This paper solves reliability constrained unit commitment problem (UCP) for a composite power system network using network equivalent technique. Here, the integration of generation and transmission system reliability forms a composite power system model. The inclusion of load forecast uncertainty for the solution of unit commitment problem will give more accurate assessment of spinning reserve ...

The literature on competing auctions offers a model where sellers compete for buyers by setting reserve prices. An outstanding conjecture (e.g., Peters and Severinov 1997) is that the sellers post prices close to their marginal costs when the market becomes large. This conjecture is confirmed in this paper: we show that if all sellers have zero costs, then the equilibrium reserve price converge...

The process through which Federal Reserve decisions about monetary policy are transmitted to the federal funds market has changed significantly in recent years. In 1994 the Federal Open Market Committee (FOMC) began to issue a public statement whenever it increased or decreased its target for the federal funds rate. This target is now the focus of activities at the Trading Desk at the Federal R...

Numerical economic models of energy fall into two general categories: models analyzing within energy sector issues and models examining the interaction between the energy sector and the rest of the economy. The first category are mostly partial equilibrium models with a very detailed and disaggregated representation of the energy sector. Although very useful for sector planning purposes this cl...

In Part II of this two-part paper, we analyze the marginal prices derived in Part I of this two-part paper within a robust optimization framework. The load and generation are priced at Locational Marginal Price (LMP) while the uncertainty and generation reserve are priced at Uncertainty Marginal Price (UMP). The Financial Transmission Right (FTR) underfunding is demonstrated when there is trans...

We study the dynamics of liquidity provision by dealers during an asset market crash, described as a temporary negative shock to investors’aggregate asset demand. We consider a class of dynamic market settings where dealers can trade continuously with each other, while trading between dealers and investors is subject to delays and involves bargaining. We derive conditions on fundamentals, such ...

This paper reviews analytical work carried out by central banks that participated in the Autumn Meeting of Central Bank Economists on “The evolving inflation process” which the BIS hosted on 28-29 October 2005. The paper first discusses efforts to document the univariate statistical properties of inflation and how they have changed over the last decades. It then reviews studies of disaggregated...