Domestic petroleum-related expertise utilization and Nigeria's oil industry survival: A multicriteria decision analysis

Despite Nigeria's current economic crisis and the need to remove control structures which were originally designed to protect national interest so as to attract foreign investment in upstream activities of its oil sector, the notion of an indigenously controlled oil sector is still alive in the country. The current paper utilizes a multiperiod goal programming model to examine the effect the enforcement of Nigeria's Petroleum Decree on the utilization of domestic petroleum-related expertise would have on the survival of the multinational oil companies and, therefore, of the oil industry. The results indicate that there are some benefits to the nation in enforcing the Decree, but that to do so now will trigger a chain of events that will culminate in the demise of the oil industry. The results also highlight the danger in using legislation to regulate strategic industries and the role operational researchers can play in public policy design and decisions in the future.     

A RATIONALIZATION OF UPS AND DOWNS OF OIL PRICES BY SLUGGISH DEMAND,UNCERTAINTY, AND NONCONCAVITY

Motivated by the recent switching between “low” oil prices and “high” oil prices, this paper provides an economic explanation for oil price volatility. Given the characteristics of the oil market—sluggish, concave, and uncertain demand, as well as noncompetitive players—the corresponding profit maximizing strategy is to switch between a low price and a high price depending on whether the current demand is below or above a certain threshold. This provides an economic rationalization of oil price volatility (including the low prices) as alternative, or at least as complement, to the typically offered political explanations.     

国际天然气价格驱动因素的结构性变化

页岩气开采技术的大规模应用增加了非常规天然气供应潜力,对国际天然气市场供需格局产生了较大冲击。本文利用带结构断点的协整检验、时变系数模型和条件误差修正模型等方法系统地研究了天然气价格与原油价格的动态关系,以及库存、天气和投机等短期因素对气价变化的影响。结果显示,国际天然气价格与原油价格间的协整关系在2005年飓风季与2008年金融危机期间发生了结构性变化,而且原油价格对天然气价格的影响强度呈现倒U型结构。此外,极端天气、突发性事件及投机等短期因素对气价存在显著的短期影响。不过,随着天然气供应出现过剩局面,天然气价格对这些短期因素的敏感性已大幅降低。     

基于SEC准则的油田开发规划不确定优化模型及算法

在油价低迷的国际背景下,上市石油公司进行油田开发规划时越来越重视经营效益。美国证券交易委员会(SEC)要求上市石油公司采用产量法计提折耗,极大地影响了石油公司开发规划方案的制定。油田开发受到自然、技术等多种不确定因素的影响,在制定开发规划时需充分考虑这些不确定性。本文基于不确定理论,考虑措施增油效果和新增投资两类不确定参数,以经营效益最大化和新增投资最小化为目标,构建了基于SEC准则的油田开发规划不确定优化模型,并利用差分进化算法求解,给出措施工作量的帕累托解集。本文以D油田年度规划为例,通过构建模型并求解,给出开发规划方案集,并进一步分析SEC储量的下降对上市石油公司经营效益、新增投资回报率、油气总产量、油气完全成本和措施工作量的影响,为企业制定开发规划方案提供参考。     

Evaluating the Effects of Privatizing Electricity

In this text of the 1993 Blackett Memorial Lecture, a critical assessment of the effects of electricity privatization in England and Wales is Undertaken, with a particular emphasis upon understanding the new economic and strategic forces in the market. This leads to some discussion of the type of modelling approaches that can provide insight into these processes. In particular, a key role for business simulation, alongside optimization methods and economic analysis, is identified as a basis for an effective regulatory framework to manage the transition to more efficient market competition. Emphasis is placed upon recognizing the impacts of risk and competition on the decision-making of the new companies in the market, and upon analysing the ‘short-termism’, the ‘dash-for-gas’, the demise of the coal industry, consumer prices and the nuclear issues in these terms.     

