show that for the observed period from January 2000 to September 2013, temporary innovations account for only 2.62% of price variability over a two-year horizon. This means that forecasting the future movements of stock prices on Zagreb Stock Exchange is a difficult task.
The term structure of oil futures prices
International Nuclear Information System (INIS)
Gabillon, J.
1991-01-01
In recent years, there has been a massive development of derivative financial products in oil markets. The main interest came from large energy end-users who found in them a welcome opportunity to lock in fixed or maximum prices for their supplies over a period of time. Oil companies and oil traders were able to provide tailor-made swaps or options for the specific needs of the end-users. In this paper, we present a two-variable model of the term structures of futures prices and volatilities assuming that the spot and long-term prices of oil are stochastic, and are the main determinants of the convenience yield function. Although the resulting convenience yield is stochastic, the model admits an analytic formulation under some restrictions. (author)
Do oil price shocks matter? Evidence for some European countries
International Nuclear Information System (INIS)
Cunado, Juncal; Gracia, Fernando Perez de
2003-01-01
This paper analyzes the oil price-macro economy relationship by means of analyzing the impact of oil prices on inflation and industrial production indexes for many European countries using quarterly data for the period 1960-1999. First, we test for cointegration allowing for structural breaks among the variables. Second, and in order to account for the possible non-linear relationships, we use different transformation of oil price data. The main results suggest that oil prices have permanent effects on inflation and short run but asymmetric effects on production growth rates. Furthermore, significant differences are found among the responses of the countries to these shocks. (Author)
Arbitrage Pricing, Capital Asset Pricing, and Agricultural Assets
Louise M. Arthur; Colin A. Carter; Fay Abizadeh
1988-01-01
A new asset pricing model, the arbitrage pricing theory, has been developed as an alternative to the capital asset pricing model. The arbitrage pricing theory model is used to analyze the relationship between risk and return for agricultural assets. The major conclusion is that the arbitrage pricing theory results support previous capital asset pricing model findings that the estimated risk associated with agricultural assets is low. This conclusion is more robust for the arbitrage pricing th...
Directory of Open Access Journals (Sweden)
David Bouras
2017-07-01
Full Text Available Aim/purpose - To develop a conceptual model for analyzing the impact of output price risk and material input price risk on price margins. Design/methodology/approach - To analyze the combined effect of output price risk and material input risk on price margins, we use a series of comparative static analyses, GARCH models, and data ranging from 1990/01 to 2012/12. Findings - The theoretical results indicate that the impact of output price risk and the impact of material input price risk on price margins are ambiguous and, to a great extent, hinge on the correlation between output price and material input price. The empirical results show that whole frozen catfish price risk and live catfish price risk negatively affect the price margin for frozen catfish. The empirical results, however, indicate that the risk of the price of live catfish affects markedly the price margin for frozen whole catfish in contrast to the impact of the risk of the price of frozen whole catfish. Research implications/limitations - The empirical results have significant implications for managerial decision-making especially when crafting strategies for improving price margins. Accordingly, in order to beef up the price margin for frozen whole catfish, catfish processors may consider engaging in vertical integration. This paper has some limitations: first, it assumes that firms operate in competitive markets; second, it assumes that firms produce and sell a single product. Originality/value/contribution - Unlike earlier studies that focused solely on the effect of output price risk on price margins, this paper analyzes theoretically and empirically the impact of output price risk and material input price risk on price margins.
A hybrid model for electricity spot prices
International Nuclear Information System (INIS)
Anderson, C.L.D.
2004-01-01
Electricity prices were highly regulated prior to the deregulation of the electric power industry. Prices were predictable, allowing generators and wholesalers to calculate their production costs and revenues. With deregulation, electricity has become the most volatile of all commodities. Electricity must be consumed as soon as it is generated due to the inability to store it in any sufficient quantity. Economic uncertainty exists because the supply of electricity cannot shift as quickly as the demand, which is highly variable. When demand increases quickly, the price must respond. Therefore, price spikes occur that are orders of magnitude higher than the base electricity price. This paper presents a robust and realistic model for spot market electricity prices used to manage risk in volatile markets. The model is a hybrid of a top down data driven method commonly used for financial applications, and a bottom up system driven method commonly used in regulated electricity markets. The advantage of the model is that it incorporates primary system drivers and demonstrates their effects on final prices. The 4 primary modules of the model are: (1) a model for forced outages, (2) a model for maintenance outages, (3) an electrical load model, and (4) a price model which combines the results of the previous 3 models. The performance of each model was tested. The forced outage model is the first of its kind to simulate the system on an aggregate basis using Weibull distributions. The overall spot price model was calibrated to, and tested with, data from the electricity market in Pennsylvania, New Jersey and Maryland. The model performed well in simulated market prices and adapted readily to changing system conditions and new electricity markets. This study examined the pricing of derivative contracts on electrical power. It also compared a range of portfolio scenarios using a Cash Flow at Risk approach
A hybrid model for electricity spot prices
Energy Technology Data Exchange (ETDEWEB)
Anderson, C.L.D.
2004-07-01
Electricity prices were highly regulated prior to the deregulation of the electric power industry. Prices were predictable, allowing generators and wholesalers to calculate their production costs and revenues. With deregulation, electricity has become the most volatile of all commodities. Electricity must be consumed as soon as it is generated due to the inability to store it in any sufficient quantity. Economic uncertainty exists because the supply of electricity cannot shift as quickly as the demand, which is highly variable. When demand increases quickly, the price must respond. Therefore, price spikes occur that are orders of magnitude higher than the base electricity price. This paper presents a robust and realistic model for spot market electricity prices used to manage risk in volatile markets. The model is a hybrid of a top down data driven method commonly used for financial applications, and a bottom up system driven method commonly used in regulated electricity markets. The advantage of the model is that it incorporates primary system drivers and demonstrates their effects on final prices. The 4 primary modules of the model are: (1) a model for forced outages, (2) a model for maintenance outages, (3) an electrical load model, and (4) a price model which combines the results of the previous 3 models. The performance of each model was tested. The forced outage model is the first of its kind to simulate the system on an aggregate basis using Weibull distributions. The overall spot price model was calibrated to, and tested with, data from the electricity market in Pennsylvania, New Jersey and Maryland. The model performed well in simulated market prices and adapted readily to changing system conditions and new electricity markets. This study examined the pricing of derivative contracts on electrical power. It also compared a range of portfolio scenarios using a Cash Flow at Risk approach.
An Analysis of Colombian Power Market Price Behavior from an Industrial Organization Perspective
Directory of Open Access Journals (Sweden)
Ona Duarte Venslauskas
2015-12-01
Full Text Available We analyze the behavior of spot prices in the Colombian wholesale power market, using a series of models derived from industrial organization theory. We first create a Cournot-based model that simulates the strategic behavior of the market-leader power generators, which we use to estimate two industrial organization variables, the Index of Residual Demand and the Herfindahl-Hirschman Index (HHI. We use these variables to create VAR models that estimate spot prices and power market impulse-response relationships. The results from these models show that hydroelectric generators can use their water storage capability strategically to affect off-peak prices primarily, while the thermal generators can manage their capacity strategically to affect on-peak prices. In addition, shocks to the Index of Residual Capacity and to the HHI cause spot price fluctuations, which can be interpreted as the generators´ strategic response to these shocks.
Young people’s knowledge of alcohol prices in a retail context
DEFF Research Database (Denmark)
Jensen, Birger Boutrup; Godt, Diana; Gadensgaard, Birgitte
Several European governments consider an increase in taxation of alcoholic beverages to confront increased alcohol intake by young people. However, little is known as to young people’s knowledge of alcohol prices and thus whether they will notice such price increases. In the present study, young...... people’s price knowledge of alcoholic beverages is examined by a price recall and a deal spotting test. The results indicate that the vast majority of young people hold fairly accurate reference prices, while a rather large segment of young people appears to actively search for prices of alcohol in store....... Results from logistic regressions are reported. The authors find a significant effect of ‘purchasing a special’ and ‘recognisable prices’ on price recall. However, no significant effect of purchase frequency, recency or demographical variables is found. Implications for public policy and managers...
Price rigidity in the downstream petroleum industry in New Zealand: where does it happen?
International Nuclear Information System (INIS)
Delpachitra, S.B.
2002-01-01
This paper examines the pricing behaviour of the downstream petroleum product market in New Zealand using multivariate error correction models. The unique feature of these models is the use of actual weekly wholesale and retail prices of diesel and unleaded petrol to measure the relative rigidity of domestic prices. The results suggest that price adjustments in domestic markets in response to price changes in world crude oil markets and refined product markets are very weak. Domestic wholesale prices appear to be the key variable in determining retail prices. Lack of competition in the wholesale sector is found to be the main reason for weak price adjustments. (author)
Price rigidity in the downstream petroleum industry in New Zealand. Where does it happen?
International Nuclear Information System (INIS)
Delpachitra, Sarath B.
2002-01-01
This paper examines the pricing behaviour of the downstream petroleum product market in New Zealand using multivariate error correction models. The unique feature of these models is the use of actual weekly wholesale and retail prices of diesel and unleaded petrol to measure the relative rigidity of domestic prices. The results suggest that price adjustments in domestic markets in response to price changes in world crude oil markets and refined product markets are very weak. Domestic wholesale prices appear to be the key variable in determining retail prices. Lack of competition in the wholesale sector is found to be the main reason for weak price adjustments
The empirical relationship between energy futures prices and exchange rates
International Nuclear Information System (INIS)
Sadorsky, P.
2000-01-01
This paper investigates the interaction between energy futures prices and exchange rates. Results are presented to show that futures prices for crude oil, heating oil and unleaded gasoline are co-integrated with a trade-weighted index of exchange rates. This is important because it means that there exists a long-run equilibrium relationship between these four variables. Granger causality results for both the long- and short-run are presented. Evidence is also presented that suggests exchange rates transmit exogenous shocks to energy futures prices. 22 refs
DEFF Research Database (Denmark)
Katz, Jonas; Kitzing, Lena; Schröder, Sascha Thorsten
2018-01-01
Dynamic pricing of retail electricity, as opposed to the widely applied average pricing, has often been proposed to enhance economic efficiency through demand response. The development of variable production from renewable energies and expectations about the installation of heat pumps and electric...
Pricing the Services in Dynamic Environment: Agent Pricing Model
Žagar, Drago; Rupčić, Slavko; Rimac-Drlje, Snježana
New Internet applications and services as well as new user demands open many new issues concerning dynamic management of quality of service and price for received service, respectively. The main goals of Internet service providers are to maximize profit and maintain a negotiated quality of service. From the users' perspective the main goal is to maximize ratio of received QoS and costs of service. However, achieving these objectives could become very complex if we know that Internet service users might during the session become highly dynamic and proactive. This connotes changes in user profile or network provider/s profile caused by high level of user mobility or variable level of user demands. This paper proposes a new agent based pricing architecture for serving the highly dynamic customers in context of dynamic user/network environment. The proposed architecture comprises main aspects and basic parameters that will enable objective and transparent assessment of the costs for the service those Internet users receive while dynamically change QoS demands and cost profile.
Expected commodity returns and pricing models
International Nuclear Information System (INIS)
Cortazar, Gonzalo; Kovacevic, Ivo; Schwartz, Eduardo S.
2015-01-01
Stochastic models of commodity prices have evolved considerably in terms of their structure and the number and interpretation of the state variables that model the underlying risk. Using multiple factors, different specifications and modern estimation techniques, these models have gained wide acceptance because of their success in accurately fitting the observed commodity futures' term structures and their dynamics. It is not well emphasized however that these models, in addition to providing the risk neutral distribution of future spot prices, also provide their true distribution. While the parameters of the risk neutral distribution are estimated more precisely and are usually statistically significant, some of the parameters of the true distribution are typically measured with large errors and are statistically insignificant. In this paper we argue that to increase the reliability of commodity pricing models, and therefore their use by practitioners, some of their parameters — in particular the risk premium parameters — should be obtained from other sources and we show that this can be done without losing any precision in the pricing of futures contracts. We show how the risk premium parameters can be obtained from estimations of expected futures returns and provide alternative procedures for estimating these expected futures returns. - Highlights: • Simple methodology to improve the performance of commodity pricing models • New information about commodity futures expected return is added to the estimation. • No significant effect in pricing futures contracts is observed. • More reliable commodity pricing model's expected returns are obtained. • Methodology is open to any expected futures return model preferred by practitioner
HEDONIC PRICE FUNCTION ESTIMATION FOR MOBILE PHONE IN IRAN
Directory of Open Access Journals (Sweden)
Sayed Mahdi Mostafavi
2013-01-01
Full Text Available The aim of this paper is the survey of mobile price determinants by hedonic model. We have applied the hedonic price model for mobile phone market in Iran in the year of 2008. The brands conclude NOKIA, QTEK, HTC, MOTOROLA, SONY ERICSSON and SAMSUNG that comprise 193 types of handset mobile phone. The results show that in the hedonic function, the maximum amount of parameters of hedonic price function related to the following variables respectively: touch screen, hands free and connectivity tools, and the minimum amount of them are belonged to clarification of monitor images, phone volume and phone memory. Moreover, except Motorola brand the type of brand has not a significant parameter in the hedonic price function.
7 CFR 1000.53 - Announcement of class prices, component prices, and advanced pricing factors.
2010-01-01
... advanced pricing factors. 1000.53 Section 1000.53 Agriculture Regulations of the Department of Agriculture..., component prices, and advanced pricing factors. (a) On or before the 5th day of the month, the market... administrator for each Federal milk marketing order shall announce the following prices and pricing factors for...
