Price Volatility and Banking in Green Certificate Markets

Price Volatility in Ethanol Markets

Understanding Price Volatility in Electricity Markets

This paper illustrates notions of volatility associated with power systems spot prices for electricity. The paper demonstrates a frequency-domain method useful to separate out periodic price variations from random variations. It then uses actual observed price data to estimate parameters such as volatility and the coefficient of mean reversion associated with the random variation of prices. It ...

Solar Renewable Energy Certificate Markets: Assessing the Volatility Impact

Many countries and U.S. states have implemented rules, policies, and financial incentives to promote renewable energy adoption. Renewable Energy Certificates subsidize investment but their price is subject to market conditions. Uncertainty due to fluctuating certificate prices has allegedly discouraged investment in solar photovoltaic installation. In this paper, I assess the impact of certific...

Price volatility, welfare, and trading hours in asset markets

This paper studies the consequences of opening asset markets more often for the properties of asset prices and social welfare. For all reasonable parameter values, increasing trading hours lowers average asset prices, increases unconditional asset price volatility at a given point in time, and decreases unconditional asset price volatility when averaged over the period of time that includes the...

Price-level volatility and welfare in incomplete markets with sunspots

In an economy with incomplete financial markets as described by Cass (1989), there is typically a continuum of equilibria driven by sunspots. In some cases, there is no Pareto ranking among the different sunspot equilibria. However, this paper shows that a sunspot equilibrium with lower price-volatility is superior in economic welfare to one with higher price-volatility based on a compensation ...