A Model for the Valuation of Carbon Price Risk
Henry Dannenberg, Wilfried Ehrenfeld
Antes, R.; Hansjürgen, B.; Letmathe, P.; Pickl, S. (Hrsg.), Emissions Trading - Institutional Design, Decision Making and Corporate Strategies (Second Edition),
2011
Abstract
Modeling the price risk of CO2 emission allowances is an important aspect of integral corporate risk management related to emissions trading. In this paper, a pricing model is developed which may be the basis for evaluating the risk of emission certificate prices. We assume that the certificate price is determined by the expected marginal CO2 abatement costs in the current trade period as well as by the long-term marginal abatement costs. The price risk is modeled on the basis of a mean reversion process. Due to uncertainties about the future state of the environment, we suppose that within one trade period erratic changes in the expected marginal abatement costs may occur leading to shifts in the price level. In addition to the parameter estimation, it is also an objective of this work to modify the mean reversion process so that such abrupt changes in the expected reversion level can be displayed. Because of the possibility of transferring spare allowances to a subsequent period we take into account the fact that the expected long run marginal abatement costs act as a lower limit for the price in the trading period.
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Old Age Poverty and Satisfaction with Living Conditions in East and West Germany, 1995 and 2009
L. J. Zhu, Anja Weißenborn, Herbert S. Buscher
Wirtschaft im Wandel,
No. 7,
2011
Abstract
The current contribution presents poverty indicators for West and East Germany for the years 1995 and 2009. The analysis is based on the two corresponding waves of the GSOEP. We only consider households with at least one senior citizen aged 65 or above. Furthermore, we distinguish between male and female pensioners. In the first part the weighted equivalized household income is calculated as well as various statistical measures such as the 20%- and 80%-percentile, the 80/20-ratio and the 90/10-ratio of the income distribution of senior citizen households. In an additional step we also present and discuss the main sources of income such households have. In the second part of the contribution we focus on social indicators with respect to the satisfaction with income and the current living conditions as well as the expected situation in five years. As the results show, old age poverty has increased in both parts in Germany with East German women being an exception. With respect to the future, most elder people look optimistically into the future.
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Stochastic Income Statement Planning as a Basis for Risk Assessment in the Context of Emissions Trading
Henry Dannenberg, Wilfried Ehrenfeld
Greenhouse Gas Measurement and Management,
No. 1,
2011
Abstract
The introduction of the European emissions trading system means that those enterprises taking part have a new planning risk factor to consider – emissions allowance prices. In this article, we analyse how risk emerging from emissions trading can be considered in the stochastic income statement planning of corporations. Therefore, we explore which planned figures are affected by emissions trading. Moreover, we show an approach that models these positions in a planned profit and loss account, taking into account uncertainties and dependencies. Consequently, this model provides a basis for risk assessment and investment decisions in the uncertain environment of emissions trading.
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Analyzing Innovation Drivers in the German Laser Industry: the Role of Positioning in the Social and Geographical Space
Muhamed Kudic, Peter Bönisch, Iciar Dominguez Lacasa
Abstract
Empirical and theoretical contributions provide strong evidence that firm-level performance outcomes in terms of innovativeness can either be determined by the firm’s position in the social space (network effects) or by the firm’s position in the geographical space (co-location effects). Even though we can observe quite recently first attempts in bringing together these traditionally distinct research streams (Whittington et al. 2009), research on interdependent network and geographical co-location effects is still rare. Consequently, we seek to answer the following research question: considering that the effects of social and geographic proximity on firm’s innovativeness can be interdependent, what are the distinct and combined effects of firm’s network and geographic position on firm-level innovation output? We analyze the innovative performance of German laser source manufacturers between 1995 and 2007. We use an official database on publicly funded R&D collaboration projects in order to construct yearly networks and analyze firm’s network positions. Based on information on population entries and exits we calculate various types of geographical proximity measures between private sector and public research organizations (PRO). We use patent grants as dependent variable in order to measure firm-level innovation output. Empirical results provide evidence for distinct effect of network degree centrality. Distinct effect of firm’s geographical co-location to laser-related public research organization promotes patenting activity. Results on combined network and co-location effects confirms partially the existence of in-terdependent proximity effects, even though a closer look at these effects reveals some ambiguous but quite interesting findings.