The ENSO Impact on Predicting World Cocoa Prices
Ubilava, David; Helmers, Claes Gustav
2011-01-01
Cocoa beans are produced in equatorial and sub-equatorial regions of West Africa, Southeast Asia and South America. These are also the regions most affected by El Nino Southern Oscillation (ENSO) -- a climatic anomaly affecting temperature and precipitation in many parts of the world. Thus, ENSO, has a potential of affecting cocoa production and, subsequently, prices on the world market. This study investigates the benefits of using a measure of ENSO variable in world cocoa price forecasting ...
Ex-vessel Fish Price Database: Disaggregating Prices for Low-Priced Species from Reduction Fisheries
Directory of Open Access Journals (Sweden)
Travis C. Tai
2017-11-01
Full Text Available Ex-vessel fish prices are essential for comprehensive fisheries management and socioeconomic analyses for fisheries science. In this paper, we reconstructed a global ex-vessel price database with the following areas of improvement: (1 compiling reported prices explicitly listed as “for reduction to fishmeal and fish oil” to estimate prices separately for catches destined for fishmeal and fish oil production, and other non-direct human consumption purposes; (2 including 95% confidence limit estimates for each price estimation; and (3 increasing the number of input data and the number of price estimates to match the reconstructed Sea Around Us catch database. Our primary focus was to address this first area of improvement as ex-vessel prices for catches destined for non-direct human consumption purposes were substantially overestimated, notably in countries with large reduction fisheries. For example in Peru, 2010 landed values were estimated as 3.8 billion real 2010 USD when using separate prices for reduction fisheries, compared with 5.8 billion using previous methods with only one price for all end-products. This update of the price database has significant global and country-specific impacts on fisheries price and landed value trends over time.
Oil production, oil prices, and macroeconomic adjustment under different wage assumptions
International Nuclear Information System (INIS)
Harvie, C.; Maleka, P.T.
1992-01-01
In a previous paper one of the authors developed a simple model to try to identify the possible macroeconomic adjustment processes arising in an economy experiencing a temporary period of oil production, under alternative wage adjustment assumptions, namely nominal and real wage rigidity. Certain assumptions were made regarding the characteristics of actual production, the permanent revenues generated from that oil production, and the net exports/imports of oil. The role of the price of oil, and possible changes in that price was essentially ignored. Here we attempt to incorporate the price of oil, as well as changes in that price, in conjunction with the production of oil, the objective being to identify the contribution which the price of oil, and changes in it, make to the adjustment process itself. The emphasis in this paper is not given to a mathematical derivation and analysis of the model's dynamics of adjustment or its comparative statics, but rather to the derivation of simulation results from the model, for a specific assumed case, using a numerical algorithm program, conducive to the type of theoretical framework utilized here. The results presented suggest that although the adjustment profiles of the macroeconomic variables of interest, for either wage adjustment assumption, remain fundamentally the same, the magnitude of these adjustments is increased. Hence to derive a more accurate picture of the dimensions of adjustment of these macroeconomic variables, it is essential to include the price of oil as well as changes in that price. (Author)
An Assessment of the Immigration Impact on the International Housing Price
Barbu, Teodora Cristina; Vuța, Mariana; Strachinaru, Adina Ionela; Cioaca, Sorin Iulian
2017-01-01
The article highlights the correlation between the evolution of the housing price, as measured by House Price Index, the flow of immigrants and other macroeconomic variables for a sample of 21 representative countries for the period 2007-2014. The proposed model explains and highlights the existence of a positive link between the House Price Index evolution and the flow of immigrants, market capitalization share to Gross Domestic Product and the growth rate of the economy. The novelty of this...
Essays in financial transmission rights pricing
Posner, Barry
This work examines issues in the pricing of financial transmission rights in the PJM market region. The US federal government is advocating the creation of large-scale, not-for-profit regional transmission organizations to increase the efficiency of the transmission of electricity. As a non-profit entity, PJM needs to allocate excess revenues collected as congestion rents, and the participants in the transmission markets need to be able to hedge their exposure to congestion rents. For these purposes, PJM has developed an instrument known as the financial transmission right (FTR). This research, utilizing a new data set assembled by the author, looks at two aspects of the FTR market. The first chapter examines the problem of forecasting congestion in a transmission grid. In the PJM FTR system firms bid in a competitive auction for FTRs that cover a period of one month. The auctions take place in the middle of the previous month; therefore firms have to forecast congestion rents for the period two to six weeks after the auction. The common methods of forecasting congestion are either time-series models or full-information engineering studies. In this research, the author develops a forecasting system that is more economically grounded than a simple time-series model, but requires less information than an engineering model. This method is based upon the arbitrage-cost methodology, whereby congesting is calculated as the difference of two non-observable variables: the transmission price difference that would exist in the total absence of transmission capacity between two nodes, and the ability of the existing transmission to reduced that price difference. If the ability to reduce the price difference is greater than the price difference, then the cost of electricity at each node will be the same, and congestion rent will be zero. If transmission capacity limits are binding on the flow of power, then a price difference persists and congestion rents exist. Three
Causality between Prices and Wages: VECM Analysis for EU-27
Directory of Open Access Journals (Sweden)
Adriatik Hoxha
2010-09-01
Full Text Available The literature on causality as well as the empirical evidence clearly shows that there are two opposing groups of economists, who support different hypotheses with respect to the flow of causality in the price-wage causal relationship. The first group argues that causality runs from wages to prices, whereas the second argues that effect flows from prices to wages. Nonetheless, the literature review suggeststhat there is at least some consensus in that researcher’s conclusions may be contingent on the type of data employed, applied econometric model, or even that relationship may alter with economic cycles. This paper empirically examines theprice-wage causal relationship in EU-27, by using the OLS and VECM analysis, and it also provides robust evidence in support of a bilateral causal relationship between prices and wages, both in long-run as well as in the shortrun.Prior to designing and estimating the econometric model we have performed stationarity tests for the employed price, wage and productivity variables. Additionally, we have also specified the model taking into account the lag order as well as the rank of co-integration for the co-integrated variables. Furthermore, we have also applied respective restrictions on the parameters of estimatedVECM. The evidence resulting from model robustness checks indicates that results are statistically robust. Although far from closing the issue of causality between prices and wages, this paper at least provides some fresh evidence in the case of EU-27.
Directory of Open Access Journals (Sweden)
Surip N.
2017-12-01
Full Text Available This study aimed to determine and analyze the partial influence of product variables, price and service quality on consumer satisfaction in Indonesian government’s “Rice for the Poors” (“Beras Miskin”, abbreviated as “Raskin” program, as well as the influence of product variable, price and service quality simultaneously to customer satisfaction in the program. The sampling method used is proportionate stratified random sampling. The research is conducted in West Bandung regency, Jawa Barat (West Java Province with a population of 86.908 RTS-PM, and data collection was conducted on October 2015. The method of analysis used in this research is the analysis of correlation and linear regression. The results of the study conclude that the variable of product, price and quality of service simultaneously or partially possess positive and significant effect on consumer satisfaction in Raskin program. The service quality is one of the strong variables that influence the consumer satisfaction, followed by price and product variables.
Lipsky, Leah M
2009-11-01
The inverse relation between energy density (kcal/g) and energy cost (price/kcal) has been interpreted to suggest that produce (fruit, vegetables) is more expensive than snacks (cookies, chips). The objective of this study was to show the methodologic weakness of comparing energy density with energy cost. The relation between energy density and energy cost was replicated in a random-number data set. Additionally, observational data were collected for produce and snacks from an online supermarket. Variables included total energy (kcal), total weight (g), total number of servings, serving size (g/serving), and energy density (kcal/g). Price measures included energy cost ($/kcal), total price ($), unit price ($/g), and serving price ($/serving). Two-tailed t tests were used to compare price measures by food category. Relations between energy density and price measures within food categories were examined with the use of Spearman rank correlation analysis. The relation between energy density and energy cost was shown to be driven by the algebraic properties of these variables. Food category was strongly correlated with both energy density and food price measures. Energy cost was higher for produce than for snacks. However, total price and unit price were lower for produce. Serving price and serving size were greater for produce than for snacks. Within food categories, energy density was uncorrelated with most measures of food price, except for a weak positive correlation with serving price within the produce category. The findings suggest the relation between energy density and food price is confounded by food category and depends on which measure of price is used.
Price strategy and pricing strategy: terms and content identification
Panasenko Tetyana
2015-01-01
The article is devoted to the terminology and content identification of seemingly identical concepts "price strategy" and "pricing strategy". The article contains evidence that the price strategy determines the direction, principles and procedure of implementing the company price policy and pricing strategy creates a set of rules and practical methods of price formation in accordance with the pricing strategy of the company.
Corporate sustainability and asset pricing models: empirical evidence for the Brazilian stock market
Directory of Open Access Journals (Sweden)
Vitor Gonçalves de Azevedo
2016-01-01
Full Text Available Abstract The paper investigates the impact of corporate sustainability on asset prices. For that purpose, we develop a novel corporate sustainability factor and test the extent to which this factor is priced in an augmented four-factor version of the traditional Fama & French (1993 asset pricing model. The corporate sustainability factor is based on a zero-investment portfolio which is long in stocks with high sustainability and short in stocks with low sustainability. We use data on the Brazilian stock market to estimate alternative model specifications with different combinations of four explanatory variables: the corporate sustainability premium, the market risk factor premium, the size factor premium and the book-to-market factor premium. Our results indicate that corporate sustainability is priced and helps to explain the variability in the cross-section of expected stock returns.
Value based pricing: the least valued pricing strategy
Hoenen, Bob
2017-01-01
Pricing has been one of the least researched topics in marketing, although within these pricing strategies: cost-plus pricing is considered as the leading pricing strategy worldwide. Why should companies use such an unprofitable strategy, where fighting for a higher market share due to low prices is more a rule than exception? VBP is one of the most underestimated strategies by organizations. The definition of VBP is: 'value pricing applies to products that have the potential of being differe...
Housing price gradient and immigrant population: Data from the Italian real estate market.
Antoniucci, Valentina; Marella, Giuliano
2018-02-01
The database presented here was collected by Antoniucci and Marella to analyze the correlation between the housing price gradient and the immigrant population in Italy during 2016. It may also be useful in other statistical analyses, be they on the real estate market or in another branches of social science. The data sample relates to 112 Italian provincial capitals. It provides accurate information on urban structure, and specifically on urban density. The two most significant variables are original indicators constructed from official data sources: the housing price gradient, or the ratio between average prices in the center and suburbs by city; and building density, which is the average number of housing units per residential building. The housing price gradient is calculated for the two residential sub-markets, new-build and existing units, providing an original and detailed sample of the Italian residential market. Rather than average prices, the housing price gradient helps to identify potential divergences in residential market trends. As well as house prices, two other data clusters are considered: socio-economic variables, which provide a framework of each city, in terms of demographic and economic information; and various data on urban structure, which are rarely included in the same database.
48 CFR 36.207 - Pricing fixed-price construction contracts.
2010-10-01
... 48 Federal Acquisition Regulations System 1 2010-10-01 2010-10-01 false Pricing fixed-price... Contracting for Construction 36.207 Pricing fixed-price construction contracts. (a) Generally, firm-fixed... methods. (b) Lump-sum pricing shall be used in preference to unit pricing except when— (1) Large...
Price strategy and pricing strategy: terms and content identification
Directory of Open Access Journals (Sweden)
Panasenko Tetyana
2015-11-01
Full Text Available The article is devoted to the terminology and content identification of seemingly identical concepts "price strategy" and "pricing strategy". The article contains evidence that the price strategy determines the direction, principles and procedure of implementing the company price policy and pricing strategy creates a set of rules and practical methods of price formation in accordance with the pricing strategy of the company.
Inflation and Wheat Prices in Pakistan: 1990-2010
MUHAMMAD IRFAN JAVAID ATTARI
2012-01-01
This study is going to examine the relationship among consumer price index (CPI), economic performance, and wheat support prices in order to determine the level of inflation in case of Pakistan. The analysis is made on the monthly time series data from January-1990 to December-2010. The CPI is used as an inflation indicator by taking the percentage change; the GDP is used as the growth variable for measuring economic performance. The ARDL technique had been used to investigate such relationsh...
Logistics: Price Rises Incurred by High Oil Price
Institute of Scientific and Technical Information of China (English)
Lai Zhihui
2011-01-01
@@ "When the oil price grows by 100%, the logistic indus-try will see a price growth of 40%, while the logistics in-dustry a price rise of 35%, which means every price increase of 5% in the oil price will bring along that of 2% in this industry." said Liu Zongsheng, General Manager of Itochu Logistics Co., Ltd., on the seminar "Focusing on the eco-nomic consequences of raising oil price, interest rate and deposit reserve ratio", which was held recently.
The market value of variable renewables
International Nuclear Information System (INIS)
Hirth, Lion
2013-01-01
This paper provides a comprehensive discussion of the market value of variable renewable energy (VRE). The inherent variability of wind speeds and solar radiation affects the price that VRE generators receive on the market (market value). During windy and sunny times the additional electricity supply reduces the prices. Because the drop is larger with more installed capacity, the market value of VRE falls with higher penetration rate. This study aims to develop a better understanding on how the market value with penetration, and how policies and prices affect the market value. Quantitative evidence is derived from a review of published studies, regression analysis of market data, and the calibrated model of the European electricity market EMMA. We find the value of wind power to fall from 110% of the average power price to 50–80% as wind penetration increases from zero to 30% of total electricity consumption. For solar power, similarly low value levels are reached already at 15% penetration. Hence, competitive large-scale renewable deployment will be more difficult to accomplish than as many anticipate. - Graphical abstract: Wind value factor estimates from a literature review (a), the numerical model EMMA (b), and German historical market data (c). The value factor (wind revenue over base price) decreases with higher penetration rates. Highlights: ► The variability of solar and wind power affects their market value. ► The market value of variable renewables falls with higher penetration rates. ► We quantify the reduction with market data, numerical modeling, and a lit review. ► At 30% penetration, wind power is worth only 50–80% of a constant power source
Fish market prices drive overfishing of the 'big ones'.
