کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
5034628 1370086 2016 19 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
Price discontinuities in the market for RINs
موضوعات مرتبط
علوم انسانی و اجتماعی اقتصاد، اقتصادسنجی و امور مالی اقتصاد و اقتصادسنجی
پیش نمایش صفحه اول مقاله
Price discontinuities in the market for RINs
چکیده انگلیسی

In the last few years, a market has emerged for Renewable Identification Numbers (RINs), a unique 28-character alphanumeric code assigned to each domestically produced and imported gallon of renewable fuel. As with many commodity markets, the arrival of new information can lead to unexpectedly rapid changes - or jumps - in prices; this suggests that RINs prices may follow a more complex process than geometric Brownian motion (GBM). We investigate the potential presence of jumps, as well as time varying volatility in the spot price for RINs. Our results demonstrate that allowing for jumps and time-varying volatility provides statistically important improvements in the modeling of prices, relative to GBM. Both jumps and time varying volatility can contribute to the fatness of the tails in the distribution of price returns, which has implications for investments in capital projects linked to renewables.

ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Journal of Economic Behavior & Organization - Volume 132, Part B, December 2016, Pages 79-97
نویسندگان
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