Whenever industrial plants consume power and heat there is a need to consider energy efficiency investment on a cogeneration (CHP) plant. We investigate economic incentives influencing the adoption of energy saving technology by industry, namely, CHP in UK and Dutch manufacturing sectors. Our analysis is based on an empirical model by the application of cross sectional time series econometric m...

This article carries out an asset-pricing analysis of the U.S. metropolitan housing market. We use ZIP code–level housing data to study the cross-sectional role of volatility, price level, stock market risk and idiosyncratic volatility in explaining housing returns. While the related literature tends to focus on the dynamic role of volatility and housing returns within submarkets over time, our...

This article derives generalized impulse responses from the estimation of a vector autoregression (VAR) model using monthly data between 1995 and 2005 for Mexico, to examine the inflation–relative price variability (RPV) relationship, and to investigate if remittances could account for the observed relationship. While the positive relationship between inflation and RPV is a robust result, remit...

This paper examines if the joint behavior of inflation and relative price variability (RPV) is consistent with threshold nonlinearity. It applies the test procedure proposed by Tsay (1998) to monthly inflation and RPV in the U.S. for a period from January 1947 to October 2000, and finds strong evidence in favor of threshold nonlinearity that signifies asymmetries of the relationship between inf...

Identifying the drivers of global crop price fluctuations is essential for estimating the risks of unexpected weather-induced production shortfalls and for designing optimal response measures. Here we show that with a consistent representation of storage dynamics, a simple supply–demand model can explain most of the observed variations in wheat prices over the last 40 yr solely based on time se...

T paper analyzes the optimal procurement, processing, and production decisions of a meat-processing company (hereafter, a “packer”) in a beef supply chain. The packer processes fed cattle to produce two beef products, program (premium) boxed beef and commodity boxed beef, in fixed proportions, but with downward substitution of the premium product for the commodity product. The packer can source...

Detection of structural change is a critical empirical activity, but continuous ‘monitoring’ of series, for structural changes in real time, raises well-known econometric issues that have been explored in a single series context. If multiple series co-break then it is possible that simultaneous examination of a set of series helps identify changes with higher probability or more rapidly than wh...

In contrast to most other countries, Chinese foreign class B shares trade at an average discount of about 60 percent to the prices at which domestic A shares trade. We argue that one reason for the large price discount of B shares is because foreign investors have less information on Chinese stocks than domestic investors. We develop a model, incorporating both informational asymmetry and marke...