by Auyang Wai Keung. / Thesis (M.B.A.)--Chinese University of Hong Kong, 1999. / Includes bibliographical references (leaves 58-59). / ABSTRACT --- p.ii / TABLE OF CONTENTS --- p.iii / LIST OF ILLUSTRATIONS --- p.v / LIST OF TABLES --- p.vi / PREFACE --- p.vii / CHAPTER / Chapter I. --- INTRODUCTION --- p.1 / Background of Electric Power Industry --- p.2 / History of Utilities Pricing --- p.4 / Peak-load Pricing --- p.5 / "Power Generation, Transmission and Distribution" --- p.6 / Form of Power Generation and Their Cost Structure --- p.7 / Nuclear Power --- p.7 / Hydropower --- p.8 / Thermal Power --- p.9 / Load Curve Analysis --- p.11 / Summary --- p.12 / Chapter II --- METHODOLOGY --- p.14 / Chapter III --- EFFICIENCY PRICING --- p.15 / Assumption of the Study --- p.15 / Overview of Natural Monopoly --- p.15 / Marginal Cost Pricing with Subsidization --- p.17 / Deviate from Marginal Cost Pricing --- p.18 / Efficiency Pricing Using Linear Pricing --- p.18 / Ramsey Pricing --- p.19 / Efficiency Pricing Using Nonlinear Pricing --- p.23 / Uniform Two-part Tariffs --- p.23 / Block Tariffs or Multipart Tariffs --- p.23 / Hopkinston Electricity Tariff --- p.25 / Rationale for Two-part Tariff --- p.26 / Chapter IV --- PEAK-LOAD PRICING --- p.28 / Model of Peak-load Pricing --- p.28 / Implication of the Model --- p.32 / Full Capacity Never Reach --- p.32 / Peak-period Price Exceeds the Off-peak-period Price --- p.32 / Deficit or not at Optimum Prices --- p.33 / Welfare Maximization --- p.34 / Diverse Technology --- p.36 / Case 1 --- p.38 / Case 2 --- p.38 / Case 3 --- p.38 / Practical Considerations for Peak-load Pricing --- p.40 / Benefit Analysis --- p.40 / Principle Cost of Adopting PLP --- p.43 / Chapter V --- CASE STUDY: A UTILITY IN GUANGDONG PROVINCE --- p.44 / Background of the CPC --- p.44 / Purchasing Process of Energy from Network and Local Power Plants by CPC --- p.45 / Selling Process of Energy to Consumers by CPC --- p.46 / Reasons of Unsuccessful Peak-load Pricing in Guangdong Province and CPC --- p.48 / Supply and Demand --- p.48 / Demand Elasticity --- p.51 / Substitution --- p.52 / Chapter VI --- CONCLUSION --- p.53 / Energy Purchasing from Network --- p.53 / Power Generation Separate from Utility --- p.54 / Pool Pricing --- p.54 / Conclusion --- p.56 / Appendix 1 --- p.57 / BIBLIOGRAPHY --- p.58

Lam, Lai Fong. / Thesis (M.Phil.)--Chinese University of Hong Kong, 2007. / Includes bibliographical references (p. 47-50). / Abstracts in English and Chinese. / ABSTRACT --- p.ii / ACKNOWLEDGEMENTS --- p.iv / LIST OF TABLES --- p.vi / LIST OF FIGURES --- p.vi / CHAPTER / Chapter I --- INTRODUCTION --- p.1 / Chapter II --- LITERATURE REVIEW --- p.6 / Chapter III --- THE EXCHANGE RATE REGIMES OF THE FOUR NIES --- p.10 / Review of the Exchange Rate Regimes of the Four NIEs / Frankel-Wei Regression / Chapter IV --- METHODOLOGY --- p.19 / Measurement of the Monetary Independence / Specification of Model / Chapter V --- EMPIRICAL RESULTS --- p.2? / Unit Root Test / The Endogeneity Test / Cointegration Test and Error Correction Model / Chapter VI --- CONCLUSIONS --- p.37 / APPENDICES --- p.41 / BIBLIOGRAPHY --- p.47 / TABLES --- p.51 / FIGURES --- p.59

