Gerard H. Kuper

In Europe, gas market mergers aim at reducing restrictions on gas wholesale markets. Market mergers also allow network users to book transport capacity at different gas transmission system operators (TSOs), which may give rise to inter-TSO competition. Our theoretical analysis reveals the incentive for TSOs, operating under a revenue-cap regulation in merged markets, to charge lower tariffs at borders where different TSOs offer capacity, compared to borders where only one TSO offers capacity. This incentive does not directly result from revenue-cap regulation but is due to efficiency benchmarking. We test this hypothesis by applying a panel data analysis to tariffs charged at German border points between 2015 and 2018. In line with our hypothesis, we find lower tariffs at those border points where network users have a choice between different TSOs. An additional sensitivity analysis differentiating between transit and meshed networks confirms this result. We conclude that German TSOs, operating in merged markets and under a revenue-cap regime with efficiency benchmarking, compete for demand at borders at which different TSOs offer capacity.

We construct a continuous sovereign debt crisis index for four large Latin American countries for the period 1870-2012. To obtain the optimal set of indicators and the optimal value of the threshold for dating crises we apply the receiver operating characteristic (ROC) curve. Our sovereign debt crisis index is a weighted average of three indicators: the debt-to-GDP ratio, the external interest rate spread, and the exports-to-imports ratio. The continuous index allows a more advanced analysis of sovereign debt crises as illustrated with an investigation of the relationship between sovereign debt crises and business cycles in Latin America

We examine the dynamic relationship between stock returns and exchange rate changes using daily data from January 1994 to September 2013 for six East Asian countries. We use the multivariate GARCH-DCC model in order to disclose the relationship between stock markets and foreign exchange markets which is important for understanding financial stability. The estimation results reveal time varying correlations in the pre- and post-Asian crisis and the Global Financial Crisis periods for all countries. The correlations are stronger when the crisis intensifies. The degree of interdependence between both markets reflects a mutual markets response to shocks and changes in policy.