境外机构投资者持股周期与公司治理绩效关系的实证研究

选取2003-2015年我国沪深A股上市公司中有境外机构投资者(QFII)持股的公司作为研究样本,将QFII持股周期划分为短期、中期和长期三类,通过理论分析和实证分析研究QFII不同持股周期对上市公司治理绩效的影响,研究结果表明,QFII短期持股时,奉行财务投资理念,通过买卖价差获取投资收益,不会对公司治理绩效产生影响;QFII中期持股时,会对公司治理绩效产生影响,但影响作用较微弱;QFII长期持股时,主要奉行价值投资理念,通过积极参与公司治理影响公司治理绩效,获得高额投资收益。本文的研究结论对我国境内机构投资者和上市公司具有一定的借鉴作用,同时可以为我国引入QFII提供政策建议。     

基于ECM模型的跨国公司主导型产业集聚发展研究

本文对跨国公司在苏州工业园区的投资与技术现状,以及制造业产业集聚现状进行描述,进一步阐述了跨国公司对园区产业集聚影响的机理及程度。研究发现:苏州工业园区中跨国公司投资、跨国公司技术对园区制造业产业集聚程度起到一定的强化作用,并且跨国公司投资的作用在两年后显现,短期影响比长期影响更强。跨国公司对产业集聚的影响正在由投资拉动逐渐向技术推动转变。     

基于“黑箱”问题的政府碳排放调控政策设计及影响分析

本文在低碳经济背景下,针对我国制造企业生产和碳排放现状,在设定经济发展速度所决定的制造企业限额碳排放约束下,构建了基于“黑箱”问题的碳排放量-环境政策模型,研究政府如何制定碳税和补贴相结合的复合调控政策以控制企业的碳排放量。通过数值仿真结果,分析企业产量、产品价格与调控政策之间的关系,得出结论:基于“黑箱”问题的碳排放量-环境政策能够在降低碳排放量的同时维持企业的发展,单位碳税和超标碳排放量并不是一定的线性关系,但是总趋势可以看出,超标的碳排放量与单位碳税是正向关系;不同情境下的单一制造企业或不同情境下的多个制造企业的单位碳税和补贴不同,政府可以设置差异化碳税和补贴;碳税和补贴的变动对产品价格的变化幅度在-1%和1.5%之间,说明可以在降低碳排放量和满足生产量的同时使现实生活中产品的价格保持基本稳定。     

The ability to compensate for suboptimal capacity decisions by optimal pricing decisions

Certain companies have high capacity cost and rather moderate production cost. These companies usually assume that deciding about their capacity is quite critical. Frequently, however, they are able to adjust the demand for their products to the available capacity by setting appropriate prices, that is higher (lower) than current prices in the presence of under-capacity (over-capacity). We argue that appropriate prices can reduce the adverse effects of non-optimal capacities. We analyze the sensitivity of profit in such a situation for a company in a monopolistic market, selling a non-storable product and facing fluctuating but interdependent demand across two time periods which allows to profitably differentiate prices. Therefore, we state optimality conditions for prices in situations of variable and given capacities and describe a procedure to determine them. The main suggestion of this analysis is that, within the bounds of the normative models and specific parameters examined, optimal prices can substantially reduce the adverse effects of capacity deviating from its optimum. In this way, profit is rather insensitive to deviations of capacity from its optimum. The implications of this finding are discussed for a number of situations.     

基于“黑箱”问题的政府碳排放调控政策设计及影响分析

本文在低碳经济背景下,针对我国制造企业生产和碳排放现状,在设定经济发展速度所决定的制造企业限额碳排放约束下,构建了基于“黑箱”问题的碳排放量-环境政策模型,研究政府如何制定碳税和补贴相结合的复合调控政策以控制企业的碳排放量。通过数值仿真结果,分析企业产量、产品价格与调控政策之间的关系,得出结论:基于“黑箱”问题的碳排放量-环境政策能够在降低碳排放量的同时维持企业的发展,单位碳税和超标碳排放量并不是一定的线性关系,但是总趋势可以看出,超标的碳排放量与单位碳税是正向关系;不同情境下的单一制造企业或不同情境下的多个制造企业的单位碳税和补贴不同,政府可以设置差异化碳税和补贴;碳税和补贴的变动对产品价格的变化幅度在-1%和1.5%之间,说明可以在降低碳排放量和满足生产量的同时使现实生活中产品的价格保持基本稳定。     