Tsikliras, Athanassios C; Polymeros, Konstantinos
2014-01-01
The relationship between fish market price and body size has not been explored much in fisheries science. Here, the mean market prices and fish body size were collected in order to examine the hypothesis that large fish, both among- and within-species, are being selectively targeted by fisheries because they may yield greater profit. Trophic levels, vulnerability to fishing and global landings were also collected because these variables may also be related to the market fish price. These relationships were examined using generalized additive models (GAM), which showed that, among species, fish market price was positively dependent on maximum total length (P = 0.0024) and negatively on landings (P = 0.0006), whereas it was independent of trophic level (P > 0.05) and vulnerability to fishing (P > 0.05). When the fish price vs. size relationship was tested within-species, large individuals were consistently attaining higher market prices compared to their medium and small-sized counterparts. We conclude that the selective removal of the larger fish, which is driven by their market price and to a lesser extent by their availability, may contribute to their overfishing.
Enhancing medicine price transparency through price information mechanisms.
Hinsch, Michael; Kaddar, Miloud; Schmitt, Sarah
2014-05-08
Medicine price information mechanisms provide an essential tool to countries that seek a better understanding of product availability, market prices and price compositions of individual medicines. To be effective and contribute to cost savings, these mechanisms need to consider prices in their particular contexts when comparing between countries. This article discusses in what ways medicine price information mechanisms can contribute to increased price transparency and how this may affect access to medicines for developing countries. We used data collected during the course of a WHO project focusing on the development of a vaccine price and procurement information mechanism. The project collected information from six medicine price information mechanisms and interviewed data managers and technical experts on key aspects as well as observed market effects of these mechanisms.The reviewed mechanisms were broken down into categories including objective and target audience, as well as the sources, types and volumes of data included. Information provided by the mechanisms was reviewed according to data available on medicine prices, product characteristics, and procurement modalities. We found indications of positive effects on access to medicines resulting from the utilization of the reviewed mechanisms. These include the uptake of higher quality medicines, more favorable results from contract negotiations, changes in national pricing policies, and the decrease of prices in certain segments for countries participating in or deriving data from the various mechanisms. The reviewed mechanisms avoid the methodological challenges observed for medicine price comparisons that only use national price databases. They work with high quality data and display prices in the appropriate context of procurement modalities as well as the peculiarities of purchasing countries. Medicine price information mechanisms respond to the need for increased medicine price transparency and have the
DEFF Research Database (Denmark)
Sharifi, Reza; Anvari-Moghaddam, Amjad; Fathi, S. Hamid
2017-01-01
Dynamic pricing scheme, also known as real-time pricing (RTP), can be more efficient and technically beneficial than the other price-based schemes (such as flat-rate or time-of-use (TOU) pricing) for enabling demand response (DR) actions. Over the past few years, advantages of RTP-based schemes h...... of dynamic pricing can lead to increased willingness of consumers to participate in DR programs which in turn improve the operation of liberalized electricity markets.......Dynamic pricing scheme, also known as real-time pricing (RTP), can be more efficient and technically beneficial than the other price-based schemes (such as flat-rate or time-of-use (TOU) pricing) for enabling demand response (DR) actions. Over the past few years, advantages of RTP-based schemes...
The Relationship between Macroeconomic Variables and ISE Industry Index
Directory of Open Access Journals (Sweden)
Ahmet Ozcan
2012-01-01
Full Text Available In this study, the relationship between macroeconomic variables and Istanbul Stock Exchange (ISE industry index is examined. Over the past years, numerous studies have analyzed these relationships and the different results obtained from these studies have motivated further research. The relationship between stock exchange index and macroeconomic variables has been well documented for the developed markets. However, there are few studies regarding the relationship between macroeconomic variables and stock exchange index for the developing markets. Thus, this paper seeks to address the question of whether macroeconomic variables have a significant relationship with ISE industry index using monthly data for the period from 2003 to 2010. The selected macroeconomic variables for the study include interest rates, consumer price index, money supply, exchange rate, gold prices, oil prices, current account deficit and export volume. The Johansen’s cointegration test is utilized to determine the impact of selected macroeconomic variables on ISE industry index. The result of the Johansen’s cointegration shows that macroeconomic variables exhibit a long run equilibrium relationship with the ISE industry index.
Valuing water resources in Switzerland using a hedonic price model
van Dijk, Diana; Siber, Rosi; Brouwer, Roy; Logar, Ivana; Sanadgol, Dorsa
2016-05-01
In this paper, linear and spatial hedonic price models are applied to the housing market in Switzerland, covering all 26 cantons in the country over the period 2005-2010. Besides structural house, neighborhood and socioeconomic characteristics, we include a wide variety of new environmental characteristics related to water to examine their role in explaining variation in sales prices. These include water abundance, different types of water bodies, the recreational function of water, and water disamenity. Significant spatial autocorrelation is found in the estimated models, as well as nonlinear effects for distances to the nearest lake and large river. Significant effects are furthermore found for water abundance and the distance to large rivers, but not to small rivers. Although in both linear and spatial models water related variables explain less than 1% of the price variation, the distance to the nearest bathing site has a larger marginal contribution than many neighborhood-related distance variables. The housing market shows to differentiate between different water related resources in terms of relative contribution to house prices, which could help the housing development industry make more geographically targeted planning activities.
Directory of Open Access Journals (Sweden)
Naziruddin Abdullah
2004-06-01
Full Text Available This study adopts the error correction model to empirically investigate the role of real stock prices in the long run-money demand in the Malaysian financial or money market for the period 1977: Q1-1997: Q2. Specifically, an attempt is made to check whether the real narrow money (M1/P is cointegrated with the selected variables like industrial production index (IPI, one-year T-Bill rates (TB12, and real stock prices (RSP. If a cointegration between the variables, i.e., the dependent and independent variables, is found to be the case, it may imply that there exists a long-run co-movement among these variables in the Malaysian money market. From the empirical results it is found that the cointegration between money demand and real stock prices (RSP is positive, implying that in the long run there is a positive association between real stock prices (RSP and demand for real narrow money (M1/P. The policy implication that can be extracted from this study is that an increase in stock prices is likely to necessitate an expansionary monetary policy to prevent nominal income or inflation target from undershooting.
Alcohol price elasticities in control and license states in the United States, 1982-99.
Trolldal, Björn; Ponicki, William
2005-08-01
The demand for alcohol has been demonstrated repeatedly to be sensitive to price changes. However, estimated price elasticities vary by study region and over time. One explanation for these variations might be that different countries or parts of countries have had different alcohol control systems. The hypothesis addressed in this study was that a regulated market leads to higher transaction costs associated with purchasing alcohol, which in turn increases the full price of the beverages (the nominal cash price plus transaction costs). As a result, the cash price of alcohol represents a smaller part of the full price in a highly regulated market. Assuming that customers respond primarily to changes in full price, the demand for alcohol should be less sensitive to changes in cash price where regulation is stricter. This study examined whether variations in price elasticities were a function of the different regulatory systems in control and license states in the United States during the period 1982-99. Time-series cross-sectional analyses (in 50 states over 18 years) were conducted. Elasticities were estimated using a multiplicative model based upon first-differences of time-series within states. Disposable income and other socio-demographic variables were used as control variables. All data were obtained from archival sources. The demand for spirits and beer were significantly more sensitive to price changes in license states than in control states. The estimated price elasticity for wine sales was also somewhat larger in license states, but not significantly so. The lower price elasticities for spirits and beer in the control states support the hypothesis that customers respond primarily to changes in the full price of alcohol.
The role of storage dynamics in annual wheat prices
Schewe, Jacob; Otto, Christian; Frieler, Katja
2017-05-01
Identifying the drivers of global crop price fluctuations is essential for estimating the risks of unexpected weather-induced production shortfalls and for designing optimal response measures. Here we show that with a consistent representation of storage dynamics, a simple supply-demand model can explain most of the observed variations in wheat prices over the last 40 yr solely based on time series of annual production and long term demand trends. Even the most recent price peaks in 2007/08 and 2010/11 can be explained by additionally accounting for documented changes in countries’ trade policies and storage strategies, without the need for external drivers such as oil prices or speculation across different commodity or stock markets. This underlines the critical sensitivity of global prices to fluctuations in production. The consistent inclusion of storage into a dynamic supply-demand model closes an important gap when it comes to exploring potential responses to future crop yield variability under climate and land-use change.
Oil price assumptions in macroeconomic forecasts: should we follow future market expectations?
International Nuclear Information System (INIS)
Coimbra, C.; Esteves, P.S.
2004-01-01
In macroeconomic forecasting, in spite of its important role in price and activity developments, oil prices are usually taken as an exogenous variable, for which assumptions have to be made. This paper evaluates the forecasting performance of futures market prices against the other popular technical procedure, the carry-over assumption. The results suggest that there is almost no difference between opting for futures market prices or using the carry-over assumption for short-term forecasting horizons (up to 12 months), while, for longer-term horizons, they favour the use of futures market prices. However, as futures market prices reflect market expectations for world economic activity, futures oil prices should be adjusted whenever market expectations for world economic growth are different to the values underlying the macroeconomic scenarios, in order to fully ensure the internal consistency of those scenarios. (Author)
Response of residential electricity demand to price: The effect of measurement error
Energy Technology Data Exchange (ETDEWEB)
Alberini, Anna [Department of Agricultural Economics, University of Maryland (United States); Centre for Energy Policy and Economics (CEPE), ETH Zurich (Switzerland); Gibson Institute and Institute for a Sustainable World, School of Biological Sciences, Queen' s University Belfast, Northern Ireland (United Kingdom); Filippini, Massimo, E-mail: mfilippini@ethz.ch [Centre for Energy Policy and Economics (CEPE), ETH Zurich (Switzerland); Department of Economics, University of Lugano (Switzerland)
2011-09-15
In this paper we present an empirical analysis of the residential demand for electricity using annual aggregate data at the state level for 48 US states from 1995 to 2007. Earlier literature has examined residential energy consumption at the state level using annual or monthly data, focusing on the variation in price elasticities of demand across states or regions, but has failed to recognize or address two major issues. The first is that, when fitting dynamic panel models, the lagged consumption term in the right-hand side of the demand equation is endogenous. This has resulted in potentially inconsistent estimates of the long-run price elasticity of demand. The second is that energy price is likely mismeasured. To address these issues, we estimate a dynamic partial adjustment model using the Kiviet corrected Least Square Dummy Variables (LSDV) (1995) and the Blundell-Bond (1998) estimators. We find that the long-term elasticities produced by the Blundell-Bond system GMM methods are largest, and that from the bias-corrected LSDV are greater than that from the conventional LSDV. From an energy policy point of view, the results obtained using the Blundell-Bond estimator where we instrument for price imply that a carbon tax or other price-based policy may be effective in discouraging residential electricity consumption and hence curbing greenhouse gas emissions in an electricity system mainly based on coal and gas power plants. - Research Highlights: > Updated information on price elasticities for the US energy policy. > Taking into account measurement error in the price variable increase price elasticity. > Room for discouraging residential electricity consumption using price increases.
Response of residential electricity demand to price: The effect of measurement error
International Nuclear Information System (INIS)
Alberini, Anna; Filippini, Massimo
2011-01-01
In this paper we present an empirical analysis of the residential demand for electricity using annual aggregate data at the state level for 48 US states from 1995 to 2007. Earlier literature has examined residential energy consumption at the state level using annual or monthly data, focusing on the variation in price elasticities of demand across states or regions, but has failed to recognize or address two major issues. The first is that, when fitting dynamic panel models, the lagged consumption term in the right-hand side of the demand equation is endogenous. This has resulted in potentially inconsistent estimates of the long-run price elasticity of demand. The second is that energy price is likely mismeasured. To address these issues, we estimate a dynamic partial adjustment model using the Kiviet corrected Least Square Dummy Variables (LSDV) (1995) and the Blundell-Bond (1998) estimators. We find that the long-term elasticities produced by the Blundell-Bond system GMM methods are largest, and that from the bias-corrected LSDV are greater than that from the conventional LSDV. From an energy policy point of view, the results obtained using the Blundell-Bond estimator where we instrument for price imply that a carbon tax or other price-based policy may be effective in discouraging residential electricity consumption and hence curbing greenhouse gas emissions in an electricity system mainly based on coal and gas power plants. - Research Highlights: → Updated information on price elasticities for the US energy policy. → Taking into account measurement error in the price variable increase price elasticity. → Room for discouraging residential electricity consumption using price increases.
Palm oil price forecasting model: An autoregressive distributed lag (ARDL) approach
Hamid, Mohd Fahmi Abdul; Shabri, Ani
2017-05-01
Palm oil price fluctuated without any clear trend or cyclical pattern in the last few decades. The instability of food commodities price causes it to change rapidly over time. This paper attempts to develop Autoregressive Distributed Lag (ARDL) model in modeling and forecasting the price of palm oil. In order to use ARDL as a forecasting model, this paper modifies the data structure where we only consider lagged explanatory variables to explain the variation in palm oil price. We then compare the performance of this ARDL model with a benchmark model namely ARIMA in term of their comparative forecasting accuracy. This paper also utilize ARDL bound testing approach to co-integration in examining the short run and long run relationship between palm oil price and its determinant; production, stock, and price of soybean as the substitute of palm oil and price of crude oil. The comparative forecasting accuracy suggests that ARDL model has a better forecasting accuracy compared to ARIMA.
