Energy Price Shocks in a Reduced-Form Monetarist Model

Reduced Form Electricity Spot Price Modeling

Since the early 1990s, an increasing number of countries worldwide have liberalized their electricity power sectors. Contrary to before, when power sectors were not open to competition and prices were set by regulators according to the cost of generation, transmission and distribution, electricity prices are now determined by an equilibrium of supply and demand. On one hand, electricity contrac...

Reducing the impact of price shocks in energy - intensive economies *

Dynamic Factor Demands and the Effects of Energy Price Shocks

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Historical Energy Price Shocks and their Effects on the Economy

The purpose of this paper is to identify the changes in the impact of energy shocks on economic activity at different phases of economic development – with an interest in assessing if the economy’s vulnerability and resilience to shocks improved. Using data on the United Kingdom over the last three hundred years, the paper replicates a method introduced by Kilian (2008) to disentangle supply, d...

A comprehensive unified model of structural and reduced form type for defaultable fixed income bonds

‎The aim of this paper is to generalize the comprehensive structural model for defaultable fixed income bonds (considered in R‎. ‎Agliardi‎, ‎A comprehensive structural model for defaultable fixed-income bondsو Quant‎. ‎Finance 11 (2011)‎, ‎no‎. ‎5‎, ‎749--762.) into a comprehensive unified model of structural and reduced form models‎. ‎In our model the bond holders receive the deterministic co...