A survey of stochastic modelling approaches for liberalised electricity markets

Liberalisation of energy markets, climate policy and the promotion of renewable energy have changed the framework conditions of the formerly strictly regulated energy markets. Generating companies are mainly affected by these changing framework conditions as they are exposed to the different risks from liberalised energy markets in combination with huge and largely irreversible investments. Uncertainties facing generating companies include: the development of product prices for electricity as well as for primary energy carriers; technological developments; availability of power plants; the development of regulation and political context, as well as the behaviour of competitors.     

国际油价波动对我国经济影响的CGE分析

石油价格变动会引起一个经济体全方位的反应.本文利用一个中国CGE模型—MCHUGE模型,研究油价上涨20%对我国经济发展的影响.研究结果表明,石油生产、加工、冶炼以及部分化工等跟原油关系最直接的产业将从石油涨价中获益;以石油为原料的行业由于成本不容易转嫁,大部分会受到石油涨价的影响;其他替代能源产业因需求大幅上升而涨价;汽车和机械制造业将受到一定的冲击.在此基础上,我们提出了一些政策建议.     

Initial basis for a national planning model

Analysis of pending national policy takes on greater importance each day to supply policy makers with much needed data on the overall economic effect such policies will have on total employment, income, output, tax revenues, and the general price level throughout the economy. This short paper examines the potential for integration of existing modeling technology into a meaningful national planning model to provide a sound set of economic indices leading to enhanced market efficiency and resource use. Initial efforts at integrated modeling and analysis are described, together with indications of their levels of success in replicating the existing economic environment. Emphasis is placed on determination of shadow prices in a growing economy and their incorporation into the systematic development of a national planning model.     

VALUING A TIMBER HARVEST CONTRACT AS A HIGH‐DIMENSIONAL AMERICAN CALL OPTION VIA LEAST‐SQUARES MONTE CARLO SIMULATION

Abstract Industrial timberland ownership in the United States has shifted substantially in the last 20 years. Having sold their fee‐owned timberlands, forest products companies relied heavily on the open market for raw timber. To reduce their exposure to market risks, however, forest products companies have been using a number of supply chain instruments, such as timber harvest contracts. As these vehicles become increasingly important to the forest industry, it is necessary and important to determine their economic values. In this study, we treated a 3‐year timber harvest contract on a 30‐year‐old loblolly pine plantation as a high‐dimensional American call option and calculated its value by the least‐squares Monte Carlo simulation technique. The estimated values of such a contract ranged from $1,693/ac to $1,984/ac under two timber price assumptions. With reasonable starting timber prices and strike price in the simulation, random timber prices led to higher contract values. Results from this study can help private landowners, timber brokers, and forest products companies better manage their business risks.     

Scope for Exploitation of Consumers Through Speculation: A Dynamic- Programming Approach to the Case of the Indian Sugar Industry

The Government of India (G.O.I.) controls the quantity of sugar released into the domestic market on a monthly basis. This forms a part of the package of public policies affecting the development of the Indian sugar industry, which includes protection from foreign competition, simultaneous existence of an open market for sugar and distribution of sugar at subsidized prices to consumers through the public distribution system (P.D.S.), minimum support prices for the farmers producing sugar-cane, and differential prices paid to sugar factories for the sugar taken over by G.O.I. for the P.D.S.Using a dynamic-programming approach, this paper describes a worst case analysis of the scope for the traders to exploit the consumers under the current policy of controls over releases into the domestic market. The results show the marginal importance of such controls in saving the consumers from the exploitation by traders. Secondly, on the basis of wider research done by the authors, it is concluded that the scope provided to the traders for the exploitation of consumers through the other policies of the package is of such a magnitude as to make the controls over the releases into the market a relatively insignificant policy intervention for protecting the consumers.     

