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This study examines the prices of options contingent on electricity futures traded on the European Energy Exchange, with the aim to recover the probability density functions and risk premia. After we extract the risk-neutral probability density functions from prices of such options, we transform the risk-neutral densities into real-world densities using both parametric and non-parametric statistical calibration methods and investigate the evolution of risk premia and pricing kernels. We find that both risk-neutral and real-world option-implied densities accurately forecast realized futures electricity prices. Positively skewed densities suggest that there is an inverse (or positive) leverage effect in the electricity market, meaning that a higher probability of large price increases in electricity has been incorporated in the traded option prices. In addition, we find that the state price densities are mostly increasing, implying that investors are more risk-averse to high electricity prices. Over a period of 15 years, our results provide evidence of negative market price of risk and risk premia in this new market.

This study aims at investigating the impact of cash-flow, the main components of the capital structure, and RD the availability of long-term bank loans, a significant export propensity and a greater firm size facilitate and stimulate firms to introduce new products and production processes. Some policy implications conclude the study.

The substantial booms and busts in agricultural prices marked by extreme events across commodities lead to heated debates about the effects of speculative trading on commodity price fluctuations. This study proposes a new approach to understanding extreme events and boom-bust processes in agricultural markets. Using weekly futures data for twelve indexed agricultural commodities during 2006 to 2016, we find that extreme price changes, located in the 10% tails of the distribution, cluster across agricultural markets. We then implement a multinomial logit model to investigate which factors are associated with the propagation of extreme events. Specifically, we disentangle three transmission conduits. (1) The macroeconomic conduit captures the possibility that the synchronized extreme price events are generated by business-cycle driven demand shifts mainly in emerging economies. (2) The financial conduit refers to potential links between extreme returns and the increasing flow of money from financial participants into agricultural futures markets. (3) Finally, the energy conduit accounts for possible spillover effects due to oil price shocks. Our results indicate an important role of managed money positions and oil prices while the real demand channel remains mostly insignificant. (C) 2017 Elsevier Ltd. All rights reserved.

The present study examines the drivers of Italian exports via an export equation with regional and time-varying impacts of local financial development. To this purpose, two-way fixed effects regression models with lagged variables and a system Generalized-Methods-of-Moments have been adopted to account for potential endogeneity problems and dynamic trade patterns. The analysis covers the period 2000–2013 and the sub-period 2000–2007. The results show that a mix of factors contributing to lift exports, including financial development, exerts a positive impact on trade flows. In particular, a rise in credit intensity and a reduction in financial risk push export propensity. The results further point to the relevant effect of non-price competitiveness factors, namely R&D and investments, in influencing the export behaviour of the Italian regions. The results hold for both the whole and the pre-crisis period, but the effects are generally stronger during the pre-crisis years.

The present study examines the dynamics and regulatory regimes of commodity derivatives markets through time. The historical perspective allows to identify the reasons behind the use of derivatives and the impact of changing rules on financial systems. It further permits to highlight the weaknesses and the strengths of derivatives markets and provides valuable lessons to tackle challenges, replicate practices, and prevent failures. The analysis shows that derivatives markets have a long history and have facilitated trading across time and geographical areas. The results of a quasi-experiment conducted for Japan and the US reveal that commodity price fluctuations were higher before the establishment of futures markets. The analysis further indicates that the unprecedented inflow of liquidity in derivatives markets was mainly facilitated by the deregulation policies adopted in the US, EU and elsewhere and was intensified by an increasing interest of investors in alternative asset classes. In the new millennium many product innovations flooded the market, reducing transparency and increasing market uncertainty. The study indicates that improved data quality and quantity are necessary conditions to enhance the understanding of derivatives markets. In addition, a sound legal and financial system is a must for thriving financial markets. Such a system creates a framework of checks and balances for the market, it contributes significantly to meaningful regulations and vibrant policies and helps to prevent or eradicate market manipulations.

