In this paper we study the impact of errors in wind and solar power forecasts on intraday electricity prices. We develop a novel econometric model which is based day-ahead wholesale auction curves data forecasts. The shifts supply to calculate apply our German EPEX SPOT SE data. Our outperforms both linear non-linear benchmarks. allows us conclude that renewable energy exert demonstrate additio...

This paper estimates a joint econometric model of consumption growth and long-term real interest rates with stochastic volatility based on data from the U.K. The model imposes no-arbitrage condition on the term structure of real interest rates and extends the standard long-run risk model which assumes constant market prices of risk. We find that both the long-run consumption risk and the volati...

OPTCON is an algorithm for the optimal control of nonlinear stochastic systems which is particularly applicable to econometric models. It delivers approximate numerical solutions to optimum control problems with a quadratic objective function for nonlinear econometric models with additive and multiplicative (parameter) uncertainties. The algorithm was programmed in C# and allows for determinist...

What is the impact of surprise and anticipated policy changes when agents form expectations using adaptive learning rather than rational expectations? We examine this issue using the standard stochastic real business cycle model with lump-sum taxes. Agents combine knowledge about future policy with econometric forecasts of future wages and interest rates. Both permanent and temporary policy cha...

The paper focuses on regional trade agreements and economic co-operation and develops a new appropriate approach to study their impact on growth and trade. The approach is based on an endogenous trade-growth theory and novelly specified in an economic integration (expenditure) framework which is the conceptual foundation of regional trade agreements. Importantly, it also appropriately takes int...