if this message does not display correctly, click here | Table of Contents Andrea Attar, University of Roma Tor Vergata, Toulouse School of Economics
Eloisa Campioni, University of Rome Tor Vergata - Dept. of Economics and Finance
Gwenael Piaser, IPAG Business School Tommaso Proietti, University of Rome II - Department of Economics and Finance
Niels Haldrup, Aarhus University, School of Economics and Management, CREATES
Oskar Knapik, University of Aarhus Barbara Annicchiarico, University of Rome, Tor Vergata - Department of Economics and Finance, University of Rome, Tor Vergata - Centre for International Studies on Economic Growth (CEIS)
Francesca Diluiso, University of Rome, Tor Vergata - Department of Economics and Finance | |
CEIS: CENTRE FOR ECONOMIC & INTERNATIONAL STUDIES
Vincenzo Atella - Director "On Private Communication in Competing Mechanism Games" 
CEIS Working Paper No. 421 ANDREA ATTAR, University of Roma Tor Vergata, Toulouse School of Economics
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ELOISA CAMPIONI, University of Rome Tor Vergata - Dept. of Economics and Finance
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GWENAEL PIASER, IPAG Business School
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We study competing mechanism games in which principals simultaneously design contracts to deal with several agents. We show that principals can profit from privately communicating with agents by generating incomplete information in the continuation game they play. Specifically, we construct an example of a complete information game in which none of the (multiple) equilibria in Yamashita (2010) survives against unilateral deviations to mechanisms involving private communication. This also contrasts with the robustness result established by Han (2007). The role of private communication we document may call for extending the standard construction of Epstein and Peters (1999) to incorporate this additional element. "Spikes and Memory in (Nord Pool) Electricity Price Spot Prices"
CEIS Working Paper No. 422 TOMMASO PROIETTI, University of Rome II - Department of Economics and Finance
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NIELS HALDRUP, Aarhus University, School of Economics and Management, CREATES
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OSKAR KNAPIK, University of Aarhus
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Electricity spot prices are subject to transitory sharp movements commonly referred to as spikes. The paper aims at assessing their effects on model based inferences and predictions, with reference to the Nord Pool power exchange. We identify a spike as a price value which deviates substantially from the normal price, where the latter is defined as the expectation arising from a model accounting for long memory at the zero and at the weekly seasonal frequencies, given the knowledge of the past realizations. Hence, a spike is associated to a time series innovation with size larger than a specified threshold. The latter regulates the robustness of the estimates of the underlying price level and it is chosen by a data driven procedure that focuses on the ability to predict future prices. The normal price is computed by a modified Kalman filter, which robustness the inferences by cleaning the spikes, i.e. shrinking an observation deviating substantially from the normal price towards the one-step-ahead prediction. Our empirical application illustrates the effects of the spikes on the estimates of the parameters governing the persistence of the series; moreover, a real time rolling forecasting exercise is used to establish the amount of cleaning for optimizing the predicting accuracy at different horizons. "International Transmission of the Business Cycle and Environmental Policy"
CEIS Working Paper No. 423 BARBARA ANNICCHIARICO, University of Rome, Tor Vergata - Department of Economics and Finance, University of Rome, Tor Vergata - Centre for International Studies on Economic Growth (CEIS)
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FRANCESCA DILUISO, University of Rome, Tor Vergata - Department of Economics and Finance
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This paper presents a baseline dynamic general-equilibrium model of environmental policy for a two-country economy and studies the international transmission of several asymmetric shocks considering three different economy-wide greenhouse gases (GHG) emission regulations: (i) national cap-and-trade, (ii) carbon tax, and (iii) international cap-and-trade system allowing for cross-border allocation of emission permits. We find that international spillovers of shocks originated in one country are strongly influenced by the environmental regime put in place. We show that, while a national cap-and-trade system diminishes the international spillovers by dampening the response of the country hit by shocks, the cross-border reaction to supply-side shocks is found to be magnified under an international cap-and-trade system, while demand shocks are more intensively transmitted under a carbon tax. The pattern of trade and the underlying monetary regime influence the cross-border transmission channels interacting with the environmental policy adopted. | | ^top
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