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Creti A. (2016), Introduction to the Special Issue:"Energy, Commodities and Geopolitics: Modeling Issues", Energy Economics
Chaton C., Creti A., Peluchon B. (2015), Banking and back-loading emission permits, Energy Policy, 82, p. 332-341
In this article we focus on the so-called back-loading policy adopted by the European Commission to increase the carbon market price. This environmental measure consists of removing a share of the allowances allocated for a given period in order to reallocate some or all of them later on. To analyze the impact of the permits back-loading, we determine the CO2 price equilibrium with and without the policy measure, considering not only the market for permits but also the output market of regulated sectors. We propose a two-period model, where the market for permits is perfectly competitive, and the output market can be either competitive or oligopolistic. First, we define the condition under which banking from one period to another is optimal. This condition, that is the absence of arbitrage opportunities (AOA), depends not only from the period initial allocation but also on production market fundamentals. When this condition is satisfied, the market for emission is shown intertemporally efficient. Second, we point out that the back-loading measure may create inefficiencies or leave unaffected the permits price, if it alters the AOA.
Creti A., Khuong Nguyen D. (2015), Energy markets? financialization, risk spillovers, and pricing models, Energy Policy, 82, p. 260-263
Creti A., Guesmi K. (2015), International CAPM and Oil Price: Evidence from Selected OPEC Countries, Bankers, Markets & Investors, 136-137, p. 64-78
This study explores the major driving forces of stock market integration in the four major OPEC oil-exporting countries, namely Venezuela, United Arab Emirates, Saudi Arabia and Kuwait, over the period Au-gust 31, 2000 to June 31, 2012. Stock market integration factors are categorized into 3 groups: macroeconomic characteristics, oil price and return on the world market portfolio. We measure market integration based on a conditional version of the International Capital Asset Pricing Model (ICAPM). Our study differs from past ones in that we investigate the integration of stock market into the world market, using oil price as a common source of risk, in addition to world and domestic sources of risk. Our results show that oil-exporting countries seem to be still significantly segmented from the global market. Their integration degree varies widely through time over the period August 2000 to June 2012 and increases during crisis periods, in particular as from the end of 2009. Oil risk represents a small part of the global risk in all the countries. Venezuela exhibits some peculiarities: market openness drives integration; moreover, dynamic correlations of the stock market with respect to the world market and oil price are quite weak or not significant, as local risks predominate.
Belgacem A., Creti A., Guesmi K., Lahiani A. (2015), Volatility spillovers and macroeconomic announcements: evidence from crude oil markets, Applied Economics, 47, 28, p. 2974-2984
The paper applies an event study methodologyaims to investigate the macroeconomic announcements effects on Standard&Poor's500 and oil prices. Our results provide evidence for a significant impact of the US macroeconomic news on oil prices. This impact is split into two components, namely the direct effect (common response) and indirect effect (volatility transmission). Altogether our results show that the volatility transmission is bidirectional. Not only a significant volatility transmission from the oil market to the US stock market is revealed, but also a high volatility transmission is recorded from the oil market to the stock market especially after the release of consumption indicators.
Creti A., Ftiti Z., Guesmi K. (2014), Oil price and financial markets: Multivariate dynamic frequency analysis, Energy Policy, 73, p. 245-258
The aim of this paper is to study the degree of interdependence between oil price and stock market index into two groups of countries: oil-importers and oil-exporters. To this end, we propose a new empirical methodology allowing a time-varying dynamic correlation measure between the stock market index and the oil price series. We use the frequency approach proposed by Priestley and Tong (1973), that is the evolutionary co-spectral analysis. This method allows us to distinguish between short-run and medium-run dependence. In order to complete our study by analysing long-run dependence, we use the cointegration procedure developed by Engle and Granger (1987). We find that interdependence between the oil price and the stock market is stronger in exporters? markets than in the importers? ones.