ACCOUNTING ASPECTS OF PRICING AND TRANSFER PRICING
Directory of Open Access Journals (Sweden)
TÜNDE VERES
2011-01-01
Full Text Available The pricing methods in practice need really complex view of the business situation and depend on the strategy and market position of a company. The structure of a price seems simple: cost plus margin. Both categories are special area in the management accounting. Information about the product costs, the allocation methodologies in cost accounting, the analyzing of revenue and different level of the margin needs information from accounting system. This paper analyzes the pricing methods from management accounting aspects to show out the role of the accounting system in the short term and long term pricing and transfer pricing decisions.
State Prices and Implementation of the Recovery Theorem
Directory of Open Access Journals (Sweden)
Alex Backwell
2015-01-01
Full Text Available It is generally held that derivative prices do not contain useful predictive information, that is, information relating to the distribution of future financial variables under the real-world measure. This is because the market’s implicit forecast of the future becomes entangled with market risk preferences during derivative price formation. A result derived by Ross [1], however, recovers the real-world distribution of an equity index, requiring only current prices and mild restrictions on risk preferences. In addition to being of great interest to the theorist, the potential practical value of the result is considerable. This paper addresses implementation of the Ross Recovery Theorem. The theorem is formalised, extended, proved and discussed. Obstacles to application are identified and a workable implementation methodology is developed.
International Nuclear Information System (INIS)
Radchenko, S.
2005-01-01
This paper analyzes the effect of volatility in oil prices on the degree of asymmetry in the response of gasoline prices to oil price increases and decreases. Several time series measures of the asymmetry between the responses of gasoline prices to oil price increases and decreases and several measures of the oil price volatility are constructed. In all models, the degree of asymmetry in gasoline prices declines with an increase in oil price volatility. The results support the oligopolistic coordination theory as a likely explanation of the observed asymmetry and are not consistent with the standard search theory and the search theory with Bayesian updating. (author)
Prices, taxes and automotive fuel cross-border shopping
International Nuclear Information System (INIS)
Leal, Andres; Lopez-Laborda, Julio; Rodrigo, Fernando
2009-01-01
The aim of the present paper is to determine whether differences in automotive fuel prices among neighboring Autonomous Communities (i.e. Spanish political-administrative regions) affect the decisions taken by individuals regarding the region in which to purchase fuel. In particular, the intention is to discover if price increases in certain Autonomous Communities, as a result of the application of the regional tranche of the Hydrocarbon Retail Sales Tax (HRST) has affected fuel purchases in neighboring Communities. In order to achieve the above-mentioned objectives, the monthly purchases of automotive diesel in Aragon between January 2001 and March 2007 is estimated from the fuel price in Aragon, the relation between prices in each of the bordering Communities and Aragon, weighted by density of traffic, the number of vehicles registered in that Community, and three dummy variables representative of the implementation of the regional tranche of the HRST in Madrid, Catalonia, and Valencia. The paper finds empirical evidence to demonstrate a positive effect of the relative prices in the neighboring Communities and vehicle registrations, and also a negative effect of prices in Aragon, upon the acquisition of diesel in this region. In the case of Catalonia, some evidence suggests that the price effect may have been strengthened following the introduction of the regional tranche of the HRST in August 2004. (author)
EFFECTS OF OIL PRICE SHOCKS ON THE ECONOMIC SECTORS IN MALAYSIA
Directory of Open Access Journals (Sweden)
Mohd Shahidan Shaari
2013-10-01
Full Text Available This paper aims to examine the effects of oil price shocks on economic sectors in Malaysia. A unit root test was conducted, in which data were shown to be non-stationary in all levels, and stationary in the first difference for all variables. The co-integration model was applied, and the results indicated that one co-integrating equation exists, suggesting the long-term effects of oil prices on the agriculture, construction, manufacturing, and transportation sectors. Finally, Grange causality test was performed, and the results implied that in Malaysia, oil price shocks can affect agriculture, similar to Hanson et al. (2010. Oil price instability also influences the performance of the agriculture sector, contrary to the results of Alper and Torul (2009. In addition, the construction sector was found to be dependent on oil prices. Therefore, the current study has an important implication for the Malaysian government in formulating policies on oil prices. The Malaysian government needs to control the price to ensure that unstable price will not harm the agriculture, manufacturing, and construction sectors.
Patients' views on price shopping and price transparency.
Semigran, Hannah L; Gourevitch, Rebecca; Sinaiko, Anna D; Cowling, David; Mehrotra, Ateev
2017-06-01
Driven by the growth of high deductibles and price transparency initiatives, patients are being encouraged to search for prices before seeking care, yet few do so. To understand why this is the case, we interviewed individuals who were offered access to a widely used price transparency website through their employer. Qualitative interviews. We interviewed individuals enrolled in a preferred provider organization product through their health plan about their experience using the price transparency tool (if they had done so), their past medical experiences, and their opinions on shopping for care. All interviews were transcribed and manually coded using a thematic coding guide. In general, respondents expressed frustration with healthcare costs and had a positive opinion of the idea of price shopping in theory, but 2 sets of barriers limited their ability to do so in reality. The first was the salience of searching for price information. For example, respondents recognized that due to their health plan benefits design, they would not save money by switching to a lower-cost provider. Second, other factors were more important than price for respondents when choosing a provider, including quality and loyalty to current providers. We found a disconnect between respondents' enthusiasm for price shopping and their reported use of a price transparency tool to shop for care. However, many did find the tool useful for other purposes, including checking their claims history. Addressing the barriers to price shopping identified by respondents can help inform ongoing and future price transparency initiatives.
Directory of Open Access Journals (Sweden)
Tomáš Urbanovský
2017-01-01
Full Text Available The main aim of this paper is to investigate relationships between selected macroeconomic variables – interest rate, price level, money supply and real GDP – in the Czech Republic in order to find out definite implications of its interactions and give recommendations to macroeconomic policy authorities. Two implemented vector autoregression models with different lag length reached slightly different conclusions. VAR(1 suggests that three pairs of Granger causality exist, in particular between price level and interest rate, between real GDP and interest rate and between real GDP and price level. VAR(2 uncovered two more pairs of Granger causality between money supply and interest rate and between money supply and price level. Despite better prediction power of VAR(2 in case of money supply, low correlation coefficient comprising variable money supply raises doubts about the factual existence of causality between money supply and other variables. However, both models allow forecasting the direction of change in case of variables interest rate and real GDP with the same success rate nearly 82 %. Both VARs also agreed that interest rate could be changed by change of price level and that interest rate could be changed by change of real GDP. These conclusions represent potential recommendations to macroeconomic policy authorities. For the purpose of further research, exchange rate variable will be included in the model instead of interest rate, because effect of interest rate turned out to be limited in times of weakened state of Czech economy.
Moment generating function approach to pricing interest rate and foreign exchange rate claims
Dijkstra, T.K.; Yao, Y.
2002-01-01
This paper uses moment generating functions to provide a general framework to model international term structures and to price interest rate and foreign exchange rate claims. When moment generating functions of state variables have a closed-form formula, closed-form formulas for bond prices are
Pricing and Application of Electric Storage
Zhao, Jialin
Electric storage provides a vehicle to store power for future use. It contributes to the grids in multiple aspects. For instance, electric storage is a more effective approach to provide electricity ancillary services than conventional methods. Additionally, electric storage, especially fast-responding units, allows owners to implement high-frequency power transactions in settings such as the 5-min real-time trading market. Such high-frequency power trades were limited in the past. However, as technology advances, the power markets have evolved. For instance, the California Independent System Operator now supports the 5-min real-time trading and the hourly day-ahead ancillary services bidding. Existing valuation models of electric storage were not designed to accommodate these recent market developments. To fill this gap, I focus on the fast-responding grid-level electric storage that provides both the real-time trading and the day-ahead ancillary services bidding. To evaluate such an asset, I propose a Monte Carlo Simulation-based valuation model. The foundation of my model is simulations of power prices. This study develops a new simulation model of electric prices. It is worth noting that, unlike existing models, my proposed simulation model captures the dependency of the real-time markets on the day-ahead markets. Upon such simulations, this study investigates the pricing and the application of electric storage at a 5-min granularity. Essentially, my model is a Dynamic Programming system with both endogenous variables (i.e., the State-of-Charge of electric storage) and exogenous variables (i.e., power prices). My first numerical example is the valuation of a fictitious 4MWh battery. Similarly, my second example evaluates the application of two units of 2MWh batteries. By comparing these two experiments, I investigate the issues related to battery configurations, such as the impacts of splitting storage capability on the valuation of electric storage.
Pricing, hedging and risk management : practical tips for natural gas buyers and sellers
International Nuclear Information System (INIS)
Shields, D.
1998-01-01
Risk analysis and techniques to manage risk as it pertains to the natural gas industry were discussed. Portfolio allocations for long-term, short-term fixed price and variable price contracts were described. Options were defined as a market instrument offering the benefits of a fixed price purchase or sale without the obligation of incurring financial or opportunity losses if the market goes against the option buyer. Options should be used as a defence strategy to protect portfolios from price risk in times of uncertainty and to take advantage of current floating market conditions without making a full price commitment. Options can also be used as an offensive strategy to make a directional play on the market or on volatility. Options selling was regarded as a much higher risk than options buying. The variables that affect options premiums were: (1) volatility, (2) time to expiration, (3) underlying price versus strike price, and (4) flexibility. Williams Energy's new world class energy trading floor in Tulsa, Oklahoma was also described. Williams is the largest-volume transporter of natural gas in the U.S. with more than 27,000 miles of pipelines. Williams pipelines transport 16 per cent of all the natural gas used in the U.S. and the company is one of the nation's largest natural gas gatherers and processors. tabs., figs
House prices and the macroeconomic environment in Turkey: The examination of a dynamic relationship
Directory of Open Access Journals (Sweden)
Yıldırım Mustafa Ozan
2017-01-01
Full Text Available The aim of this paper is to examine the dynamic relationship between house prices, income, interest rates, housing permits, and share prices in Turkey, using Structural Vector Autoregressive (SVAR models. This paper uses both monthly and quarterly data for the Turkish economy and applies four different SVAR models to reveal this dynamic relationship over the 2003-2016 period. The results show statistically significant and substantial relationships between the variables. The analysis also shows that house prices and housing permits as housing market variables are very sensitive to monetary policy and income shocks. The key finding of the study for policymakers is that a change in mortgage rates is the factor that most changes house prices. The study also shows that the housing market plays an important role in transferring monetary policy to the real economy in Turkey.
Analyzing the effects of past prices on reference price formation
van Oest, R.D.; Paap, R.
2004-01-01
textabstractWe propose a new reference price framework for brand choice. In this framework, we employ a Markov-switching process with an absorbing state to model unobserved price recall of households. Reference prices result from the prices households are able to remember. Our model can be used to learn how many prices observed in the past are used for reference price formation. Furthermore, we learn to what extent households have sufficient price knowledge to form an internal reference price...
Do financial investors affect the price of wheat?
Directory of Open Access Journals (Sweden)
Daniele Girardi
2012-03-01
Full Text Available It is widely debated whether financial speculation was a significant force behind recent food price fluctuations. As a matter of fact, during the 2000s agricultural commodity derivatives markets were flooded by a ‘wall of money’ coming from financial investors. In agricultural exchanges, the greatest part of this huge financial inflow came from index traders, i.e. financial actors that follow a passive strategy of tracking a commodity index. In this article I present new empirical evidence that supports the hypothesis that financial investments have affected wheat price dynamics in recent years. In particular, I focus on Hard Red Winter (HRW wheat. Since 2007 HRW wheat price fluctuations have been positively related to US stock market returns and oil price movements. These correlations appear to be determined by commodity index traders, since both these relationships proved to be spurious, with the most tracked commodity index as the confounding variable.
Directory of Open Access Journals (Sweden)
Nataša Pomazalová
2011-01-01
Full Text Available The purpose of this paper is to evaluate tender prices of chosen beverages according to public procurement based on secondary data analysis. The empirical results of analysis (t-test and F-test show that average annual prices of these beverages are different and collected data are not included in the same sample. Tender prices are different in each year of observed years, although are based on public tender. Important evidence is that for the public tenders in the abroad is obligatory use of the Czech public procurement law. According to this act the base evaluation criterion is the lowest offered price. Data were collected during the years 2005–2009. This study deals with empirical approach, variability of prices of chosen beverages based on public tenders between the Czech Republic (Ministry of Defence and local suppliers in Kosovo. Results show low variability of prices, which are based on public tender and legal approach, regulated public procurement. The research conclusion is the fact, that tender prices for piece of non-alcoholic beverage are less than 10 % from annual mean (pcs./CZK of tendered prices.
City Size, Housing Price and Resident Income Gap
Institute of Scientific and Technical Information of China (English)
FAN Hong-zhong; ZHANG Ting; LI Ming-liang
2014-01-01
Taking the urban population size and urban housing price as the proxy variable of city size,this paper conducts an empirical analysis with the data of CHIPS 2002 and 2008.It is found that the rising of city size and housing prices has important promotion effects on income inequality of city residents.The main reason is that the wage of migrant workers is separated from the housing price of the cities in which they reside;while their wage level can balance the wage level of the ordinary workers of city residents,making it separate from the urban housing price.But the wage of high quality worker of city residents is closely connected with the housing price.The combined action of the multy sizes in China's urban labor market leads to such a result that the greater the size of cities,the higher the urban housing prices,and the larger the income gap between urban residents.This means that in the construction of the new urbanization,to limit the over-expansion of such mega-cities as Beijing,Shanghai and so on and to develop the middle and small cities is an effective way to narrow the income gap between urban residents in China.
