Economics and Business Economics Seminar (FIN+CoRE): Thomas Kloster, AU and Magnus Bjørn Frische, AU

Presenter: Thomas Kloster, AU

Title: An ambit field framework for the full panel of day-ahead electricity

Abstract: This paper considers the often overlooked fact that electricity spot prices in individual European generation zones evolve as a panel structure. A general continuous time framework is developed by formulating the panel as an ambit field indexed by a cylinder surface, where the cross sectional dimension is represented by a circle. This requires a treatment of ambit fields on manifolds, but the departure from Euclidean space allows for embedding intrinsic dependence structures into the index set in a flexible and parameter-free way, where the daily delivery periods have a canonical mapping onto the circle. The model is a natural space-time extension of volatility modulated Lévy-driven Volterra processes, which have previously been studied in the context of energy markets, and the pricing of derivatives turns out to be essentially as analytically tractable as in the null-spatial setting. The space-time framework further allows for considering derivatives written on individual delivery periods, where spreads between these constitute an interesting example. As an application, an estimation experiment is carried out on German data, where a semi-parametric model specification is fitted to learn a complex correlation structure in both the temporal and cross sectional dimension.

Presenter: Magnus Bjørn Frische, AU

Title: Green Bonds and Climate Concerns

Abstract: This paper studies the effects of climate change concerns on the offering price premium (”greenium”) when green bonds are issued. Using a sample of U.S. municipal bonds, I document that the greenium increases following increased media attention to climate change topics. Further, I show that the offering type influences the offering price of green bonds. Bonds priced through competitive auctions are more responsive to the effects of climate change concerns, while bonds priced in closed negotiations are less sensitive. This paper sheds new light on the drivers of green bond premia, and reconciles previous conflicting evidence in the pricing of green bonds.