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DIW Discussion Papers 1567 / 2016
Electricity storage plants can be used for many applications, with one of the most studied applications being arbitrage in the day-ahead market. Although the arbitrage value is related to the presence of price spreads, it also depends on the effect of (dis)charge actions on prices, as arbitrage generally reduces price spreads by increasing off-peak prices when charging and decreasing peak prices when ...
2016| Tom Brijs, Frederik Geth, Sauleh Siddiqui, Benjamin F. Hobbs, Ronnie Belmans
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DIW Discussion Papers 1566 / 2016
This article proposes a new electricity storage business model based on multiple simultaneously considered revenue streams, which can be attributed to different market activities and players. These players thus share electricity storage resources and compete to obtain the right to use them in a dynamic allocation mechanism. It is based on the design of anew periodically organized auction to allocate ...
2016| Tom Brijs, Daniel Huppmann, Sauleh Siddiqui, Ronnie Belmans
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DIW Discussion Papers 1565 / 2016
The Italian white certificate scheme is the main national policy instrument to incentivise energy efficiency of the industrial sector. The mechanism sets binding energy-saving targets on electricity and gas distributors with at least 50,000 clients and includes a voluntary opt-in model for participation from other parties. This paper investigates and assesses the elements of the scheme that help overcome ...
2016| Jan Stede
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DIW Discussion Papers 1564 / 2016
This paper proposes a new non-parametric method of constructing joint confidence bands for impulse response functions of vector autoregressive models. The estimation uncertainty is captured by means of bootstrapping and the highest density region (HDR) approach is used to construct the bands. A Monte Carlo comparison of the HDR bands with existing alternatives shows that the former are competitive ...
2016| Helmut Lütkepohl, Anna Staszewska-Bystrova, Peter Winker
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DIW Discussion Papers 1563 / 2016
This paper proposes a Bayesian approach to assess if the data support candidate set-identifying restrictions for Vector Autoregressive models. The researcher is uncertain about the validity of some sign restrictions that she is contemplating to use. She therefore expresses her uncertainty with a prior distribution that covers the parameter space both where the restrictions are satisfied and where they ...
2016| Michele Piffer
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DIW Discussion Papers 1562 / 2016
In a meta-analysis of 126 impact evaluation studies, we find that financial education significantly impacts financial behavior and, to an even larger extent, financial literacy. These results also hold for the subsample of randomized experiments (RCTs). However, intervention impacts are highly heterogeneous: Financial education is less effective for lowincome clients as well as in low and lower-middle ...
2016| Tim Kaiser, Lukas Menkhoff
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DIW Discussion Papers 1561 / 2016
Do increased instruction hours improve the performance of all students? Using PISA scores of students in ninth grade, we analyse the effect of a German education reform that increased weekly instruction hours by two hours (6.5 percent) overalmost five years. In the additional time, students are taught new learning content. On average, the reform improves student performance. However, treatment effects ...
2016| Mathias Huebener, Susanne Kuger, Jan Marcus
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DIW Discussion Papers 1560 / 2016
This paper examines how families adjust their private old-age savings in response to a change in individual pension wealth. The regression discontinuity approach exploits two expansions of the child care pension benefit, in 1992 and in 1999, as natural experiments. The empirical analysis is based on three waves of the Survey of Income and Expenditure (EVS): 1998, 2003 and 2008. All results indicate ...
2016| Andreas Thiemann
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DIW Discussion Papers 1559 / 2016
This paper uses a structural VAR model to study the effect of monetary policy on the delinquency rate of business loans and consumer credit. The VAR is identified using at the same time several external instruments, which cover different approaches from the literature. Delinquency rates, defined as the rate of loans whose repayment is overdue for more than a month relative to total loans, are found ...
2016| Michele Piffer
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DIW Discussion Papers 1558 / 2016
This paper uses a VAR-GARCH(1,1) model to analyse mean and volatility spillovers between macro news (in the form of newspaper headlines) and the exchange rates vis-avis both the US dollar and the euro of the currencies of a group of emerging countries including the Czech Republic, Hungary, Indonesia, Korea, Mexico, Poland, South Africa, Thailand and Turkey over the period 02/1/2003-23/9/2014. The results ...
