Category Rapports

Fév
2015

Strategic Capacity Investment under Hold-up Threats: The Role of Contract Length and Width

RR-FiME-15-05 Laure Durand-Viel and Bertrand Villeneuve We analyze the impact of the length of incomplete contracts on investment and surplus sharing. In the bilateral relationship explored, the seller controls the input and the buyer invests. With two-part tariffs, the length of the contract is irrelevant: the surplus is maximal and goes to the seller. In linear contracts, the seller prefers the shortest contract and the buyer the longest one. Further, the commitment period concentrates the incentives, Read more [...]

Jan
2015

Does France Have a Fuel Poverty Trap?

RR-FiME-15-01 Corinne CHATON In this article, we focus on fuel poverty. More specifically, we analyse this phenomenon‟s dynamic by answering the following question: does France have a fuel poverty trap? First, we define three states/situations into which individuals may be placed: the non-fuel poverty state, the fuel poverty state and the severe fuel poverty state. Second, we use a mover-stayer model that divides the population into two types of individuals: those who remain in the same state Read more [...]

Jan
2015

Optimal Pits and Optimal TransportationConservative

RR-FiME-15-03 Ivar Ekeland and Maurice Queyranne In open pit mining, one must dig a pit, that is, excavate the upper layers of ground before reaching the ore. The walls of the pit must satisfy some mechanical constraints, in order not to collapse. The question then arises how to mine the ore optimally, that is, how to …nd the optimal pit. We set up the problem in a continuous (as opposed to discrete) framework, and we show, under weak assumptions, the existence of an optimum pit. For this, we Read more [...]

Jan
2015

Prévention des catastrophes naturelles : viser le long terme sans attendre

RR-FiME-15-06 Céline Grislain-Letrémy and Bertrand Villeneuve Urbanization in areas prone to natural hazards is massive and will grow. Economic analysis offers several tools to contain this phenomenon: insurance pricing in relation to risk, and zoning and building standards in exposed areas. Both approaches are theoretically equivalent, but their applications pose different challenges, and financial incentives were exaggerately reduced in France. In both cases, a more rigorous policy will meet Read more [...]

Déc
2014

A Note on the Spot-Forward No-Arbitrage Relations in an Investment-Production Model for Commodities

RR-FiME-14-06 René Aïd, Luciano Campi, Delphine Lautier Because of storability constraints, standard no-arbitrage arguments cannot be safely applied in markets of commodities such as energy. In this paper, we propose an alternative approach to justify the convergence of forward towards spot prices as time-to-maturity goes to zero. We show that the classical no-arbitrage relationship between spot and forward prices holds through the well-posedness of an expected profit maximization problem for Read more [...]

Août
2014

Information Flows across the Futures Term Structure:Evidence from Crude Oil Prices

RR-FiME-14-05 Delphine Lautier, Franck Raynaud and Michel A. Robe We apply the concepts of conditional entropy, information transfers and directed graphs to investigate empirically the propagation of price fluctuations across a futures term structure. We focus on price relationships for North American crude oil futures because this key market experienced several structural changes between 2000 and 2014: financialization (starting in 2003), infrastructure limitations (in 2008-2011) and regulatory Read more [...]

Juil
2014

Integration of Commodity Derivative Markets:Has It Gone Too Far?

RR-FiME-14-04 Delphine LAUTIER, Julien LING and Franck RAYNAUD We examine the impact of two financial crises on commodity derivative markets: the subprime crisis and the bankruptcy of Lehman Brothers. These crises are "external" to the commodity markets because they occurred in the financial sphere. Still, because commodity markets are now highly integrated with each other and with other financial markets, such events could have had an impact. In order to fully comprehend this possible impact, Read more [...]

Juin
2014

Fuel Poverty as a Major Determinant of Perceived Health: The Case of France

RR-FiME-14-03 Corinne CHATON, Elie LACROIX The numbers of households in fuel poverty is increasing. Indeed, more and more people are struggling to heat their homes and therefore more and more people are exposed to low temperatures which can affect their health. In this paper, we use the French database of the Healthcare and Insurance survey to study the link between a subjective measure of fuel poverty (coldness) and self-reported health. We also analyze the impact of other individual and environmental Read more [...]

Mai
2014

Explicit Investment Rules with Time-to-build and Uncertainty

RR-FiME-14-02 René Aid, Salvatore Federico, Huyên Pham, Bertrand Villeneuve We establish explicit socially optimal rules for an irreversible investment decision with time-to-build and uncertainty. Assuming a price sensitive demand function with a random intercept, we provide comparative statics and economic interpretations for three models of demand (arithmetic Brownian, geometric Brownian, and the Cox-Ingersoll-Ross). Committed capacity, that is, the installed capacity plus the investment in Read more [...]

Avr
2014

Hedging Expected Losses on Derivatives in Electricity Futures Markets

RR-FiME-14-01 Adrien Nguyen Huu, Nadia Oudjane  

Page 4 of 9