Creti A., Verdier M. (2014), Fraud, Investments and Liability Regimes in Payment Platforms, International Journal of Industrial Organization, 35, p. 84-93
In this paper, we discuss how fraud losses impact the price structure chosen by a monopolistic payment platform, if merchants can invest in fraud detection technologies. We show that liability rules bias the structure of the prices charged by the platform to consumers and merchants with respect to a case in which such a responsibility regime is not implemented. If consumers are liable for fraud, the profit-maximizing price structure is neither biased in favor of consumers nor merchants. If consumers are not liable for fraud, the platform lowers the price for merchants to provide them with investment incentives. Under the zero liability rule for consumers, the profit-maximizing allocation of fraud losses maximizes social welfare.
Pouyet J., Sanin M., Creti A. (2013), The NOME Law: Implications for the French Electricity Market, Journal of Regulatory Economics, 43, 2, p. 196-213
The French law "Nouvelle Organisation du Marché de l'Electricité" makes available, at a regulated price, withdrawal rights to source low-cost electricity production from nuclear plants owned by the incumbent. Downstream market retailers benefit from such a measure, up to a given amount fixed by the law, to compete on a level playing field with the historical supplier. Our analysis assesses whether this production release programme is likely to result in a lower retail price. We show that whether pro-competitive effects arise depends not only on the amount of the preassigned capacity but also on the rules used to allocate it to retailers.
Villeneuve B., Creti A. (2013), Commodity storage with durable shocks : A simple Markovian model, Mathematics and Financial Economics, 7, 4
We model an economy that alternates randomly between abundance and scarcity episodes. We develop an original method to characterize in detail the structure of the Markovian competitive equilibrium. Accumulation and drainage of stocks are the main focuses. Economically appealing comparative statics results are proved. We also characterize stationary distribution of states. We extend the model to discuss price stabilization policies, injection and release costs, and limited storage capacity. Overall, the analysis delineates the notion of "flexible economy".
Creti A., Joëts M., Mignon V. (2013), On the links between stock and commodity markets' volatility, Energy Economics, 37, p. 16-28
This paper investigates the links between price returns for 25 commodities and stocks over the period from January 2001 to November 2011, by paying a particular attention to energy raw materials. Relying on the dynamic conditional correlation (DCC) GARCH methodology, we show that the correlations between commodity and stock markets evolve through time and are highly volatile, particularly since the 2007-2008 financial crisis. The latter has played a key role, emphasizing the links between commodity and stock markets, and underlining the financialization of commodity markets. At the idiosyncratic level, a speculation phenomenon is highlighted for oil, coffee and cocoa, while the safe-haven role of gold is evidenced.
Chaton C., Creti A., Villeneuve B. (2009), Storage and security of supply in the medium run, Resource and Energy Economics, 31, 1, p. 24-38
This paper analyzes the role of private storage in a market for a commodity (e.g. natural gas) whose supply is subject to the threat of an irreversible disruption. We focus on the medium term in which seasonality of demand and exhaustibility can be neglected. We characterize the price and inventory dynamics (accumulation, drainage and limit stocks) in a competitive equilibrium with rational expectations. We show the robustness of our results to alternative scenarios in which either a disruption has finite duration or the crisis is foreseen. During the crisis consumers may put pressure on the Government to intervene, but too severe antispeculative measures would inefficiently discourage storage. Practical solutions to this dilemma cause welfare losses that we characterize and quantify.
Chaton C., Creti A., Villeneuve B. (2009), Gas Storage and Security of Supply in the Medium Run, Resource and Energy Economics, 31, 1, p. 24-38
This paper analyzes the role of private storage in a market for a commodity (e.g. natural gas) whose supply is subject to the threat of an irreversible disruption. We focus on the medium term in which seasonality of demand and exhaustibility can be neglected. We characterize the price and inventory dynamics (accumulation, drainage and limit stocks) in a competitive equilibrium with rational expectations . We show the robustness of our results to alternative scenarios in which either adisruption has finite duration or the crisis is foreseen. During the crisis consumers may put pressure on the Government to intervene, but too severe antispeculative measures would inefficiently discourage storage. Practical solutions to this dilemma cause welfare losses that we characterize and quantify.