2016| Guglielmo Maria Caporale, Fabio Spagnolo, Nicola Spagnolo
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DIW Discussion Papers 1557 / 2016
This paper examines the bank lending channel of monetary transmission in Malaysia, a country with a dual banking system including both Islamic and conventional banks, over the period 1994:01-2015:06. A two-regime threshold vector autoregression (TVAR) model is estimated to take into account possible nonlinearities in the relationship between bank lending and monetary policy under different economic ...
2016| Guglielmo Maria Caporale, Abdurrahman Nazif Catik, Mohamad Husam Helmi, Faek Menla Ali, Mohammad Tajik
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DIW Discussion Papers 1556 / 2016
Private wealth is a crucial factor for the economic well‐being of households. Key determinants of private wealth include intergenerational wealth transfers (gifts and inheritances), which are gaining importance since 1990, as research suggests. We conduct a detailed investigation of the distribution of wealth transfers in eight Euro‐area countries. First, we investigate the patterns of prevalence and ...
2016| Anita Tiefensee, Christian Westermeier
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DIW Discussion Papers 1555 / 2016
Revenue cap regulation is often combined with systematic benchmarking to reveal the managerial inefficiencies when regulating natural monopolies. One example is the European energy sector, where benchmarking methods are based on actual cost data, which are influenced by managerial inefficiency as well as operational heterogeneity. This paper demonstrates how a conditional nonparametric method, which ...
2016| Endre Bjoerndal, Mette Bjoerndal, Astrid Cullmann, Maria Nieswand
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DIW Discussion Papers 1554 / 2016
The increasing integration of international financial markets means that credit defaults in one country have to be covered by creditors in other countries. If the principle of creditor liability were applied systematically, the financial losses incurred by the financial institution that provided the credit and is thus directly affected by the default would be “passed on” through its domestic and foreign ...
2016| Dieter Schumacher
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DIW Discussion Papers 1553 / 2016
Natural gas as a source of energy has attracted a lot of interest as its emissions rate and price are lower than other fossil fuel energy sources. In the U.S., natural gas-fired power generation has been rising, as coal has declined as a share of the fuel mix. Likewise, Mexico recently launched its energy reform with focus on greatly expanding use of natural gas over other fossil fuels, primarily in ...
2016| Felipe Feijoo, Daniel Huppmann, Larissa Sakiyama, Sauleh Siddiqui
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DIW Discussion Papers 1552 / 2016
We show that technical indicators deliver stable economic value in predicting the U.S. equity premium over the out-of-sample period from 1966 to 2014. Results tentatively improve over time and beat alternatives over a large continuum of sub-periods. By contrast, economic indicators work well only until the 1970s, but thereafter they lose predictive power, even when the last crisis is considered. Translating ...
2016| Fabian Baetje, Lukas Menkhoff
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DIW Discussion Papers 1551 / 2016
We employ a detailed two-stage model to simulate the operation of the Central Eastern European electricity market and network. Implementing different cases of coordination in congestion management between national transmission system operators, numerical results show the beneficial impact of closer cooperation. Specific steps comprise the sharing of network and dispatch information, cross-border counter-trading, ...
2016| Friedrich Kunz, Alexander Zerrahn
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DIW Discussion Papers 1550 / 2016
The theoretical literature remains inconclusive on whether changes in bank exposure towards the domestic sovereign have an adverse effect on the sovereign risk position via a diabolic loop in the sovereign-bank nexus or reduce perceived default risk by acting as a disciplinary device for the sovereign. In this paper we empirically analyze the impact of exogenous changes in bank exposure on the risk ...
2016| Maximilian Podstawski, Anton Velinov
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DIW Discussion Papers 1549 / 2016
We propose a new instrument to identify the impact of uncertainty shocks in a SVAR model with external instruments. We construct the instrument for uncertainty shocks by exploiting variations in the price of gold around selected events. The events capture periods of changes in uncertainty unrelated to other macroeconomic shocks. The variations in the price of gold around such events provide a measure ...
2016| Michele Piffer, Maximilian Podstawski
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DIW Discussion Papers 1548 / 2016
The upheaval in global crude oil markets and the boom in oil production from shale plays in North America have brought scrutiny on the export ban for crude oil in the United States. This paper examines the global flows and strategic refinery adjustments in a spatial, game-theoretic partial-equilibrium model. We consider de- tailed supply chain infrastructure with multiple crude oil qualities (supply), ...
2016| Lissy Langer, Daniel Huppmann, Franziska Holz