We perform a panel data analysis of 14 daily stock market indices during 01/21/2020 - 06/30/2020 to document a stock market index's negative responsiveness to Covid-19's spread variations. We find ...that a stock market index's elasticity estimate is −0.028 (p-value <0.01) for local cumulative confirmed cases. As a stock market index tends to move with Covid-19's local and non-local spreads, international efforts of containment are expected to pare stock market losses.
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BFBNIB, IZUM, KILJ, NUK, PILJ, SAZU, UL, UM, UPUK
Using a panel data analysis of a newly developed sample of monthly data by state for January 2005 to December 2019, we estimate a series of error correction models for US residential electricity ...demand postulated to move with electricity price, natural gas price, income, and weather. Our key findings are as follows. First, the short-run own-price elasticity estimate is not statistically different from zero (p-value > 0.8). Second, the long-run own- and cross-price elasticity estimates are −0.054 (p-value = 0.000) and 0.019 (p-value = 0.000) under the double-log specification, smaller in size than the long-run own- and cross-price elasticity estimates of −0.120 (p-value = 0.000) and 0.069 (p-value = 0.000) under the linear demand specification. Third, price elasticity estimates have been shrinking in size over time. Fourth, erroneously ignoring the panel data's cross-sectional dependence tends to more than double the long-run price elasticity estimates. Fifth, mismatching the timing of price information's availability and consumption decision leads to anomalous price elasticity estimates. Finally, our new empirics' key takeaway of low price-responsiveness supports continuation of energy efficiency standards and demand-side management programs.
•Estimate residential electricity demand's price responsiveness in the US.•Adopt dynamic panel data modelling with cross-section dependence.•Document low price responsiveness that shrinks over time.•Offer empirical support for non-price-based demand side management.
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GEOZS, IJS, IMTLJ, KILJ, KISLJ, NLZOH, NUK, OILJ, PNG, SAZU, SBCE, SBJE, UILJ, UL, UM, UPCLJ, UPUK, ZAGLJ, ZRSKP
China’s ambitious decarbonization strategy disaggregates the national energy conservation target by province. Using panel data of 30 provinces for 1995–2017, we revisit China’s energy-growth nexus ...that considers the likely cross-section dependence among the provinces within each of China’s three regions. Our key finding is a bidirectional causal relationship of energy (natural log of per capita energy consumption) and income (natural log of per capita real GDP) for the Eastern and Central regions and a unidirectional causal relationship from income to energy for the Western region. The Eastern and Central regions’ bidirectional relationship suggests caution in China’s energy conservation policy which may decelerate these regions’ economic growth. The Western region’s unidirectional relationship suggests promoting energy conservation without adversely affecting this region’s economic growth. Hence, the East and Central regions’ conservation effort should be accompanied by cost-effective development of emissions-free renewable resources like hydro, solar and wind for displacing China’s fossil-fuel consumption.
•Explore China’s energy-growth nexus under provincial cross-section dependence.•Find causality from income to energy consumption for the Western region.•Find bidirectional causality for the Eastern and Central regions.•Suggest promoting energy conservation in the Western region.•Recommend renewable energy development in all three regions.
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GEOZS, IJS, IMTLJ, KILJ, KISLJ, NLZOH, NUK, OILJ, PNG, SAZU, SBCE, SBJE, UILJ, UL, UM, UPCLJ, UPUK, ZAGLJ, ZRSKP
This paper is a first look of Covid-19's effect on the alpha and beta of a US stock exchange traded fund. It uses the efficient market hypothesis and the J-test of non-nested hypotheses to identify a ...reasonable choice of Covid-19 data for estimating CAPM regressions. Obtained through the generalized method of moments in a panel data analysis, a reasonable choice is Covid-19 spread's unanticipated severity. Rising unanticipated severity significantly reduces the alphas and betas of mid-cap and small-cap ETFs but not large-cap and sector & speciality ETFs. Hence, retail investors should not market time or panic liquidate, especially when successful vaccination development is likely in the near future.
