​We develop and estimate a multifactor affine model of commodity futures that allows for stochastic variations in seasonality. We show conditions under which the yield curve and the cost-of-carry curve adopt augmented Nelson and Siegel functional forms. This restricted version of the model is...

This paper examines the relationship between spot and futures prices for energy commodities (crude oil, gasoline, heating oil markets and natural gas). In particular, we examine whether futures prices are (1) an unbiased and/or (2) accurate predictor of subsequent spot prices. We find that while...

Notwithstanding a resurgence in research on out-of-sample forecasts of the price of oil in recent years, there is one important approach to forecasting the real price of oil which has not been studied systematically to date. This approach is based on the premise that demand for crude oil derives...

It is a well established fact that electricity use increases with income. What is less well known is that - despite the positive correlation between electricity use and income - a significant portion of low-income households consume very large amounts of electricity. In this paper, we make a...

This paper examines whether risk-based pricing promotes risk-reducing effort. Such mechanisms are common in private insurance markets, but are rarely incorporated in government assurance programs. We analyze accidental underground fuel tank leaks--a source of environmental damage to water...

This paper examines whether risk-based pricing promotes risk-reducing effort. Such mechanisms are common in private insurance markets, but are rarely incorporated in government assurance programs. We analyze accidental underground fuel tank leaks--a source of environmental damage to water...

This paper examines the relationship between spot and futures prices for energy commodities (crude oil, gasoline, heating oil markets and natural gas). In particular, we examine whether futures prices are (1) an unbiased and/or (2) accurate predictor of subsequent spot prices. We find that while...

Seit dem letzten ifo Heizkostenvergleich zum Preisstand im Winter 1991/92 haben sich einige Eckdaten wesentlich geändert. Der Ölpreis befindet sich auf einem relativ niedrigen Niveau. Auch die Hypothekenzinsen sind vergleichsweise niedrig. Demgegenüber weisen die Bau- und Installationskosten...

Die Preise für Heizöl und Erdgas sind um etwa 30% gestiegen, auch die Fernwärmepreise haben deutlich angezogen, dagegen sind die Strompreise nur leicht erhöht worden. Auch die langfristigen Zinsen, die zur Berechnung der Kapitalkosten herangezogen werden, sind höher als damals. Mit dieser...