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Stochastic Income Statement Planning and Emissions Trading
Henry Dannenberg, Wilfried Ehrenfeld
Abstract
Since the introduction of the European CO2 emissions trading system (EU ETS), the
development of CO2 allowance prices is a new risk factor for enterprises taking part in this system. In this paper, we analyze how risk emerging from emissions trading can be considered in the stochastic profit and loss planning of corporations. Therefore we explore which planned figures are affected by emissions trading. Moreover, we show a way to model these positions in a planned profit and loss account accounting for uncertainties and dependencies. Consequently, this model provides a basis for risk assessment and investment decisions in the uncertain environment of CO2 emissions trading.
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Technology Clubs, R&D and Growth Patterns: Evidence from EU Manufacturing
Claire Economidou, J. W. B. Bos, Michael Koetter
European Economic Review,
No. 1,
2010
Abstract
This paper investigates the forces driving output change in a panel of EU manufacturing industries. A flexible modeling strategy is adopted that accounts for: (i) inefficient use of resources and (ii) differences in the production technology across industries. With our model we are able to identify technical, efficiency, and input growth for endogenously determined technology clubs. Technology club membership is modeled as a function of R&D intensity. This framework allows us to explore the components of output growth in each club, technology spillovers and catch-up issues across industries and countries.
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Shadow Budgets, Fiscal Illusion and Municipal Spending: The Case of Germany
Peter Haug
IWH Discussion Papers,
No. 9,
2009
Abstract
The paper investigates the existence of fiscal illusion in German municipalities with special focus on the revenues from local public enterprises. These shadow budgets tend to increase the misperception of municipal tax prices and seem to have been neglected in the literature. Therefore, an aggregated expenditure function has been estimated for all German independent cities applying an “integrated budget” approach, which means
that revenues and expenditures of the core budget and the local public enterprises are combined to one single municipal budget. The estimation results suggest that a higher relative share of local public enterprise revenues might increase total per capita spending as well as spending for non-obligatory municipal goods and services. Empirical evidence for other sources of fiscal illusion is mixed but some indications for debt illusion, renter illusion or the flypaper effect could be found.
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Forecasting the CO2 certificate price risk
Henry Dannenberg, Wilfried Ehrenfeld
IWH Discussion Papers,
No. 5,
2008
Abstract
Modeling the price risk of CO2 certificates is one important aspect of integral corporate risk management related to emissions trading. The paper presents a risk model which may be the basis for evaluating the risk of emission certificate prices. We assume that the certificate price is determined by the expected marginal CO2 abatement costs prevailing at the current trade period and stochastically fluctuates around the respective level as returned from the mean reversion process. Due to uncertainties about future environmental states we suppose that within one trade period, erratic changes in the expected marginal abatement costs may occur leading to shifts in the price level. The aim of the work is to model the erratic changes of the expected reversion level and to estimate the parameters of the mean reversion process.
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Local Government Control and Efficiency of the Water Industry: An Empirical Analysis of Water Suppliers in East Germany
Peter Haug
IWH Discussion Papers,
No. 3,
2007
Abstract
The paper deals with the effects of local governments’ interference with business affairs of publicly owned utilities. A partial model is presented to illustrate the consequences of “democratic control” for the public managers’ effort and the efficiency of local public production. To check the theoretical results empirically, a two-stage data envelopment analysis (DEA) is carried out for a sample of East German water suppliers. The organisational form is used as a measure for the degree of municipal control. The results of the OLS- and Tobit regression indicate an efficiency-enhancing effect of organisational forms with less distinctive control options for local politicians.
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Spillover effects and R&D co-operations - The influence of market structure
Anita Wölfl
IWH Discussion Papers,
No. 122,
2000
Abstract
This paper examines empirically the role of market structure for the influence of spill-over effects on R&D-cooperations. The results of a microeconometric analysis, based on firm data on innovation, let in general presume that with intensified competition also the influence of spillovers on R&D-cooperation increases. However, competition seems to induce firms to search for effective firm-specific appropriation facilities first. Spillovers that are sufficiently high such that the internalisation effect from R&D-cooperation more than outweighs the competitive effect from research, only arise whenever firms are not able to protect their research results through any appropriation facility. Additionally, there is some evidence that spillover effects may even hinder firms from cooperating in R&D when there is intensive competition on the research stage.
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