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2021 ◽  
Vol 9 (4) ◽  
pp. 71
Author(s):  
Massimiliano Caporin ◽  
Fulvio Fontini ◽  
Samuele Segato

This paper focuses on the relationship between the European Union Emission Trading System allowances’ prices and the Italian electricity price, aiming at assessing whether such a mechanism has been a driver for the decarbonization of the power sector. To this aim, we calculate the long-run relationships between energy prices, natural gas prices and allowances’ prices, through a VECM model, distinguishing between peak and off-peak prices. The analysis is carried out for the third phase of the EU-ETS, which started in 2013, and for two-year rolling windows that account for changes over time of the pass-through rates. It is shown that the natural gas price has a high pass-through rate of roughly 70%, which is increasing over time. On the contrary, the pass-through rate of the allowances’ price is as low as 7% for the wholesale electricity price, being slightly more and less for the peak and off-peak prices, respectively. However, this rate has been substantially changing over time, starting from a high level and falling significantly, becoming negative in the recent years. This could signal that the EU-ETS has been increasingly more effective in endogenizing emission costs for power producers, inducing them to reduce their production costs associated with emissions by means of a change in technologies. However, the analysis of the impulse response functions hardly supports this finding, eventually casting doubts on the effectiveness of the EU-ETS in Italy to drive the transition toward a less carbon-intensive power supply.


Author(s):  
Christopher F. Baum ◽  
Jesús Otero

We present a new command, radf, that tests for explosive behavior in time series. The command computes the right-tail augmented Dickey and Fuller (1979, Journal of the American Statistical Association 74: 427–431) unitroot test and its further developments based on supremum statistics derived from augmented Dickey–Fuller-type regressions estimated using recursive windows (Phillips, Wu, and Yu, 2011, International Economic Review 52: 201–226) and recursive flexible windows (Phillips, Shi, and Yu, 2015, International Economic Review 56: 1043–1078). It allows for the lag length in the test regression and the width of rolling windows to be either specified by the user or determined using data-dependent procedures, and it performs the date-stamping procedures advocated by Phillips, Wu, and Yu (2011) and Phillips, Shi, and Yu (2015) to identify episodes of explosive behavior. It also implements the wild bootstrap proposed by Phillips and Shi (2020, Handbook of Statistics: Financial, Macro and Micro Econometrics Using R, Vol. 42, 61–80) to lessen the potential effects of unconditional heteroskedasticity and account for the multiplicity issue in recursive testing. The use of radf is illustrated with an empirical example.


Forecasting ◽  
2021 ◽  
Vol 3 (4) ◽  
pp. 884-919
Author(s):  
Ulrich Gunter

The present study employs daily data made available by the STR SHARE Center covering the period from 1 January 2010 to 31 January 2020 for six Viennese hotel classes and their total. The forecast variable of interest is hotel room demand. As forecast models, (1) Seasonal Naïve, (2) Error Trend Seasonal (ETS), (3) Seasonal Autoregressive Integrated Moving Average (SARIMA), (4) Trigonometric Seasonality, Box–Cox Transformation, ARMA Errors, Trend and Seasonal Components (TBATS), (5) Seasonal Neural Network Autoregression (Seasonal NNAR), and (6) Seasonal NNAR with an external regressor (seasonal naïve forecast of the inflation-adjusted ADR) are employed. Forecast evaluation is carried out for forecast horizons h = 1, 7, 30, and 90 days ahead based on rolling windows. After conducting forecast encompassing tests, (a) mean, (b) median, (c) regression-based weights, (d) Bates–Granger weights, and (e) Bates–Granger ranks are used as forecast combination techniques. In the relative majority of cases (i.e., in 13 of 28), combined forecasts based on Bates–Granger weights and on Bates–Granger ranks provide the highest level of forecast accuracy in terms of typical measures. Finally, the employed methodology represents a fully replicable toolkit for practitioners in terms of both forecast models and forecast combination techniques.


2021 ◽  
Vol 42 (Supplement_1) ◽  
Author(s):  
S Salmasi ◽  
A Safari ◽  
M.A De Vera ◽  
L Lynd ◽  
M Koehoorn ◽  
...  

