http://hdl.handle.net/2261/135 2013-05-22T11:05:05Z http://hdl.handle.net/2261/53636 タイトル: 「工場の電力需要に関するアンケート調査」調査結果の概要 速報版 著者: 五十川, 大也; 大橋, 弘; 中村, 豪; 西川, 浩平; 花田, 真一 抄録: 本稿は2012年秋に関東及び近畿地方の法人電力需要家に対して行ったアンケー ト調査結果をまとめたものである。調査の概要（第1章）に続いて、東日本大震災前後における法人電力需要家の生産活動の変化を補足している（第2 章）。データから浮き彫りにされる電力需要の状況を概観した上で（第3章）、2012年夏に おける需給調整メニューの影響評価を行った（第4章）。本調査に基づくパネル回帰分析の結果、2012年夏の需給調整メニューの効果について以下の3 つの点が明らかになった。（１）需給調整メニューに契約すること によって需要家が支払う電力料金は平均で12%程度下落した。（２）最大需要（ピーク）電力以上に使用電力量を減らす効果の方が大きく、負荷平準化への貢献は限定的だった。（３）需要家の規模が大きくなるほど需給調整メニューからの料金割引が大きいものの、最大需要電力の削減率には大きな変化は見られない。 長期的な電源開発投資の抑制に繋げることが需給調整の目的であるならば、需給調整メニューの効率的・効果的な設計への更なる検討の余地があることが明らかになった（第5章）。; This report summarizes main results from the questionnaire concerning industrial electricity demand conducted to individual Japanese factories located in the Kanto and Kinki regions in the fall of 2012. The questionnaire is particularly interested in evaluating a new price scheme for the purpose of containing the peak demand. Three results are reported by use of the panel data analysis: (1) the new price scheme dropped the electricity bill charge by about 12 percent; (2) It reduced the electricity consumption (in terms of kWh), more than the peak demand (in terms of kW), worsening the load factor; (3) the larger the plant size, the greater the discount on the electricity bill charge due to the new price scheme, but the peak demand is relatively stable by plant size. 2013-04-01T00:00:00Z http://hdl.handle.net/2261/53644 タイトル: Realized Stochastic Volatility with Leverage and Long Memory 著者: Shirota, Shinichiro; Hizu, Takayuki; Omori, Yasuhiro 抄録: The daily return and the realized volatility are simultaneously modeled in the stochastic volatility model with leverage and long memory. The dependent variable in the stochastic volatility model is the logarithm of the squared return, and its error distribution is approximated by a mixture of normals. In addition, we incorporate the logarithm of the realized volatility into the measurement equation, assuming that the latent log volatility follows an Autoregressive Fractionally Integrated Moving Average (ARFIMA) process to describe its long memory property. Using a state space representation, we propose an efficient Bayesian estimation method implemented using Markov chain Monte Carlo method (MCMC). Model comparisons are performed based on the marginal likelihood, and the volatility forecasting performances are investigated using S&P500 stock index returns. 2013-03-01T00:00:00Z http://hdl.handle.net/2261/53643 タイトル: A Discrete/Continuous Choice Model on the Nonconvex Budget Set 著者: Miyawaki, Koji; Omori, Yasuhiro; Hibiki, Akira 抄録: The decreasing block rate pricing is a nonlinear price system often used for public utility services. The residential gas services in Japan and the United Kingdom are provided under this price schedule. The discrete/continuous choice approach is used to analyze the demand under decreasing block rate pricing. However, the nonlinearity problem, which has not been examined in previous studies, arises because a consumer's budget set (a set of affordable consumption amounts) is nonconvex and, hence, the resulting model includes highly nonlinear functions. To address this problem, we propose a feasible, efficient method of demand on the nonconvex budget. The advantages of our method are as follows: (i) the construction of an efficient Markov chain Monte Carlo algorithm with an efficient blanket based on the Hermite-Hadamard integral inequality and the power-mean inequality, (ii) the explicit consideration of the (highly nonlinear) separability condition, which often makes numerical likelihood maximization difficult, and (iii) the introduction of normal disturbance into the discrete/continuous choice model on the nonconvex budget set. The proposed method is applied to estimate the Japanese residential gas demand function and evaluate the effect of price schedule changes as a policy experiment. 2013-03-01T00:00:00Z http://hdl.handle.net/2261/53642 タイトル: An Econometric Analysis of Insurance Markets with Separate Identification for Moral Hazard and Selection 著者: Sugawara, Shinya; Omori, Yasuhiro 抄録: This paper proposes a simple microeconometric framework that can separately identify moral hazard and selection problems in insurance markets. Our econometric model is equivalent to the approach that is utilized for entry game analyses. We employ a Bayesian estimation approach that avoids a partial identification problem. Due to the standard identification, we propose a statistical model selection method to detect an information structure that consumers face. Our method is applied to the dental insurance market in the United States. In this market, we find not only standard moral hazard but also advantageous selection, which has an intuitive interpretation in the context of dental insurance. 2013-03-01T00:00:00Z