The market for corporate credit is characterized by significant seasonal variation, both in interest rates and the volume of new lending. Firms borrowing from banks during seasonal “sales” in late spring and fall issue at 19 basis points cheaper than winter and summer borrowers. Issuers during cheap seasons appear to have less immediate needs, but are enticed by low rates to engage in precautio...

In a deregulated electricity industry, competitive bidding for energy and reserve is increasingly gaining importance and playing a decisive role in maintaining system reliability. The transmission capacity limits have a significant impact on market cost, therefore these limits should also be considered while optimizing the joint dispatch. In this paper, a detailed comparison of classical differ...

In moral hazard models, bank shareholders have incentives to transfer wealth from the deposit insurer --that is, maximize put option value-by pursuing riskier strategies. For safe banks with large charter value, however, the risk-taking incentive is outweighed by the possibility of losing charter value. Focusing on the relationship between book value, market value, and a risk measure, this pape...

In a deregulated electricity market such as the California WEPEX, spinning reserves must be explicitly identified as an ancillary service and priced. Additionally, scheduling coordinators who match suppliers and demands may either self-provide spinning reserves, or rely on the Independent System Operator (ISO) to provide reserves at the spot price. The deregulated market structure makes explici...

Abstract A decision to invest in the development of an oil reserve requires an in-depth analysis of several uncertainty factors. Such factors may involve either technical uncertainties related to the size and economic quality of the reserve, or market uncertainties. When a great number of investment alternatives are involved, the task of selecting the best alternative or a decision rule is very...

The fast development of renewable energy has resulted in great challenges to the power system, which urgently needs more flexible resources maintain a system supply/demand balance. This paper established multi-stage electricity market framework presence load aggregator (LA) including day-ahead energy/reserve and real-time balanced market. To actively participate reserve market, profile percepti...

In a real electricity market, complete information of rivals’ behavior is not available to market participants. Therefore, they make their bidding strategies based on the historical information of the market clearing price. In this paper, a new market simulator is introduced for a joint energy and spinning reserve market, in which market participants’ learning process is modeled using Q-learnin...

Working papers of the Federal Reserve Bank of Cleveland are preliminary materials circulated to stimulate discussion and critical comment on research in progress. They may not have been subject to the formal editorial review accorded official Federal Reserve Bank of Cleveland publications. The views stated herein are those of the authors and are not necessarily those of the Federal Reserve Bank...

Bulow and Rogoff (1989b) show that as long as governments can earn the market rate of return by saving abroad, standard reputation models cannot support debt. We argue that these standard reputation models are partial in the sense that actions of agents in one arena affect reputation in that arena only. We develop a general model of reputation in which if a government is viewed as untrustworthy...