Abstract Background A recent systematic review highlighted significant gaps in the evidence on atrial fibrillation (AF) patients' adherence to oral anticoagulants (OAC). Current evidence suffers from short follow-up times, focuses on the first OAC and does not take switching into account. There is also lack of observational data on adherence to warfarin due to its varying dose that complicates the calculations. As such there is lack of evidence on comparative adherence between VKAs and DOACs and whether the convenience of DOACs translates into better adherence in AF patients. Purpose Our objective was to measure AF patients' long-term OAC adherence and compare the impact of taking direct oral anticoagulants (DOAC) versus vitamin K antagonists (VKA) on adherence, while accounting for switching. Methods Using linked, population-based administrative data containing physician billings, hospitalization and prescription records of 4.8 million British Columbians (1996–2019), incident adult cases of AF were identified. The primary measure of adherence was proportion of days covered (PDC). Consecutive rolling 90-day windows were created for each patient starting from their first OAC prescription fill date until the end of their follow-up. The PDC for each 90-day rolling window was calculated and averaged to yield mean adherence over the follow-up period for each patient. Permanent medication discontinuation resulted in a PDC of 0 for all subsequent rolling windows after their supply ran out. As such, both poor execution and non-persistence were measured simultaneously. The association between drug class and adherence was assessed using generalized mixed effect linear regression models with drug class treated as time-varying covariate to account for switching. Results The study cohort was 30,264 AF patients [mean age 72.2 years (SD11.0), 44.6% female, mean CHA2DS2-VASc 2.94 (SD1.4)] with mean follow-up of 7.7 (SD 4.8) years. The mean PDC was 0.71 (SD 0.27) with 51% of the cohort having mean PDC values below the conventional threshold of adherence (PDC<0.8). Adherence dropped over time with the greatest decline in the first two years after therapy initiation. After controlling for all other confounders and accounting for switching, taking VKA compared to DOAC was, on average, associated with a 1-day decrease in number of days of medication-taking per year. Conclusion AF patients' OAC adherence was below the conventional threshold of 0.8, and dropped over time, particularly in the first two years. Drug class had no clinically meaningful impact on medication adherence. Our study highlights the need for effective adherence interventions particularly early in OAC therapy. Our findings also emphasizes that prescribers should not assume inherently better adherence for DOACs and should instead choose OAC in conversation with the patient and in accordance with their values and preferences. FUNDunding Acknowledgement Type of funding sources: Public grant(s) – National budget only. Main funding source(s): Canadian Institutes of Health Research grant


2021 ◽  
Vol 42 (Supplement_1) ◽  
Author(s):  
S Salmasi ◽  
A Safari ◽  
M De Vera ◽  
L Lynd ◽  
M Koehoorn ◽  
...  

Abstract Background Medication taking is a dynamic behaviour that changes over time. Conventional adherence summary measures (e.g. proportion days covered) used in the OAC adherence studies conducted so far, however, are insensitive to the fluid nature of adherence. For example, identical PDC values can be calculated for patients with initial good adherence followed by poor adherence, and for those with periodic non-adherence throughout the course of therapy. Purpose The objective of this study was to characterize atrial fibrillation (AF) patients' long-term unique oral anticoagulant (OAC) adherence trajectories. Methods Using linked, population-based administrative data containing physician billings, hospitalization and prescription records of 4.8 million British Columbians (1996–2019), incident adult cases of AF were identified. Only patients who had prescription refill data available for five years were included in the analysis. The primary measure of OAC adherence was the proportion of days covered (PDC) over consecutive 90-day rolling windows. We modelled continuous 90-day PDC values over time. The time variable was number of years since OAC initiation. Group-Based Trajectory Modelling (GBTM) was used to identify patients' unique longitudinal adherence trajectories. To determine the best model, a relative comparison was done between models using Bayesian information criteria (BIC), and the Akaike information criterion (AIC). Results The study cohort was 19,749 AF patients [mean age 70.6y (SD 10.64), 56% male, mean CHA2DS2-VASc score 2.77 (SD 1.39]. The model that best fit our data identified four distinct OAC adherence trajectories (Figure). These were “consistent good adherence” (n=14,631 patients, 74.1% of the cohort), “rapid decline and discontinuation” (n=2327, 11.8%), “rapid decline with recovery” (n=1973, 9.99%), and “slow decline and discontinuation” (n=819, 4.2%). Our results show that there is heterogeneity among non-adherers. PDC dropped significantly in the first year after therapy initiation for those with “rapid decline and discontinuation” trajectory. Patients exhibiting “rapid decline with recovery” also displayed a rapid decline in adherence in the first year but showed improvements around the third year. Those in the “slow decline and discontinuation” trajectory displayed slow decline in adherence over first three years which eventually led to permanent discontinuation of therapy. Conclusion In this retrospective study we distinguished between the different kinds of non-adherence in terms of timing and rate. While a majority of our cohort adhered to their medications, we identified three unique trajectories displaying declining adherence over time at varying rates. Our results emphasize the importance of early intervention and have direct implications for improving the design of adherence interventions. FUNDunding Acknowledgement Type of funding sources: Public grant(s) – National budget only. Main funding source(s): Canadian Institutes of Health Research grant