Okpala, Charles Odilichukwu R; Bono, Gioacchino; Pipitone, Vito; Vitale, Sergio; Cannizzaro, Leonardo
2016-01-01
To date, there seems to be limited-to-zero emphasis about how consumers perceive crustacean products subject to either chemical and or non-chemical preservative treatments. In addition, studies that investigated price comparisons of crustacean products subject to either chemical or chemical-free preservative methods seem unreported. This study focused on providing some foundational knowledge about how consumers perceive traditionally harvested crustaceans that are either chemical-treated and or free of chemicals, incorporating price comparisons using a descriptive approach. The study design employed a questionnaire approach via interview using a computer-assisted telephone system and sampled 1,540 participants across five key locations in Italy. To actualize consumer sensitivity, 'price' was the focus given its crucial role as a consumption barrier. Prior to this, variables such as demographic characteristics of participants, frequency of purchasing, quality attributes/factors that limit the consumption of crustaceans were equally considered. By price comparisons, consumers are likely to favor chemical-free (modified atmosphere packaging) crustacean products amid a price increase of up to 15%. But, a further price increase such as by 25% could markedly damage consumers' feelings, which might lead to a considerable number opting out in favor of either chemical-treated or other seafood products. Comparing locations, the studied variables showed no statistical differences ( p >0.05). On the contrary, the response weightings fluctuated across the studied categories. Both response weightings and coefficient of variation helped reveal more about how responses deviated per variable categories. This study has revealed some foundational knowledge about how consumers perceive traditionally harvested crustaceans that were either chemical-treated or subject to chemical-free preservative up to price sensitivity using Italy as a reference case, which is applicable to other parts
Forecasting Day-Ahead Electricity Prices : Utilizing Hourly Prices
E. Raviv (Eran); K.E. Bouwman (Kees); D.J.C. van Dijk (Dick)
2013-01-01
textabstractThe daily average price of electricity represents the price of electricity to be delivered over the full next day and serves as a key reference price in the electricity market. It is an aggregate that equals the average of hourly prices for delivery during each of the 24 individual
Price Elasticity of Alcohol Demand in India.
Kumar, Santosh
2017-05-01
Using a household survey conducted in 2014, this study estimates price elasticity of demand (PED) for beer, country liquor and spirits in India. Ordinary least-square models were used to estimate the responsiveness in alcohol demand due to price change. A large number of control variables were included to adjust for potential confounding in the model. Inter-district variation in alcohol consumption is adjusted for by including district fixed effects. Alcohol prices are negatively associated with demand for alcoholic beverages. The PED ranged from -0.14 for spirits to -0.46 for country liquor. Low level of education was positively associated with spirits consumption. The magnitude of elasticity varied by rural-urban, education and gender. Results indicate that a policy mix of price controls and awareness campaigns would be most effective in tackling the adverse effects of harmful drinking in India. The demand for beer, country liquor and spirits is negatively associated with its own price. The elasticity estimates ranged from -0.14 for spirits to -0.44 for country liquor. The elasticity estimates varied by rural-urban, gender and by education levels of the drinkers. © The Author 2017. Medical Council on Alcohol and Oxford University Press. All rights reserved
OIL PRICES AND THE KUWAITI AND THE SAUDI STOCK MARKETS
Directory of Open Access Journals (Sweden)
Samih Antoine Azar
2013-01-01
Full Text Available The purpose of this paper is to test the impact of oil price shocks on the stock markets of the two biggest and most liquid GCC equity markets, those of Kuwait and Saudi Arabia. It is expected that the two stock markets react similarly to oil price shocks. Actually the results show heterogeneity in responses. While there is prima facie evidence that both stock markets are influenced positively and linearly by oil price shocks, this evidence disappears when additional variables are added to the regressions. With the larger specification oil price shocks do not impact, neither linearly or non-linearly, Kuwaiti stock markets. By contrast Saudi markets react non-linearly to both oil price shocks and shocks in the US S&P 500. The only common feature for both equity markets is the positive relation with the shocks in the US S&P 500.
Forecasting Day-Ahead Electricity Prices: Utilizing Hourly Prices
Raviv, Eran; Bouwman, Kees E.; van Dijk, Dick
2013-01-01
This discussion paper led to a publication in 'Energy Economics' , 2015, 50, 227-239. The daily average price of electricity represents the price of electricity to be delivered over the full next day and serves as a key reference price in the electricity market. It is an aggregate that equals the average of hourly prices for delivery during each of the 24 individual hours. This paper demonstrates that the disaggregated hourly prices contain useful predictive information for the daily average ...
Technology for Price Management in Industrial Differential Product Market
Directory of Open Access Journals (Sweden)
E. V. Orlova
2015-01-01
Full Text Available The article studies price behavior of oligopolies in industrial market where price competition is replaced by non-price competition. There is a developed technology for pricing management of the products of industrial enterprises, which, unlike the existing ones, takes into account the dynamics of changes in consumer preferences and changes in the pricing policy of the enterprise competitor and is based on usage of system dynamics models to simulate the financial and economic performance of enterprises and the fuzzy model for situational analysis and decisionmaking on changes in prices for the products. A pricing simulation model is offered. It is based on system-dynamic modeling method, which takes into account the complex cause-to-effect concatenation of factors on price such as product quality, cost, price competition, price elasticity of economic demand, competitors’ quantity of output and estimates the impact of changing factors of internal and external enterprise environment on the effectiveness of its activities.The simulation model allows us to conduct diverse experiments and analyze the impact of management decisions on the efficiency of the enterprise. Based on the fuzzy approach a price decision-making model is developed. It operates not only precise (numeric values, but also qualitative assessments of variables and provides an adequate use of logical relationships and the laws of the mutual influence of market and production and economic factors. Qualitative dependences, which establish the influence of external and internal factors on the price change, are identified as a result of the study of economic laws and legal conformity that are in the context of rapid economic change and market turbulence may not be strictly formalized and take the form of linguistic statements, which express the conditional relationship between the qualitative assessments of initial factors and changes in the relative price.
Higher Education Prices and Price Indexes. 1976 Supplement.
Halstead, Kent D.
The 1976 supplement presents higher education price index data for fiscal years 1971 through 1976. The basic study, "Higher Education Prices and Price Indexes" (ED 123 996) presents complete descriptions of the indexes together with index values and price data for fiscal years 1961 through 1974. Indexes are presented for research and development,…
The impact of ethanol production on food prices: The role of interplay between the U.S. and Brazil
International Nuclear Information System (INIS)
Monteiro, Nathalia; Altman, Ira; Lahiri, Sajal
2012-01-01
Food prices have increased rapidly in recent years, and so has ethanol production. Some studies have claimed that there is a connection between the two. The main purpose of this paper is to add to this literature by examining the influence that the interplay between Brazil and the U.S. in ethanol production has on food prices. Specifically, and controlling for other variables, which have been shown to affect food prices, we investigate whether sugarcane ethanol and corn ethanol production have similar impacts on food prices, and whether ethanol productivity affects food prices. We find a positive significant effect of Brazilian market share in world ethanol market on relative food prices. We also find that an increase of Brazilian cane ethanol area has a negative effect on relative food prices. - Highlights: ► We examine if sugarcane ethanol and corn ethanol have similar impacts on food price. ► We examine if ethanol productivity affects food prices. ► We control for many other variables, which have been shown to affect food prices. ► Brazilian market share in ethanol market has a positive effect on food prices. ► Brazilian cane ethanol area has a negative effect on relative food prices.
Another look on the relationships between oil prices and energy prices
International Nuclear Information System (INIS)
Lahiani, Amine; Miloudi, Anthony; Benkraiem, Ramzi; Shahbaz, Muhammad
2017-01-01
This paper employs the Quantile Autoregressive Distributed Lags (QARDL) model developed recently by Cho et al. (2015) to investigate the pass-through of oil prices to a set of energy prices. This approach allows analyzing simultaneously short-term connections and long-run cointegrating relationships across a range of quantiles. It also provides insights on the short-run predictive power of oil prices in predicting energy prices while accounting for the cointegration between oil prices and each of the considered energy prices in low, medium and high quantiles. Two key findings emerge from this paper. First, all considered energy prices are shown to be cointegrated with oil price across quantiles meaning that a stationaryequilibriumrelationship exists between single energy price and oil price. Second, we find evidence that oil price is a significant predictor of individual petroleum products prices and natural gas in the short run. This paper has important policy implications for forecasters, energy policy-makers and portfolio managers. - Highlights: • The pass-through of oil prices to a set of energy prices is investigated for US economy. • All considered energy prices are shown to be cointegrated with oil price across quantiles. • Oil price is a significant predictor of individual petroleum products prices in the short run. • Oil price also predicts natural gas prices in the short run.
Price and distribution policies in healthcare marketing in Romania.
Coculescu, B I; Coculescu, E C; Purcărea, V L
2017-01-01
There is a principle similar to the theory of exchange in the marketing of health services, meaning that what is delivered to the target market (i.e. the beneficiaries) must be equal to or greater than what is to be received (i.e. the price). The price level in the marketing mix is influenced by how the consumer perceives the respective medical service and is quantified in the profit and the turnover of the organization respectively. The cost of the medical act as a whole is the value of all the tangible and intangible variables associated with it, and the planning, distribution and promotion of the product must be taken into account in the price setting.
The Shift of the Demand for Air Transport Services when Prices Change
Dan Pauna
2011-01-01
The decrease of the charge/unit price determines the extension of demand, as well as the increaseof the amount of a product/service required on the market. The relationship between the evolution ofcharge/unit price (the independent variable) and the market demand of a good/service (the dependentvariable) can be illustrated in a table, a function or a graph. The causal relationships between the change ofthe charge/unit price of a good/service and the change of the amount required represent the...
Optimal Portfolio Choice with Annuitization
Koijen, R.S.J.; Nijman, T.E.; Werker, B.J.M.
2006-01-01
We study the optimal consumption and portfolio choice problem over an individual's life-cycle taking into account annuity risk at retirement. Optimally, the investor allocates wealth at retirement to nominal, inflation-linked, and variable annuities and conditions this choice on the state of the
Analysis of Medicine Prices in New Zealand and 16 European Countries.
Vogler, Sabine; Kilpatrick, Kate; Babar, Zaheer-Ud-Din
2015-06-01
To compare prices of medicines, both originators and generics, in New Zealand and 16 European countries. Ex-factory price data as of December 2012 from New Zealand and 16 European countries were compared for a basket of 14 medicines, most of which were at least partially funded by the state in the 17 countries. Five medicines had, at least in some countries, generic versions on the market whose prices were also analyzed. Medicine price data for the 16 European countries were provided by the Pharma Price Information service. New Zealand medicine prices were retrieved from the New Zealand Pharmaceutical Schedule. Unit prices converted into euro were compared at the ex-factory price level. For the 14 medicines surveyed, considerable price differences at the ex-factory price level were identified. Within the European countries, prices in Greece, Portugal, the United Kingdom, and Spain ranked at the lower end, whereas prices in Switzerland, Germany, Denmark, and Sweden were at the upper end. The results for New Zealand compared with Europe were variable. New Zealand prices were found in the lowest quartile for five medicines and in the highest quartile for seven other products. Price differences between the originator products and generic versions ranged from 0% to 90% depending on the medicine and the country. Medicine prices varied considerably between European countries and New Zealand as well as among the European countries. These differences are likely to result from national pricing and reimbursement policies. Copyright © 2015 International Society for Pharmacoeconomics and Outcomes Research (ISPOR). Published by Elsevier Inc. All rights reserved.
Modelling electricity futures prices using seasonal path-dependent volatility
International Nuclear Information System (INIS)
Fanelli, Viviana; Maddalena, Lucia; Musti, Silvana
2016-01-01
Highlights: • A no-arbitrage term structure model is applied to the electricity market. • Volatility parameters of the HJM model are estimated by using German data. • The model captures the seasonal price behaviour. • Electricity futures prices are forecasted. • Call options are evaluated according to different strike prices. - Abstract: The liberalization of electricity markets gave rise to new patterns of futures prices and the need of models that could efficiently describe price dynamics grew exponentially, in order to improve decision making for all of the agents involved in energy issues. Although there are papers focused on modelling electricity as a flow commodity by using Heath et al. (1992) approach in order to price futures contracts, the literature is scarce on attempts to consider a seasonal volatility as input to models. In this paper, we propose a futures price model that allows looking into observed stylized facts in the electricity market, in particular stochastic price variability, and periodic behavior. We consider a seasonal path-dependent volatility for futures returns that are modelled in Heath et al. (1992) framework and we obtain the dynamics of futures prices. We use these series to price the underlying asset of a call option in a risk management perspective. We test the model on the German electricity market, and we find that it is accurate in futures and option value estimates. In addition, the obtained results and the proposed methodology can be useful as a starting point for risk management or portfolio optimization under uncertainty in the current context of energy markets.
Associations of cycling with urban sprawl and the gasoline price.
Rashad, Inas
2009-01-01
Determine the relationships between cycling and urban sprawl and between cycling and the gasoline price. Cross-sectional multivariate regression analyses using pooled data from two individual-level national surveys to analyze the effects of variations in levels of urban sprawl and the gasoline price on cycling as a form of physical activity. Metropolitan areas representative of the U.S. population, 1990 to 2001. Behavioral Risk Factor Surveillance System: 146,730 individuals at least 18-years-old in the United States; Nationwide Personal Transportation Survey: 73,903 individuals at least 18-years-old in the United States. Self-reported information on bicycling served as the dependent variable. Urban sprawl and the gasoline price served as key independent variables. Living in a metropolitan area with a lower degree of urban sprawl increased the probability of cycling in the past month by 3.4 to 4.4 percentage points and 1.6 to 2.1 percentage points from the means for men and women, respectively. Increasing the gasoline price by one dollar increased the probability of cycling by 4.3 to 4.7 percentage points and 2.9 to 3.5 percentage points for men and women, respectively. Results indicate that the prevalence of cycling is higher in less sprawling areas and areas with higher gasoline prices. More research is needed to refine results on how individuals respond to incentives and the roles that monetary and time costs play in improving public health.