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BFBNIB, IZUM, KILJ, NUK, PILJ, SAZU, UL, UM, UPUK
We use monthly data for the lower 48 states in the US and 30-year period of 1991–2020 to estimate commercial electricity demand’s price responsiveness. Our key findings are: (1) the US commercial ...electricity demand’s statistically significant (p-value ≤ 0.05) own-price elasticity estimates are between − 0.03 and − 0.08; and (2) the size of these estimates has been slowly declining over time. Hence, price-induced conservation is unlikely effective, at least in the immediate future, to materially reduce the US commercial electricity consumption, thus justifying continuation of energy efficiency standards and demand side management programs.
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GEOZS, IJS, IMTLJ, KILJ, KISLJ, NLZOH, NUK, OILJ, PNG, SAZU, SBCE, SBJE, UILJ, UL, UM, UPCLJ, UPUK, ZAGLJ, ZRSKP
Motivated by the relatively infrequent but very large price spikes in the day-ahead and real-time energy markets operated by the Electric Reliability Council of Texas, this paper proposes an ...insurance that a small and risk-averse retailer in Texas (i.e., a retail electric provider (REP)) may buy to prevent financial insolvency caused by inadequate risk management. It also demonstrates the insurance’s practical design, pricing, and implementation. As participation in the REP’s procurement auction is voluntary, the insurance is mutually beneficial for the REP and the insurance seller. Hence, the proposed insurance is a newly developed wholesale market product that deserves consideration by REPs in Texas and competitive retailers elsewhere.
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IZUM, KILJ, NUK, PILJ, PNG, SAZU, UL, UM, UPUK
Using data from Texas’s wholesale electricity market, we investigate the relationship between nodal prices and investment location decisions of utility-scale generation. We find some evidence that ...new investment arises in areas with recently elevated nodal prices. However, we find no evidence that new generation resources receive a nodal price premium post-entry as projected by the expectation of higher nodal prices. Further, a logit regression analysis suggests that the probability of natural-gas-fired generation investments tends to increase with expected nodal prices in peak hours. However, the estimated relationship is statistically and economically weak and sensitive to model specification. These findings suggest other factors are more important drivers than nodal prices of location decisions for utility-scale generation investments in Texas.
We use a large sample of winning price data hand-collected from Hong Kong's personalized licence plate auctions held from 2006 to 2018 to estimate hedonic price regressions that document the ...willingness to pay (WTP) for a message. A clear and concise message of emotion or humour tends to attract a high WTP. The estimated WTP effects of vanity, positive outlook and superstition are relatively small. These findings affirm that advertising messages should be clear and concise, preferably appealing to consumers' emotion and humour.
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BFBNIB, IZUM, KILJ, NUK, PILJ, SAZU, UL, UM, UPUK
Extant literature documents that wind generation can reduce wholesale electricity market prices by displacing conventional generation. But how large is the wholesale price effect of wind generation ...in an electricity market dominated by hydroelectric generation? We explore this question by analyzing the impact of wind generation on wholesale electricity prices in the Pacific Northwest region of the United States. This hydro-rich system tends to be energy-limited, rather than capacity-constrained, with its marginal generation during the hydro runoff season often a hydro unit, instead of a natural-gas-fired unit. We find that increased wind generation reduces wholesale market prices by a small, but statistically-significant, amount. While a hydro-rich system can integrate wind generation at a lower cost than a thermal-dominated region, the direct economic benefits to end-users from greater investment in wind power may be negligible.
We use a large California database of over 32,000 hourly observations in the 45-month period of April 2010 through December 2013 to document the ex post variable profit effects of multiple ...fundamental drivers on natural-gas-fired electricity generation. These drivers are the natural-gas price, system loads, nuclear capacities available, hydro conditions, and renewable generation. We find that profits are reduced by increases in generation from nuclear plants and wind farms, and are increased by increases in the natural-gas price and loads. Solar generation has a statistically insignificant effect, although this will likely change as solar energy increases its generation share in California's electricity market. Our findings support California's adopted resource adequacy program under which the state's load-serving entities may sign long-term bilateral contracts with generation developers to provide sufficient revenues to enable construction of new naturalgas-fired generation plants.
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BFBNIB, CEKLJ, DOBA, IZUM, KILJ, NUK, PILJ, PNG, SAZU, SIK, UILJ, UKNU, UL, UM, UPUK
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