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Within the IEB framework, the Chair of Energy Sustainability promotes research into the production, supply and use of the energy needed to maintain social welfare and development, placing special emphasis on economic, environmental and social aspects. There are three main research areas of interest within the program: energy sustainability, competition and consumers, and energy firms. The energy sustainability research area covers topics as energy efficiency, CO2 capture and storage, R+D in energy, green certificate markets, smart grids and meters, green energy and biofuels. The competition and consumers area is oriented to research on wholesale markets, retail markets, regulation, competition and consumers. The research area on energy firms is devoted to the analysis of business strategies, social and corporative responsibility, and industrial organization. Disseminating research outputs to a broad audience is an important objective of the program, whose results must be relevant both at national and international level.The Chair of Energy Sustainability of the University of Barcelona-IEB is funded by the following enterprises ACS, CEPSA, CLH, Enagas, Endesa, FCC Energia, HC Energia, Gas Natural Fenosa, and Repsol) through FUNSEAM (Foundation for Energy and Environmental Sustainability). The IEB working papers represent ongoing research that is circulated to encourage discussion and has not undergone a peer review process. Any opinions expressed here are those of the author(s) and not those of IEB. Documents de Treball de l'IEB 2014/21 ELECTRICITY FUTURES PRICES: TIME VARYING SENSITIVITY TO FUNDAMENTALSStein-Erik Fleten, Ronald Huisman, Mehtap Kilic, Enrico Pennings, Sjur Westgaard ABSTRACT: This paper provides insight in the time-varying relation between electricity futures prices and fundamentals in the form of prices of contracts for fossil fuels. As supply curves are not constant and different producers have different marginal costs of production, we argue that the relation between electricity futures prices and futures prices of underlying fundamentals such as natural gas, coal and emission rights are not constant and vary over time. We test this view by applying a model that linearly relates electricity futures prices to the marginal costs of production and calculate the log-likelihood of different time-varying and constant specifications of the coefficients. To do so, we formulate the model in state-space form and apply the Kalman Filter to observe the dynamics of the coefficients. We analyse historical prices of futures contracts with different delivery periods (calendar year and seasons, peak and off-peak) from Germany and the U.K. The results indicate that analysts should choose a time-varying specification to relate the futures price of power to prices of underlying fundamentals.JEL Codes: Q41, Q48, C51
Within the IEB framework, the Chair of Energy Sustainability promotes research into the production, supply and use of the energy needed to maintain social welfare and development, placing special emphasis on economic, environmental and social aspects. There are three main research areas of interest within the program: energy sustainability, competition and consumers, and energy firms. The energy sustainability research area covers topics as energy efficiency, CO2 capture and storage, R+D in energy, green certificate markets, smart grids and meters, green energy and biofuels. The competition and consumers area is oriented to research on wholesale markets, retail markets, regulation, competition and consumers. The research area on energy firms is devoted to the analysis of business strategies, social and corporative responsibility, and industrial organization. Disseminating research outputs to a broad audience is an important objective of the program, whose results must be relevant both at national and international level.The Chair of Energy Sustainability of the University of Barcelona-IEB is funded by the following enterprises ACS, CEPSA, CLH, Enagas, Endesa, FCC Energia, HC Energia, Gas Natural Fenosa, and Repsol) through FUNSEAM (Foundation for Energy and Environmental Sustainability). The IEB working papers represent ongoing research that is circulated to encourage discussion and has not undergone a peer review process. Any opinions expressed here are those of the author(s) and not those of IEB. Documents de Treball de l'IEB 2014/21 ELECTRICITY FUTURES PRICES: TIME VARYING SENSITIVITY TO FUNDAMENTALSStein-Erik Fleten, Ronald Huisman, Mehtap Kilic, Enrico Pennings, Sjur Westgaard ABSTRACT: This paper provides insight in the time-varying relation between electricity futures prices and fundamentals in the form of prices of contracts for fossil fuels. As supply curves are not constant and different producers have different marginal costs of production, we argue that the relation between electricity futures prices and futures prices of underlying fundamentals such as natural gas, coal and emission rights are not constant and vary over time. We test this view by applying a model that linearly relates electricity futures prices to the marginal costs of production and calculate the log-likelihood of different time-varying and constant specifications of the coefficients. To do so, we formulate the model in state-space form and apply the Kalman Filter to observe the dynamics of the coefficients. We analyse historical prices of futures contracts with different delivery periods (calendar year and seasons, peak and off-peak) from Germany and the U.K. The results indicate that analysts should choose a time-varying specification to relate the futures price of power to prices of underlying fundamentals.JEL Codes: Q41, Q48, C51
The main objective of this paper is to calculate the distribution of the tax burden across income levels in Spain between 1960 and 1990. The chosen period covers the final years of Franco's dictatorship and the first ones of the present parliamentary regime, and is thus meant to explore how political change was reflected on taxation. Does transition entail a fiscal revolution? Here is one case study developed and compared to other national experiences. Effective tax reform seems to have been politically blocked during the dictatorship, with public budgets growing fundamentally on the grounds of social security contributions. Democracy brought about a comprehensive transformation starting in 1977, which aimed at improving fairness (progressivity) and increasing revenue (to fund the development of the Welfare State). In this work I analyse whether the reforms entailed effective changes in the distribution of the tax burden, by imputing tax collection to taxpayers, based on income and consumption micro-data from Household Budget Surveys. The results show a persistent (albeit decreasing) regressivity in the tax system, which caused an increasingly negative redistribution of income. Pre-Tax incomes grew unequal during the period and net incomes even more so as a result: the tax reform did not fulfill its equalizing promises. The joint effect of the fiscal system, however, seems to have been slightly positive due to progressive social spending.MAIN RESULT: The Spanish tax system is shown to overburden low income families, maybe negatively affecting their economic activity -in addition to social cohesion. A simpler design could attain a progressive distribution of the tax burden reducing costs in administration, incentives to evasion, or alienation of taxpayers.JEL Codes: D31, N34, N44, H23
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