This dissertation treats two different themes. The first, addressed in Chapter 1, regards the pricing of interest rate swaps. The second, studied in the remaining two chapters, regards the implications of monetary policy for the term structure of interest rates.The pricing of interest rate swaps An interest rate swap is an agreement between two parties to exchange fix for floating interest rate payments for a certain period of time. Floating rate payments are made at a floating-rate index, e.g. the three-month interbank rate, while the fixed rate payment, the swap rate, is determined on the market. The swap rate may include a compensation for credit risk depending on the counterparty's credit quality, but in the standard agreement there is no exchange of principal, only interest is transacted, and this effectively reduces concerns about credit risk. The swap spread for a given maturity is the difference between the swap rate and the risk-free rate, measured as the yield on a government bond with similar cash flows. If the standard swap agreement entails negligible credit risk one might expect swap spreads to be low and stable, but market swap spreads vary over time. There are periods when swap spreads are low in accordance with the general theory, but there are also periods when swap spreads reach levels that seem high.The first chapter of this dissertation examines a setting where a positive swap spread arises as part of an equilibrium in a perfectly competitive capital market. The model is one of insurance under adverse selection. A firm that seeks debt financing can insure itself against interest rate risk either by borrowing long-term or by borrowing short-term and entering a pay fix - receive float interest rate swap. The latter alternative allows for a partial hedge as the firm can choose to swap only a fraction of the nominal amount. In this setting, if firms' credit quality and interest rate risk tolerance are correlated creditors can use the pricing of interest rate swaps as a screening device. A low-risk firm, being a firm with favorable private information, selects short-term borrowing and partial insurance. A high-risk firm, being a firm with less favorable prospects, is by assumption also less risk tolerant. It therefore has a higher demand for insurance and the equilibrium swap spread is set such that the high-risk firm finds it more beneficial to borrow long-term at a cost that exceeds the expected cost from short-term financing, but that provides a full insurance to interest rate risk. Monetary policy and the term structure of interest rates Taken separately monetary policy and term structure modeling are two well-established research areas each comprising a substantial amount of research. But relatively few attempts have been made to integrate the two. The last two chapters of this dissertation take the view that the conduct of monetary policy is an essential element in the determination of the term structure of interest rates, and that explicitly considering the role of amonetary authority in the analysis has a potential of enhancing our understanding of term structure dynamics, and its relation to macro-economic fundamentals in particular. This approach to the term structure is supported by the fact that the analytical framework developed in the literature on optimal monetary policy translates conveniently into a setting well suited for term structure analysis. Chapter 2 makes the point in the simplest setting. A standard model of optimal monetary policy is reformulated in continuous time. Combined with a parameterized form for the market price of risk this produces a standard term structure model with well-known characteristics. This model is estimated on US data for the period 1987 - 2002, treating state variables as latent factors of the term structure. The parameters that are estimated comprise parameters describing the monetary transmission mechanism, parameters describing the monetary authority's preferences and parameters describing the market price of risk. Our estimation technique differs from comparable estimations in the monetary policy literature as these typically take state variables to be directly observable measures of macro-economic aggregates. The results using term structure data are both similar and different to previous findings. The main difference when using term structure data is that the central bank's estimated policy is more aggressive, i.e. more responsive to changes in the underlying state variables.Chapter 3 is devoted to the zero bound on nominal interest rates. While the zero bound is well recognized in the literature on term structure modeling, not much has been said about term structure dynamics under the special circumstance that the short rate is close to zero. I find the optimal monetary policy approach to be particularly well suited for this analysis. The chapter studies a continuous time reduced form version of the monetary transmission mechanism. The monetary authority's optimization problem is formed according to two specifications, interest rate stabilization and interest rate smoothing. For the former the optimization problem is solved analytically, while numerical procedures are adopted forthe latter. The chapter then turns to study implications for the term structure under risk-neutrality. Term structure equations are solved numerically and implications for the term structure are discussed. Data for a low-interest rate country like Japan for 1996 - 2003 exhibits s-shaped yield curves and yield volatility curves. This shape is found to be consistent with a smoothing objective for the short rate. / <p>Diss. Stockholm : Handelshögskolan, 2004</p>

Thesis (Ph. D.)--University of Kansas, 2002. / Includes bibliographical references (leaves 115-123).

Typescript (photocopy). / Digitized by Kansas Correctional Industries

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published_or_final_version / Business Administration / Master / Master of Business Administration

published_or_final_version / Economics and Finance / Master / Master of Economics

The physical properties and dynamic processes that control effusions of rhyolitic lavas are poorly constrained because of a paucity of direct observations. To assess the pre-eruptive storage conditions, eruptive ascent, and subaerial emplacement for a suite of volumetrically diverse rhyolitic lavas, I studied 10 obsidian lavas from Yellowstone Caldera, Wyoming and Mono Craters, California. Storage, ascent, and emplacement of those lavas were quantitatively constrained using phenocryst compositions, high temperature experiments, microlite textures, and compositional gradients surrounding spherulites. Compositions of phenocrysts and quartz-hosted glass inclusions indicate the magmas at Yellowstone were stored at 750±25 °C in the shallow crust (<7 km), in agreement with phase equilibria experiments. Following the initiation of an eruption, magma leaves the chamber and ascends in a conduit. Microlite number density can be used to quantify eruptive ascent rates. To generate the observed microlite number densities (10⁸·¹¹±⁰·⁰³) to 10⁹·⁴⁵±⁰·¹⁵ cm⁻³), the magmas decompressed at ~1 MPa hour⁻¹, equivalent to ascent rates of ~10 mm s⁻¹. Upon subaerial emplacement, microlites act as rigid particles in a deforming fluid (lava), and hence their 3D orientations could indicate flow direction and how strain accumulates in the fluid during flow. Microlites are strongly aligned in samples from all flows, but variations in alignment were found to be independent of flow volume or distance travelled. Together, those observations suggest that strains accumulated during subaerial transport must be small (<2). Instead, microlites most likely aligned in response to strain in the conduit, which can be generated by collapse and flattening. Upon reaching the surface, the cooling history and longevity of rhyolitic lavas are critical for developing models of emplacement and hazard assessment. Compositional gradients surrounding spherulites provide one method to assess such temporal characteristics. Spherulites, crystalline spheres of radiating quartz and feldspar, form by crystallization of obsidian glass in response to cooling. An advection-diffusion model was developed to simulate the growth of spherulites and compositional gradients that develop in the surrounding glass during spherulite growth. Observed gradients are consistent with spherulites growing between ~700 and ~400 °C, and cooling at rates of 10⁻⁵·²±⁰·³) °C s⁻¹. / text