Demand response with locational dynamic pricing to support the integration of renewables
International Nuclear Information System (INIS)
Dupont, B.; De Jonghe, C.; Olmos, L.; Belmans, R.
2014-01-01
Electricity production from centralised and decentralised renewable energy resources in Europe is gaining significance, resulting in operational challenges in the electricity system. Although these challenges add to the locational and time dependency of the underlying cost of operating the system, this variability in time and location is not reflected in residential tariff schemes. Consequently, residential users are not incentivised to react to varying system conditions and to help the integration of renewable energy resources. Therefore, this paper provides a theoretical framework for designing a locational dynamic pricing scheme. This can be used to assess existing tariff structures for consumption and injection, and can serve as a theoretical background for developing new tariff schemes. Starting from the underlying costs, this paper shows that the potential for locational dynamic pricing depends on the locational and time dependency of its cost drivers. When converting costs into tariffs, the tariff design should be determined. This includes the advance notice of sending tariffs to users, and the length of price blocks and price patterns. This tariff design should find a balance between tariff principles related to costs, practicality and social acceptability on the one hand, and the resulting demand response incentive on the other. - Highlights: • The integration of renewables affects the locational and time dependency of costs. • Locational dynamic pricing reflects cost variability and allows demand response. • A theoretical framework for designing and assessing tariff schemes is proposed. • Tariff variability depends on the locational and time dependency of its cost drivers. • The tariff design should consider the resulting demand response incentive
Carbon pricing, nuclear power and electricity markets
Energy Technology Data Exchange (ETDEWEB)
Cameron, R.; Keppler, J. H. [OECD Nuclear Energy Agency, 12, boulevard des Iles, 92130 Issy-les-Moulineaux (France)
2012-07-01
In 2010, the NEA in conjunction with the International Energy Agency produced an analysis of the Projected Costs of Electricity for almost 200 power plants, covering nuclear, fossil fuel and renewable electricity generation. That analysis used lifetime costs to consider the merits of each technology. However, the lifetime cost analysis is less applicable in liberalised markets and does not look specifically at the viewpoint of the private investor. A follow-up NEA assessment of the competitiveness of nuclear energy against coal- and gas-fired generation under carbon pricing has considered just this question. The economic competition in electricity markets is today between nuclear energy and gas-fired power generation, with coal-fired power generation not being competitive as soon as even modest carbon pricing is introduced. Whether nuclear energy or natural gas comes out ahead in their competition depends on a number of assumptions, which, while all entirely reasonable, yield very different outcomes. The analysis in this study has been developed on the basis of daily data from European power markets over the last five-year period. Three different methodologies, a Profit Analysis looking at historic returns over the past five years, an Investment Analysis projecting the conditions of the past five years over the lifetime of plants and a Carbon Tax Analysis (differentiating the Investment Analysis for different carbon prices) look at the issue of competitiveness from different angles. They show that the competitiveness of nuclear energy depends on a number of variables which in different configurations determine whether electricity produced from nuclear power or from CCGTs generates higher profits for its investors. These are overnight costs, financing costs, gas prices, carbon prices, profit margins (or mark-ups), the amount of coal with carbon capture and electricity prices. This paper will present the outcomes of the analysis in the context of a liberalised
Carbon pricing, nuclear power and electricity markets
International Nuclear Information System (INIS)
Cameron, R.; Keppler, J. H.
2012-01-01
In 2010, the NEA in conjunction with the International Energy Agency produced an analysis of the Projected Costs of Electricity for almost 200 power plants, covering nuclear, fossil fuel and renewable electricity generation. That analysis used lifetime costs to consider the merits of each technology. However, the lifetime cost analysis is less applicable in liberalised markets and does not look specifically at the viewpoint of the private investor. A follow-up NEA assessment of the competitiveness of nuclear energy against coal- and gas-fired generation under carbon pricing has considered just this question. The economic competition in electricity markets is today between nuclear energy and gas-fired power generation, with coal-fired power generation not being competitive as soon as even modest carbon pricing is introduced. Whether nuclear energy or natural gas comes out ahead in their competition depends on a number of assumptions, which, while all entirely reasonable, yield very different outcomes. The analysis in this study has been developed on the basis of daily data from European power markets over the last five-year period. Three different methodologies, a Profit Analysis looking at historic returns over the past five years, an Investment Analysis projecting the conditions of the past five years over the lifetime of plants and a Carbon Tax Analysis (differentiating the Investment Analysis for different carbon prices) look at the issue of competitiveness from different angles. They show that the competitiveness of nuclear energy depends on a number of variables which in different configurations determine whether electricity produced from nuclear power or from CCGTs generates higher profits for its investors. These are overnight costs, financing costs, gas prices, carbon prices, profit margins (or mark-ups), the amount of coal with carbon capture and electricity prices. This paper will present the outcomes of the analysis in the context of a liberalised
Northeast U.S. update: price and demand issues
International Nuclear Information System (INIS)
Lucy, M.S.
1997-01-01
The issues affecting natural gas prices in the northeast United States were discussed. The supply of natural gas is high because of new pipeline projects and new market entrants. The demand for natural gas is also high because of nuclear plant closings, new electric plants, the clean air act, and economic growth. The supply of natural gas is expected to grow in the Northeast by 27 per cent by the year 2000. Future pipeline projects from Western Canada to Chicago, New York and Boston were examined and their effect on supply and pricing were analyzed. As another variable that affects the pricing of natural gas, a list of the nuclear plants that have closed and which may soon close in the northeast United States was provided, along with a list of new gas fired plants. Other factors affecting winter market prices in the northeast United States for 1997-1998 include El Nino, warm weather forecasts, NYMEX forecasts, natural gas demand, and low oil prices, were also reviewed. Cultivating long term comprehensive relationships, and focusing on customer service were considered the key to successful Canadian export growth. 7 tabs., 5 figs
Formation of an Integrated Stock Price Forecast Model in Lithuania
Directory of Open Access Journals (Sweden)
Audrius Dzikevičius
2016-12-01
Full Text Available Technical and fundamental analyses are widely used to forecast stock prices due to lack of knowledge of other modern models and methods such as Residual Income Model, ANN-APGARCH, Support Vector Machine, Probabilistic Neural Network and Genetic Fuzzy Systems. Although stock price forecast models integrating both technical and fundamental analyses are currently used widely, their integration is not justified comprehensively enough. This paper discusses theoretical one-factor and multi-factor stock price forecast models already applied by investors at a global level and determines possibility to create and apply practically a stock price forecast model which integrates fundamental and technical analysis with the reference to the Lithuanian stock market. The research is aimed to determine the relationship between stock prices of the 14 Lithuanian companies listed in the Main List by the Nasdaq OMX Baltic and various fundamental variables. Based on correlation and regression analysis results and application of c-Squared Test, ANOVA method, a general stock price forecast model is generated. This paper discusses practical implications how the developed model can be used to forecast stock prices by individual investors and suggests additional check measures.
Fish market prices drive overfishing of the ‘big ones’
Directory of Open Access Journals (Sweden)
Athanassios C. Tsikliras
2014-11-01
Full Text Available The relationship between fish market price and body size has not been explored much in fisheries science. Here, the mean market prices and fish body size were collected in order to examine the hypothesis that large fish, both among- and within-species, are being selectively targeted by fisheries because they may yield greater profit. Trophic levels, vulnerability to fishing and global landings were also collected because these variables may also be related to the market fish price. These relationships were examined using generalized additive models (GAM, which showed that, among species, fish market price was positively dependent on maximum total length (P = 0.0024 and negatively on landings (P = 0.0006, whereas it was independent of trophic level (P > 0.05 and vulnerability to fishing (P > 0.05. When the fish price vs. size relationship was tested within-species, large individuals were consistently attaining higher market prices compared to their medium and small-sized counterparts. We conclude that the selective removal of the larger fish, which is driven by their market price and to a lesser extent by their availability, may contribute to their overfishing.
Fish market prices drive overfishing of the ‘big ones’
Polymeros, Konstantinos
2014-01-01
The relationship between fish market price and body size has not been explored much in fisheries science. Here, the mean market prices and fish body size were collected in order to examine the hypothesis that large fish, both among- and within-species, are being selectively targeted by fisheries because they may yield greater profit. Trophic levels, vulnerability to fishing and global landings were also collected because these variables may also be related to the market fish price. These relationships were examined using generalized additive models (GAM), which showed that, among species, fish market price was positively dependent on maximum total length (P = 0.0024) and negatively on landings (P = 0.0006), whereas it was independent of trophic level (P > 0.05) and vulnerability to fishing (P > 0.05). When the fish price vs. size relationship was tested within-species, large individuals were consistently attaining higher market prices compared to their medium and small-sized counterparts. We conclude that the selective removal of the larger fish, which is driven by their market price and to a lesser extent by their availability, may contribute to their overfishing. PMID:25392754
Oil price fluctuations and Its effect on GDP growth
Gonzalez , Aaron; Nabiyev, Sherzod
2009-01-01
During the year of 2008, the world has experienced historically high oil prices reaching an all time high of 147 USD per barrel in midsummer. The extreme volatility of what is consider the number one source of energy reopened discussions about energy sustainability and the plausible effects of an oil shock in the global economy. How reliable oil price is as an economic variable predicting fluctuations in GDP growth remains controversial. Several models have been developed by scholars target...
Price and inventory dynamics in petroleum product markets
International Nuclear Information System (INIS)
Considine, T.J.; Heo, Eunnyeong
2000-01-01
Unlike many studies of commodity inventory behavior, this paper estimates a model with endogenous spot and forward prices, inventories, production, and net imports. Our application involves markets for refined petroleum products in the United States. Our model is built around the supply and demand for storage. We estimate the model using Generalized Method of Moments and perform dynamic, simultaneous simulations to estimate the impacts of supply and demand shocks. Supply curves for the industry are inelastic and upward sloping. High inventory levels depress prices. Inventories fall in response to higher sales, consistent with production smoothing. Under higher input prices, refiners reduce their stocks of crude oil but increase their product inventories, consistent with cost smoothing. In some cases, imports of products are more variable than production or inventories. 25 refs
Price effects on the smoking behaviour of adult age groups.
Franz, G A
2008-12-01
To provide a cigarette price elasticity reference for adult age groups, and to estimate the smoking behaviour changes in US adults in light of unprecedented state excise tax increases on cigarettes during the 1990s. Individual-level data from the Behavioral Risk Factor Surveillance System for 1993-2000 were merged with state-level cigarette price and tax data. Data were analysed for different age groups using a weighted least squares regression framework. The outcome variables measured were whether an individual was a smoker, whether he/she had tried to quit smoking during the previous year, and how many cigarettes were smoked per day among the total population and among active smokers. This study confirmed previous results that younger individuals are more responsive to price changes than older individuals. Although older age groups are less sensitive to price changes, their smoking behaviour changes are still statistically significant. This study found that while older individuals are less responsive to price changes than younger individuals, their behavioural changes due to cigarette price increases should not be ignored.
Pricing Mining Concessions Based on Combined Multinomial Pricing Model
Directory of Open Access Journals (Sweden)
Chang Xiao
2017-01-01
Full Text Available A combined multinomial pricing model is proposed for pricing mining concession in which the annualized volatility of the price of mineral products follows a multinomial distribution. First, a combined multinomial pricing model is proposed which consists of binomial pricing models calculated according to different volatility values. Second, a method is provided to calculate the annualized volatility and the distribution. Third, the value of convenience yields is calculated based on the relationship between the futures price and the spot price. The notion of convenience yields is used to adjust our model as well. Based on an empirical study of a Chinese copper mine concession, we verify that our model is easy to use and better than the model with constant volatility when considering the changing annualized volatility of the price of the mineral product.
A comparison of cost-based pricing rules for natural gas distribution utilities
International Nuclear Information System (INIS)
Klein, C.C.
1993-01-01
Partial-equilibrium social welfare deadweight losses under uniform Ramsey pricing, a cost allocation pricing method, and the actual average revenues by customer class for two natural gas distribution utilities are calculated and compared. Marginal cost estimates are derived from a multiple-output translog variable cost function and used, along with three sets of demand elasticities, to generate the Ramsey prices and welfare losses. The actual and cost-allocation prices are taken directly from rate case files. The largest social welfare losses are associated with the cost-allocation rule, as high as 10-25% of revenue, despite suggestions in the literature to the contrary. (Author)
Green initiative impact on stock prices: A quantitative study of the clean energy industry
Jurisich, John M.
The purpose of this quantitative ex post facto research study was to explore the relationship between green initiative expense disclosures and stock prices of 46 NASDAQ listed Clean Edge Green Energy global companies from 2007 to 2010. The independent variables were sales and marketing, environmental, customer and supplier, community, and corporate governance practices that were correlated with the dependent variable in the study of stock prices. Expense disclosures were examined in an effort to measure the impact of green initiative programs and to expose the interrelationships between green initiative expense disclosures and fluctuations of stock prices. The data for the research was secondary data from existing annual reports. A statistically significant relationship was revealed between environmental practices and changes in stock prices. The study results also provided substantial evidence for leadership and managerial decision making to reduce or increase green initiative practices to maximize shareholder wealth of their respective organizations.