Villeneuve B., Creti A., Chaton C. (2008), Some economics of seasonal gas storage, Energy Policy, 36, 11, p. 4235-4246
We propose a model of seasonal gas markets which is flexible enough to include supply and demand shocks while also considering exhaustibility. The relative performances of alternative policies based on price caps and associated measures or tariffs are discussed. We illustrate with structural estimates on US data how this theory can be used to give insights into the intertemporal incidence of policy instruments.
Creti A., Villeneuve B. (2004), Long-term contracts and take-or-pay clauses in natural gas Markets, Energy Studies Review, 13, 1, p. 75-94
This paper surveys the existing theoretical and empirical research on long term contracts inspired by the American experience. We analyze the role of take-or-pay clauses and price indexation rules, questioning whether regulation distorts optimal contract duration. The models we summarize allows us to discuss the economic fundamentals of the ED provisions on long-term contracts in the natural gas industry, pointing out that the ED position on long-term contracting seems to mix up contract duration and flexibility.
Creti A., Villeneuve B. (2003), Energy policy : Strategic aspects of the supply issue, Economie et Prévision, 158, p. 73-88
Nous traitons des fondements de la fiscalité de l'énergie dans une perspective d'optimisation des approvisionnements auprès de fournisseurs étrangers à la Communauté européenne. Notre modèle permet de distinguer et d'évaluer trois termes formant la taxe optimale : le terme strictement budgétaire, le terme environnemental et le terme stratégique. Les valeurs dépendent de données technologiques (production) et des valeurs des usages (consommation), mais également du rapport de force entre la Communauté et ses fournisseurs. Nous pouvons, à partir des discussions fondées sur les scénarios proposés, suggérer des améliorations de la politique énergétique.
This article treats energy taxation principles in the light of the need to optimise supply by non-EU suppliers. Our model distinguishes and evaluates the three terms of an optimum tax: budget, environment and strategy. Their values depend on technological data (output) and habits (consumption) as well as the balance of power between the Community and its suppliers. The proposed scenarios can be used to discuss and suggest improvements in the energy policy.
Creti A., Villeneuve B. (2009), Gas storage and security of Supply, in Creti A. (eds), The Economics of natural gas storage, Berlin, Springer, p. 85-112
Villeneuve B., Creti A. (2007), Equilibrium Storage in a Markov Economy, Cahiers de la Chaire Finance et Développement Durable, Paris, Université Paris-Dauphine, 33
We model an economy that alternates randomly between abundance and scarcity episodes. We develop an original method to characterize in detail the structure of the Markovian competitive equilibrium. Accumulation and drainage of stocks are the main focuses. Economically appealing comparative statics results are proved. We also characterize stationary distribution of states. We extend the model to discuss price stabilization policies, injection and release costs, and limited storage capacity. Overall, the analysis delineates the notion of "flexible economy."
Villeneuve B., Creti A., Chaton C. (2005), The Economics of Seasonal Gas Storage, Série des Documents de Travail du CREST, Malakoff, INSEE, 33
Nous proposons un modèle saisonnier du marché du gaz naturel. L'approche est assez flexible pour nous permettre d'incorporer des chocs d'offre ou de demande tout en tenant compte du caractère épuisable du gaz. A partir de données américaines, nous estimons le modèle structurel et testons les restrictions théoriques. Nous employons ces résultats pour évaluer les politiques de prix ou de quantités (prix plafonds, taxes douanières, subventions croisées)
We propose a model of seasonal gas markets which is flexible enough to include supply and demand shocks while also considering natural gas as an exhaustible resource. Using US data, we estimate the model's structural parameters and test economically founded restrictions. We analyze, theoretically and using the estimates, the impact of policies (price caps, tariffs, cross subsidies) on prices and quantities consumed or stored. This evaluation gives insights into past or envisaged public interventions.