油砂开发经济性评价方法研究及应用

随着我国油企进入加拿大油砂行业,如何降低油砂开发项目的风险并提高决策的科学性变得愈发重要。油砂开采的经济性作为投资决策的重要着力点,研究相应的经济评价方法也就有了十分重要的意义。本文较为全面的分析了露天开发油砂及蒸汽辅助重力卸油技术(SAGD)开发油砂的技术特点;选择折现现金流理论作为理论基础分别构建了露天开发与SAGD开发油砂项目经济评价模型,并对模型中涉及的收入、投资、成本等参数的估算方法进行了系统的研究;通过对新疆某油砂试采区的实际评价,验证了方法的可行性。该方法作为油砂开发项目经济评价的初步探索,将为加拿大和我国油砂开发项目的经济评价工作提供一定的参考依据。     

Analysis of housing prices by GEE and GLMM methodologies: a longitudinal study

The Spanish economic crisis has led to a significant reduction in housing sales, and therefore, there has been a decrease in housing prices. In this paper, we analyze changes in the average housing price throughout Spain. We use quarterly data from a random sample of 150 municipalities from the first quarter (Q1) of 2005, before the financial crisis started, to Q1 2010. Our analysis uses generalized estimating equation and generalized linear mixed model approaches. Data published for Q2, Q3, and Q4 2010 are compared with the data fitted using these models. Finally, the methods are compared with time‐series models. Copyright © 2012 John Wiley & Sons, Ltd.     

An assessment of interfuel substitution by electric utilities

This paper applies a translog model to a pooled sample in order to measure the extent of regional interfuel substitution effects in the electric power industry. The results obtained indicate that relative changes in fuel prices both regionally and nationally have significant effects on fossil fuel consumption. This, in turn, has important implications for public policy. In particular, the market system appears better able to deal with exogenous shifts in energy supplies than has frequently been assumed in the formulation of public policies toward the energy crisis.Further, compared to aggregate United States time series estimates, a more elastic fuel price response is found thus questioning whether full long-run adjustment is being measured in the pure time series estimates. Given the importance of the latter in energy tax policy analysis for example, the question is indeed more than academic.     

Asset portfolio securitizations and cyclicality of regulatory capital

This paper analyzes the level and cyclicality of regulatory bank capital for asset portfolio securitizations in relation to the cyclicality of capital requirements for the underlying loan portfolio as under Basel II/III. We find that the cyclicality of capital requirements is higher for (i) asset portfolio securitizations relative to primary loan portfolios, (ii) Ratings Based Approach (RBA) relative to the Supervisory Formula Approach, (iii) given the RBA for a point-in-time rating methodology relative to a rate-and-forget rating methodology, and (iv) under the passive reinvestment rule relative to alternative rules. Capital requirements of the individual tranches reveal that the volatility of aggregated capital charges for the securitized portfolio is triggered by the most senior tranches. This is due to the fact that senior tranches are more sensitive to the macroeconomy. An empirical analysis provides evidence that current credit ratings are time-constant and that economic losses for securitizations have exceeded the required capital in the recent financial crisis.     

Impact of taxation on international transfer pricing and offshoring decisions

A multinational company may move production to a foreign country to take advantage of low manufacturing cost, and/or experience tax savings. Transfer prices play an important and strategic role on income shifting by multinational companies. In this paper, we construct a framework for optimal decision making in global supply chains with uncertain and price-dependent demand, propose methods to improve global supply chain parties’ performance, and explore schemes to integrate global supply chains. The optimal pricing and offshoring decisions are investigated for different situations where the low foreign production cost and low foreign tax rate exist or only one of them is available. The case of low foreign tax rate without the advantage of low foreign production cost provides the most interesting findings that partial offshoring dominates when a certain threshold is met. In addition, the double marginalization is examined in decentralized global supply chains similar to the mechanism in newsvendor problems. Due to the existence of the tax jurisdiction, the double marginalization cannot be completely eliminated by coordinating schemes. Finally, the traditional buy back contract is found to be unable to coordinate global supply chains, while a modified sales sharing contract can improve the performance of the global supply chain.