The impact of electricity price changes on industrial prices and the general price level in Korea
International Nuclear Information System (INIS)
Lim, Seul-Ye; Yoo, Seung-Hoon
2013-01-01
Electricity has played an important role in the economic development of Korea and, thus, has become a critical factor in sustaining the well-being of the Korean people. This study attempts to investigate the impact of electricity price changes on industrial prices and the general price level using input–output (I–O) analysis. To this end, we apply the I–O price model to the 2011 I–O table recently produced by the Bank of Korea, paying particular attention to the electricity sector by considering it as exogenous and then investigating its impacts. The impacts of the electricity price changes on each industrial sector's prices and the general price level are quantitatively derived. For example, the overall impact of a 10% increase in electricity price on the Korean national economy is estimated to be 0.4367%. We also report the results from the model with the electricity sector endogenous and the model with endogenous electricity and labor sectors. This information can be usefully utilized in decision-making regarding price management for electricity. - Highlights: • We investigate the impact of electricity price changes on the Korean economy. • We use the input–output (I–O) analysis specifying the electricity sector as exogenous. • We apply the I–O price model to 2010 I–O table produced by the Bank of Korea. • The impact of a 10% increase in electricity price on the Korean economy is 0.2176%
Directory of Open Access Journals (Sweden)
Frederico A. Turolla
2007-08-01
Full Text Available This paper investigates the price transmission in the world market for soybeans using time series econometrics models. The theoretical model developed by Mundlack and Larson (1992 is based on the Law of the One Price, which assumes price equalization across all local markets in the long run and allows for deviations in the short run. The international market was characterized by three relevant soybean prices: Rotterdam Port, Argentina and the United States. The paper estimates the elasticity of transmission of these prices into soybean prices in Brazil. There were carried causality and cointegration tests in order to identify whether there is significant long-term relationship among these variables. There was also calculated the impulse-response function and forecast error variance decomposition to analyze the transmission of variations in the international prices over Brazilian prices. An exogeneity test was also carried out so as to check whether the variables respond to short term deviations from equilibrium values. Results validated the Law of the One Price in the long run. In line with many studies, this paper showed that Brazil and Argentina can be seen as price takers as long as the speed of their adjustment to shocks is faster than in the United States, the latter being a price maker.
Directory of Open Access Journals (Sweden)
Henry Jordaan
2010-12-01
Full Text Available Price risk associated with maize production became a reason for concern in South Africa only after the deregulation of the agricultural commodities markets in the mid-1990s, when farmers became responsible for marketing their own crops. Although farmers can use, inter alia, the cash forward contracting and/or the derivatives market to manage price risk, few farmers actually participate in forward pricing. A similar reluctance to use forward pricing methods is also found internationally. A number of different model specifications have been used in previous research to model forward pricing behaviour which is based on the assumption that the same variables influence both the adoption and the quantity decision. This study compares the results from a model specification which models forward pricing behaviour in a single-decision framework with the results from modelling the quantity decision conditional to the adoption decision in a two-step approach. The results suggest that substantially more information is obtained by modelling forward pricing behaviour as two separate decisions rather than a single decision. Such information may be valuable in educational material compiled to educate farmers in the effective use of forward pricing methods in price risk management. Modelling forward pricing behaviour as two separate decisions is thus a more effective means of modelling forward pricing behaviour than modelling it as a single decision.
Long- and short-run price asymmetries and hysteresis in the Italian gasoline market
International Nuclear Information System (INIS)
Bagnai, Alberto; Mongeau Ospina, Christian Alexander
2015-01-01
Using monthly data from 1994 to 2013 we study the long-run relation of the pre-tax retail prices of gasoline with crude price and the nominal exchange rate. We find a strongly significant long-run relation. We then use the nonlinear ARDL (NARDL) model to assess the asymmetries on both the short- and long-run elasticities, as well as the presence of hysteresis in the pricing behaviour. The estimation results confirm the presence of asymmetry in the long-run elasticities, with significant differences between the crude price and the exchange rate, as well as the presence of hysteresis in the relation between the retail price of gasoline and crude oil price. - Highlights: • The pass-through of crude oil prices and exchange rate into gasoline prices is examined. •We use an extended NARDL model to test for asymmetric reactions and hysteresis. • Asymmetric pricing behaviour features only in the long run. • The sign of the asymmetry differs between exchange rate and crude price changes. • The results are robust to the inclusion of several variables usually related to asymmetry
Dynamic Relationship between Crude Oil Price, Exchange Rate and ...
African Journals Online (AJOL)
DrNneka
Second, since Hamilton (1983) documented the impact of crude oil price volatility .... Hariri,2013) sourced from the U.S. Energy Information Administration (EIA). .... is explained by identifying the relative importance of a variable in generating.
The capital-asset-pricing model and arbitrage pricing theory: a unification.
Ali Khan, M; Sun, Y
1997-04-15
We present a model of a financial market in which naive diversification, based simply on portfolio size and obtained as a consequence of the law of large numbers, is distinguished from efficient diversification, based on mean-variance analysis. This distinction yields a valuation formula involving only the essential risk embodied in an asset's return, where the overall risk can be decomposed into a systematic and an unsystematic part, as in the arbitrage pricing theory; and the systematic component further decomposed into an essential and an inessential part, as in the capital-asset-pricing model. The two theories are thus unified, and their individual asset-pricing formulas shown to be equivalent to the pervasive economic principle of no arbitrage. The factors in the model are endogenously chosen by a procedure analogous to the Karhunen-Loéve expansion of continuous time stochastic processes; it has an optimality property justifying the use of a relatively small number of them to describe the underlying correlational structures. Our idealized limit model is based on a continuum of assets indexed by a hyperfinite Loeb measure space, and it is asymptotically implementable in a setting with a large but finite number of assets. Because the difficulties in the formulation of the law of large numbers with a standard continuum of random variables are well known, the model uncovers some basic phenomena not amenable to classical methods, and whose approximate counterparts are not already, or even readily, apparent in the asymptotic setting.
Diller, Hermann
2013-01-01
Purpose – The purpose of this article is to integrate the various strands of fair price research into a concise conceptual model. Design/methodology/approach – The proposed price fairness model is based on a review of the fair pricing literature, incorporating research reported in not only English but also German. Findings – The proposed fair price model depicts seven components of a fair price: distributive fairness, consistent behaviour, personal respect and regard for the partner, fair dea...
Effects of illumination on store atmosphere, price and quality perception, and shopping intention
DEFF Research Database (Denmark)
Zielke, Stephan; Schielke, Thomas
This paper analyzes how store lighting influences store atmosphere, price and quality perception, and the intention to shop in a retail store. A first experiment shows how the number and brightness of light beams influence these dependent variables. Results demonstrate that especially extreme...... combinations of both variables result in higher pleasure and shopping intention, while for price and quality perception different effects cancel each other out. A second experiment shows that orange light results in greater pleasure and shopping intention compared to blue light, when colors are saturated...
Oil prices: The role of refinery utilization, futures markets and non-linearities
International Nuclear Information System (INIS)
Kaufmann, Robert K.; Mann, Michael; Dees, Stephane; Gasteuil, Audrey
2008-01-01
We test the hypothesis that real oil prices are determined in part by refinery capacity, non-linearities in supply conditions, and/or expectations and that observed changes in these variables can account for the rise in prices between 2004 and 2006. Results indicate that the refining sector plays an important role in the recent price increase, but not in the way described by many analysts. The relationship is negative such that higher refinery utilization rates reduce crude oil prices. This effect is associated with shifts in the production of heavy and light grades of crude oil and price spreads between them. Non-linear relationships between OPEC capacity and oil prices as well as conditions on the futures markets also account for changes in real oil prices. Together, these factors allow the model to generate a one-step ahead out-of-sample forecast that performs as well as forecasts implied by far-month contracts on the New York Mercantile Exchange and is able to account for much of the $27 rise in crude oil prices between 2004 and 2006. (author)
Delivered Pricing, FOB Pricing, and Collusion in Spatial Markets
Maria Paz Espinosa
1992-01-01
This article examines price discrimination and collusion in spatial markets. The problem is analyzed in the context of a repeated duopoly game. I conclude that the prevailing pricing systems depend on the structural elements of the market. Delivered pricing systems emerge in equilibrium in highly monopolistic and highly competitive industries, while FOB is used in intermediate market structures. The fact driving this result is that delivered pricing policies allow spatial price discrimination...
Determinants of food price inflation in Finland—The role of energy
International Nuclear Information System (INIS)
Irz, Xavier; Niemi, Jyrki; Liu, Xing
2013-01-01
The agricultural commodity crisis of 2006–2008 and the recent evolution of commodity markets have reignited anxieties in Finland over fast-rising food prices and food security. Little is known about the strength of the linkages between food markets and input markets, such as the energy market. Using monthly series of price indices from 1995 to 2010, we estimate a vector error-correction (VEC) model in a cointegration framework in order to investigate the short-term and long-term dynamics of food price formation. The results indicate that a statistically significant long-run equilibrium relationship exists between the prices of food and those of the main variable inputs consumed by the food chain, namely agricultural commodities, labour, and energy. When judged by the magnitude of long-run pass-through rates, farm prices represent the main determinant of food prices, followed by wages in food retail and the price of energy. The parsimonious VEC model suggests that the dynamics of food price formation are dominated by a relatively quick process of adjustment to the long-run equilibrium, the half life of the transitional dynamics being six to eight months following a shock. - Highlights: • We investigate the dynamics of food price formation in Finland. • We establish the existence of a long-run equilibrium relationship between the prices of food, energy, agricultural commodities, and wages. • Energy price plays a significant but limited role in determining the equilibrium level of food prices
DEFF Research Database (Denmark)
Huck, Steffen; Ruchala, Gabriele K.; Tyran, Jean-Robert
-competitive (monopolistic) markets. We then introduce a regulated intermediate price above the oligopoly price and below the monopoly price. The effect in monopolies is more or less in line with standard intuition. As price falls volume increases and so does quality, such that overall efficiency is raised by 50%. However......We experimentally examine the effects of flexible and fixed prices in markets for experience goods in which demand is driven by trust. With flexible prices, we observe low prices and high quality in competitive (oligopolistic) markets, and high prices coupled with low quality in non...
Oil prices and the rise and fall of the U.S. real exchange rate
International Nuclear Information System (INIS)
Amano, R.A.; Norden, S. van.
1993-12-01
It is examined whether a link exists between oil price shocks and the U.S. real effective exchange rate. Data used for the study are described and their time series properties and the long-run explanatory power of oil prices for the real exchange rate are examined. Apparent causal relationships between exchange rates and oil prices are examined. An unrestricted error correction model is reduced until an error correction model with reasonable properties is derived. Results show that the two variables appear to be cointegrated and that causality runs from oil prices to the exchange rate and not vice-versa. The single equation error correction model linking these two variables is stable and captures much of the in- and out-of-sample movement in the exchange rate in dynamic simulation. Tests are presented to show that the error correction model has significant post-sample predictive ability for both the size and sign of changes in the real effective exchange rate. The results suggest that oil prices may have been the dominant source of persistant real exchange rate shocks over the post-Bretton Woods period and that energy prices may have important implications for future work on exchange rate behaviour. 61 refs., 3 figs., 7 tabs
Energy prices and agricultural commodity prices: Testing correlation using copulas method
International Nuclear Information System (INIS)
Koirala, Krishna H.; Mishra, Ashok K.; D'Antoni, Jeremy M.; Mehlhorn, Joey E.
2015-01-01
The linear relationships between energy prices and prices for agricultural commodities such as corn and soybeans may have been affected, over the last several years, by policy legislations in the farm sector, the Energy Independence and Security Act of 2007, and the Renewable Fuel Standard Program for 2014. Using high-frequency data and newer methodology, this study investigates dependence between agricultural commodity futures prices and energy futures prices. Results reveal that agricultural commodity and energy future prices are highly correlated and exhibit positive and significant relationship. Findings from this study highlight that an increase in energy price increases the price of agricultural commodities. - Highlights: • Energy policy mandates production of 15 billion gallons of corn ethanol by 2015. • Energy-intensive agriculture has a link between energy sector and crop production costs. • We investigate correlation between energy prices and agricultural commodity prices. • Agricultural commodity and energy future prices are highly correlated. • Increase in energy price increases the price of agricultural commodity
Impact of European pharmaceutical price regulation on generic price competition: a review.
Puig-Junoy, Jaume
2010-01-01
Although economic theory indicates that it should not be necessary to intervene in the generic drug market through price regulation, most EU countries intervene in this market, both by regulating the maximum sale price of generics (price cap) and by setting the maximum reimbursement rate, especially by means of reference pricing systems. We analyse current knowledge of the impact of direct price-cap regulation of generic drugs and the implementation of systems regulating the reimbursement rate, particularly through reference pricing and similar tools, on dynamic price competition between generic competitors in Europe. A literature search was carried out in the EconLit and PubMed databases, and on Google Scholar. The search included papers published in English or Spanish between January 2000 and July 2009. Inclusion criteria included that studies had to present empirical results of a quantitative nature for EU countries of the impact of price capping and/or regulation of the reimbursement rate (reference pricing or similar systems) on price dynamics, corresponding to pharmacy sales, in the generic drug market. The available evidence indicates that price-cap regulation leads to a levelling off of generic prices at a higher level than would occur in the absence of this regulation. Reference pricing systems cause an obvious and almost compulsory reduction in the consumer price of all pharmaceuticals subject to this system, to a varying degree in different countries and periods, the reduction being greater for originator-branded drugs than for generics. In several countries with a reference pricing system, it was observed that generics with a consumer price lower than the reference price do not undergo price reductions until the reference price is reduced, even when there are other lower-priced generics on the market (absence of price competition below the reference price). Beyond the price reduction forced by the price-cap and/or reference pricing regulation itself
Relative Price Levels and Current Accounts: An Exploration
Directory of Open Access Journals (Sweden)
Joshua Aizenman
2008-12-01
Full Text Available This paper studies the links between current accounts and relative price levels, finding that current account changes are associated with sizable future relative price levels effects. This is done in panel regressions of the Penn effect, adding a lagged current account/GDP and other explanatory variables. Higher GDP/ capita and a greater export share of manufacturing tend to mitigate the real exchange rate impact of lagged current accounts. Active management of current accounts may provide a powerful adjustment channel, mitigating the real exchange rate effects of volatile terms of trade, and may explain the growing proliferation of Sovereign Wealth Funds.