2021 ◽  
Vol 16 (TNEA) ◽  
pp. 1-23
Author(s):  
Christian Bucio Pacheco ◽  
Luis Villanueva ◽  
Raúl de Jesús Gutiérrez

The objective of this work is to estimate the patterns of dependence between the yields of the stock prices of the main banks of the United States (US) and Mexico. We estimate the patterns of absolute dependence and tail dependence through copulas of the Archimedean family and the use of rolling windows of 245 days. The data employed come from the daily share prices at closing from January 2, 2015, to December 31, 2020, for seven banks. Our results show that: i) there are patterns of high dependence among the main banks in the US, ii) there are patterns of very low dependence among the main banks in the US and Mexico, and iii) there are patterns of low dependence among the main banks in Mexico. These results have several implications, among them that the high-dependency patterns obtained among major US banks limit the joint selection of these US bank equity assets in an investment portfolio. Although this paper focuses on a small sample of banks, they represent an important portion of the banking sector in both countries. Given the limited literature on this subject in Mexico, our paper contributes to expanding this literature with a novel approach.


2021 ◽  
Vol 13 (18) ◽  
pp. 10156
Author(s):  
Iman Harymawan ◽  
Fajar Kristanto Gautama Putra ◽  
Bayu Arie Fianto ◽  
Wan Adibah Wan Ismail

This study examines the relationship between financial distress and environmental, social, and governance (ESG) disclosure. We hypothesize that financially distressed firms are tempted to enhance ESG disclosure as it provides higher performance in terms of financial and market perspectives. ESG disclosure needs substantial resources, which financially distressed firms may not be able to provide. In Indonesian settings, we find that financially distressed firms have lower ESG disclosure quality than non-distressed firms. Our results are robust due to lagged variable, Heckman’s two stages, and coarsened exact matching regression showing consistent results. Furthermore, our results are consistent with three years of rolling windows of financial distress and all sections of ESG reporting, except the general information section. This study extends the scope of prior studies by focusing on firms’ eagerness to provide higher quality ESG disclosure, particularly distressed firms.


2021 ◽  
Vol 16 (TNEA) ◽  
pp. 1-16
Author(s):  
Luis Raúl Rodríguez-Reyes ◽  
Ángel Samaniego ◽  
Mireya Pasillas

Objective: This research studies individual investment strategies that can be employed by Mexican workers to choose a retirement savings company, to provide evidence that can guide workers and governments in their pursuit for a higher replacement rate. Methods: To accomplish such task, more than 200,000 individual decisions in rolling-windows are simulated, based on more than twenty-years of market prices on retirement funds in Mexico (1997-2018). Outcome: Results indicate that contrarian-based strategies dominate momentum-based strategies in three out of four categories of funds. Recommendations: Moreover, in two out of four categories of funds the highest return is reached by the system’s average, calling for the introduction of an ETF-type of product to the Mexican financial market. Originality: The novelty of this research resides in the perspective of the analysis, positioning the Mexican worker in the role of an investor making a financial choice. Conclusions: The maximum average return is the best way to select a retirement fund manager when there is a guaranteed minimum pension, which acts as a risk-hedge, as it is in the Mexican case.


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