The present study provides an analysis of the Italian photovoltaic sector (PV). To this purpose, we first evaluate the main characteristics of the Italian PV incentive scheme by focusing on its costs and benefits. The analysis then turns to the evolution of PV demand over recent years, the key features of the Italian PV supply and its performances by identifying the strengths, limitations and growth prospects of the sector. The investigation relies on accounting data of the Italian producers collected from the Bureau van Dijk's Amadeus database, over the 2000- 2010 years. Some industrial policy implications conclude the work.

The present study aims at providing a comprehensive analysis of trade flows and the domestic value creation of the major solar photovoltaic industry at the world level. Solar technologies convert light and heat from the sun into useful energy. The use of the sun's energy can not only reduce the consumption of conventional fuels, thus reducing the emission of detrimental greenhouse gases, but it can also enable a gain in enhanced fuel and energy security along with lessening costs. In addition, green technologies and industries can promote economic growth and international competitiveness, and can offer new business and employment opportunities. It becomes, therefore, extremely important to deeply explore the dynamics of the solar photovoltaic sector. Specifically, the present work analyses the main global trends of this sector and sketches the key players on the world market, including producers, installers, and top traders. Based on an analysis of trade flows at the 6-digit level, the international specialisation patterns are investigated, and the role of various market and trade drivers, including subsidies in the uptake of solar technologies, is identified and examined.

The substantial booms and busts in agricultural prices marked by extreme events across commodities lead to heated debates about the effects of speculative trading on commodity price fluctuations. This study proposes a new approach to understanding extreme events and boom-bust processes in agricultural markets. Using weekly futures data for seven indexed agricultural commodities during 2006 to 2014, we find that extreme price changes, located in the 10% tails of the distribution, cluster across agricultural markets. We then implement a multinomial logit model to investigate which factors are associated with the propagation of extreme events. Specifically, we disentangle three transmission conduits. (1) The macroeconomic conduit captures the possibility that the synchronized extreme price events are triggered by business-cycle driven demand shifts mainly in emerging economies. (2) The financial conduit refers to potential links between extreme returns and the increasing flow of money from financial participants into agricultural futures markets. (3) Finally, the energy conduit accounts for possible spillover effects due to oil price shocks and the demand for biofuels. Our results indicate an important role of managed money positions and ethanol prices while the real demand channel remains mostly insignificant.

International tourism has expanded enormously over recent decades, fuelled by changing consumer tastes, advances in transport and new holiday destinations. The present study aims at analysing the linkages between economic growth and tourism-based economies. An econometric model for a selected number of small countries has been implemented to investigate the nature, magnitude and overall significance of the demand for tourism. Countries were selected to capture regional diversity, differences in market orientation and a range of experiences, from emerging to long-standing industries. The results show that tourism can be a significant engine of economic growth, when the elasticity of substitution between manufacturing goods and tourism services is < 1. Finally two stylised facts emerged, namely: (i) countries specialised in tourism register good economic performances; (ii) these same countries have small dimensions as defined by international trade theory. Copyright © 2006 John Wiley & Sons, Ltd.

Biofuels production has experienced rapid growth worldwide as one of several strategies to promote green energy economies. Indeed, climate change mitigation and energy security have been frequent rationales behind biofuel policies, but biofuels production could generate negative impacts, such as additional demand for feedstocks, and therefore for land on which to grow them, with a consequent increase in food commodity price. In this context, this paper examines the effect of biofuels and other economic and financial factors on daily returns of a group of commodity futures prices using Generalized Autoregressive Conditional Heteroskedasticity (GARCH) family models in univariate and multivariate settings. The results show that a complex of drivers are relevant in explaining commodity futures returns; more precisely, the Standard and Poor’s (S&P) 500 positively affects commodity markets, while the US/Euro exchange rate brings about a decline in commodity returns. It turns out, in addition, that energy market returns are significant in explaining commodity returns on a daily basis, while monetary liquidity does not. Finally, the GARCH model has shown that current variance is influenced more by its past values than by the previous day’s shocks, and there is high persistence, meaning that variance slowly decays and prompts a sluggish “revert to the mean.” The multivariate BEKK framework confirms the results of the univariate setting.