Optimal Conditional Reachability for Multi-Priced Timed Automata
DEFF Research Database (Denmark)
Larsen, Kim Guldstrand; Rasmussen, Jacob Illum
2005-01-01
In this paper, we prove decidability of the optimal conditional reachability problem for multi-priced timed automata, an extension of timed automata with multiple cost variables evolving according to given rates for each location. More precisely, we consider the problem of determining the minimal...
Understanding Price Controls and Non-Price Competition with Matching Theory
Hatfield, John William; Plott, Charles R.; Tanaka, Tomomi
2012-01-01
We develop a quality competition model to understand how price controls affect market outcomes in buyer-seller markets with discrete goods of varying quality. While competitive equilibria do not necessarily exist in such markets when price controls are imposed, we show that stable outcomes do exist and characterize the set of stable outcomes in the presence of price restrictions. In particular, we show that price controls induce non-price competition: price floors induce the trade of ineffici...
Separated influence of crude oil prices on regional natural gas import prices
International Nuclear Information System (INIS)
Ji, Qiang; Geng, Jiang-Bo; Fan, Ying
2014-01-01
This paper analyses the impact of global economic activity and international crude oil prices on natural gas import prices in three major natural gas markets using the panel cointegration model. It also investigates the shock impacts of the volatility and the increase and decrease of oil prices on regional natural gas import prices. The results show that both global economic activity and international crude oil prices have significant long-term positive effects on regional natural gas import prices. The volatility of international crude oil prices has a negative impact on regional natural gas import prices. The shock impact is weak in North America, lags in Europe and is most significant in Asia, which is mainly determined by different regional policies for price formation. In addition, the response of natural gas import prices to increases and decreases in international crude oil prices shows an asymmetrical mechanism, of which the decrease impact is relatively stronger. - Highlights: • Impacts of world economy and oil prices on regional natural gas prices are analysed • North American natural gas prices are mainly affected by world economy • Asian and European natural gas prices are mainly affected by oil prices • The volatility of oil prices has a negative impact on regional natural gas prices • The response of natural gas import prices to oil prices up and down shows asymmetry
Microeconomics of the Productivity, Price Indicators and Farm Incomes. Analytical Approach
Directory of Open Access Journals (Sweden)
Włodzimierz Rembisz
2011-07-01
Full Text Available The paper develops a farm producer behavior type model to analyze the impact of a input productivity and price change on farm incomes. The theoretical analysis shows the consequences of the balance between the increase of production factor prices and their productivity improvement in the condition of stable procurement price for the farm producers income. The cost effect of the production factors price increment and its neutralization by productivity (TFP-type growth is examined as well as some aspects of the inputs shares (returns and costs in the produce value. The article argues that labor input productivity as an endogenous factor, is an essential for farm incomes growth assuming the specified type of the farm producer utility function (its equations and variables as well as no the compensative procurement price change conditions. Some empirical evidence is attached however more work in that respect is foreseen.
Price performance following stock's IPO in different price limit systems
Wu, Ting; Wang, Yue; Li, Ming-Xia
2018-01-01
An IPO burst occurred in China's stock markets in 2015, while price limit trading rules usually help to reduce the short-term trading mania on individual stocks. It is interesting to make clear the function of the price limits after IPOs. We firstly make a statistical analysis based on all the IPO stocks listed from 1990 to 2015. A high dependency exists between the activities in stock's IPO and various market environment. We also focus on the price dynamics in the first 40 trading days after the stock listed. We find that price limit system will delay the price movement, especially for the up-trend movements, which may lead to longer continuous price limit hits. Similar to our previous work, many results such as ;W; shape can be also observed in the future daily return after the price limit open. At last, we find most IPO measures show evident correlations with the following price limit hits. IPO stocks with lower first-day turnover and earning per share will be followed with a longer continuous price limit hits and lower future daily return under the newest trading rules, which give us a good way to estimate the occurrence of price limit hits and the following price dynamics. Our analysis provides a better understanding of the price dynamics after IPO events and offers potential practical values for investors.
Agricultural Commodity Price Shocks and their Effect on Growth in Sub-Saharan Africa
Addison, Tony; Ghoshray, Atanu
2014-01-01
Commodity price shocks are an important type of external shock and are often cited as a problem for economic growth in sub-Saharan Africa. This paper quantifies the impact of agricultural commodity price shocks using a near vector autoregressive model. The novel aspect of this model is that we define an auxiliary variable that can potentially capture the definition of a price shock that allows us to determine whether the response of per capita Gross domestic product (GDP) growth in sub-Sahara...
Shang, Ce; Chaloupka, Frank J; Zahra, Nahleen; Fong, Geoffrey T
2014-03-01
The distribution of cigarette prices has rarely been studied and compared under different tax structures. Descriptive evidence on price distributions by countries can shed light on opportunities for tax avoidance and brand switching under different tobacco tax structures, which could impact the effectiveness of increased taxation in reducing smoking. This paper aims to describe the distribution of cigarette prices by countries and to compare these distributions based on the tobacco tax structure in these countries. We employed data for 16 countries taken from the International Tobacco Control Policy Evaluation Project to construct survey-derived cigarette prices for each country. Self-reported prices were weighted by cigarette consumption and described using a comprehensive set of statistics. We then compared these statistics for cigarette prices under different tax structures. In particular, countries of similar income levels and countries that impose similar total excise taxes using different tax structures were paired and compared in mean and variance using a two-sample comparison test. Our investigation illustrates that, compared with specific uniform taxation, other tax structures, such as ad valorem uniform taxation, mixed (a tax system using ad valorem and specific taxes) uniform taxation, and tiered tax structures of specific, ad valorem and mixed taxation tend to have price distributions with greater variability. Countries that rely heavily on ad valorem and tiered taxes also tend to have greater price variability around the median. Among mixed taxation systems, countries that rely more heavily on the ad valorem component tend to have greater price variability than countries that rely more heavily on the specific component. In countries with tiered tax systems, cigarette prices are skewed more towards lower prices than are prices under uniform tax systems. The analyses presented here demonstrate that more opportunities exist for tax avoidance and brand
Shang, Ce; Chaloupka, Frank J; Zahra, Nahleen; Fong, Geoffrey T
2013-01-01
Background The distribution of cigarette prices has rarely been studied and compared under different tax structures. Descriptive evidence on price distributions by countries can shed light on opportunities for tax avoidance and brand switching under different tobacco tax structures, which could impact the effectiveness of increased taxation in reducing smoking. Objective This paper aims to describe the distribution of cigarette prices by countries and to compare these distributions based on the tobacco tax structure in these countries. Methods We employed data for 16 countries taken from the International Tobacco Control Policy Evaluation Project to construct survey-derived cigarette prices for each country. Self-reported prices were weighted by cigarette consumption and described using a comprehensive set of statistics. We then compared these statistics for cigarette prices under different tax structures. In particular, countries of similar income levels and countries that impose similar total excise taxes using different tax structures were paired and compared in mean and variance using a two-sample comparison test. Findings Our investigation illustrates that, compared with specific uniform taxation, other tax structures, such as ad valorem uniform taxation, mixed (a tax system using ad valorem and specific taxes) uniform taxation, and tiered tax structures of specific, ad valorem and mixed taxation tend to have price distributions with greater variability. Countries that rely heavily on ad valorem and tiered taxes also tend to have greater price variability around the median. Among mixed taxation systems, countries that rely more heavily on the ad valorem component tend to have greater price variability than countries that rely more heavily on the specific component. In countries with tiered tax systems, cigarette prices are skewed more towards lower prices than are prices under uniform tax systems. The analyses presented here demonstrate that more opportunities
Monetary Policy and Financial Asset Prices: Empirical Evidence from Pakistan
Directory of Open Access Journals (Sweden)
Imran Umer Chhapra
2018-03-01
Full Text Available Monetary transmission mechanism assumed to be significantly influenced by the effect of policy decisions on financial markets. However, various previous studies have come up with different outcomes. The purpose of this study is to examine the impact of monetary policy on different asset classes (shares and bonds in Pakistan. This study using stock price and bond yield as dependent variable and discount rate, money supply, inflation, and exchange rate are independent variables. Data of all variables have collected from 2010 to 2016, and Vector Autoregressive (VAR technique has applied. The empirical results indicate that there is an impact of monetary policy components on both stock and bond market as an increase in policy rate causes decline in stocks prices and bonds yields. The findings of this study will help the potential investors in making long-term (in general and short-term (in particular investment strategies concerning monetary policy.DOI: 10.15408/sjie.v7i2.7099
Directory of Open Access Journals (Sweden)
Charles Odilichukwu R. Okpala
2016-10-01
Full Text Available Background: To date, there seems to be limited-to-zero emphasis about how consumers perceive crustacean products subject to either chemical and or non-chemical preservative treatments. In addition, studies that investigated price comparisons of crustacean products subject to either chemical or chemical-free preservative methods seem unreported. Objective: This study focused on providing some foundational knowledge about how consumers perceive traditionally harvested crustaceans that are either chemical-treated and or free of chemicals, incorporating price comparisons using a descriptive approach. Design: The study design employed a questionnaire approach via interview using a computer-assisted telephone system and sampled 1,540 participants across five key locations in Italy. To actualize consumer sensitivity, ‘price’ was the focus given its crucial role as a consumption barrier. Prior to this, variables such as demographic characteristics of participants, frequency of purchasing, quality attributes/factors that limit the consumption of crustaceans were equally considered. Results: By price comparisons, consumers are likely to favor chemical-free (modified atmosphere packaging crustacean products amid a price increase of up to 15%. But, a further price increase such as by 25% could markedly damage consumers’ feelings, which might lead to a considerable number opting out in favor of either chemical-treated or other seafood products. Comparing locations, the studied variables showed no statistical differences (p>0.05. On the contrary, the response weightings fluctuated across the studied categories. Both response weightings and coefficient of variation helped reveal more about how responses deviated per variable categories. Conclusions: This study has revealed some foundational knowledge about how consumers perceive traditionally harvested crustaceans that were either chemical-treated or subject to chemical-free preservative up to price
Estimating the commodity market price of risk for energy prices
International Nuclear Information System (INIS)
Kolos, Sergey P.; Ronn, Ehud I.
2008-01-01
The purpose of this paper is to estimate the ''market price of risk'' (MPR) for energy commodities, the ratio of expected return to standard deviation. The MPR sign determines whether energy forward prices are upward- or downward-biased predictors of expected spot prices. We estimate MPRs using spot and futures prices, while accounting for the Samuelson effect. We find long-term MPRs generally positive and short-term negative, consistent with positive energy betas and hedging, respectively. In spot electricity markets, MPRs in Day-Ahead Prices agree with short-dated futures. Our results relate risk premia to informed hedging decisions, and futures prices to forecast/expected prices. (author)
Oil price and food price volatility dynamics: The case of Nigeria
Directory of Open Access Journals (Sweden)
Ijeoma C. Nwoko
2016-12-01
Full Text Available This study examines the long and short run relationships between oil price and food price volatility as well as the causal link between them. The study used annual food price volatility index from FAO from 2000 to 2013 and crude oil price from U.S. Energy Information and Administration (EIA from 2000 to 2013. The Johansen and Jesulius co-integration test revealed that there is a long run relationship between oil price and domestic food price volatility. The vector error correction model indicated a positive and significant short run relationship between oil price and food price volatility. The Granger causality test revealed a unidirectional causality with causality running from oil price to food price volatility but not vice versa. It is recommended that policies and interventions that will help reduce uncertainty about food prices such as improved market information, trade policies and investment in research and development among others should be encouraged. Also to reduce the effect of oil price shock, it is recommended that government should subsidise pump price of refined oil, seek alternative sources of energy and there should be less dependence on oil for fertilizer production.
Addressing Pricing Power in Integrated Delivery: The Limits of Antitrust.
Berenson, Robert
2015-08-01
Prices are the major driver of why the United States spends so much more on health care than other countries do. The pricing power that hospitals have garnered recently has resulted from consolidated delivery systems and concentrated markets, leading to enhanced negotiating leverage. But consolidation may be the wrong frame for viewing the problem of high and highly variable prices; many "must-have" hospitals achieve their pricing power from sources other than consolidation, for example, reputation. Further, the frame of consolidation leads to unrealistic expectations for what antitrust's role in addressing pricing power should be, especially because in the wake of two periods of merger "manias" and "frenzies" many markets already lack effective competition. It is particularly challenging for antitrust to address extant monopolies lawfully attained. New payment and delivery models being pioneered in Medicare, especially those built around accountable care organizations (ACOs), offer an opportunity to reduce pricing power, but only if they are implemented with a clear eye on the impact on prices in commercial insurance markets. This article proposes approaches that public and private payers should consider to complement the role of antitrust to assure that ACOs will actually help control costs in commercial markets as well as in Medicare and Medicaid. Copyright © 2015 by Duke University Press.
Why do stumpage prices increase more than lumber prices?
William G. Luppold; John E. Baumgras; John E. Baumgras
1998-01-01
Every sawmiller who has been in business more than 5 years realizes that hardwood stumpage prices tend to increase faster than lumber prices, decreasing the margin between these two prices. Although increases in stumpage versus lumber prices are readily apparent, the reason for the decrease in the margin is not. Recent research findings indicate that the stumpage/...