Browsing by study line "Taloustieteellisen tutkimuksen opintosuunta"

During the past decade, central banks have become even more central to modern economies than before. Their main goal is price stability, and they try to achieve it with various methods. The effectivity of the traditional methods, especially controlling the short-term interest rates, has become smaller due to the zero lower bound constraint, and new unconventional methods have been introduced. This thesis investigates the effects of the unconventional monetary policy actions of the European Central Bank. Structural vector autoregressive models are one of the main tools in studying the effects of the monetary policy. To identify a monetary policy shock, one traditionally needs to impose restrictions to the model. However, that requires restrictive assumptions about the dynamics of the model which is being studied. To overcome this issue, one can identify the shocks statistically by some properties of the data, without any additional restrictions. A key benefit of statistical identification is the possibility to test the plausibility of previously used sign or zero restrictions. In the empirical application of this thesis, a Bayesian vector autoregressive model identified statistically based on non-normality of the error terms is utilised to study the effects of the European Central Bank's unconventional monetary policy. The Bayesian estimation was performed with a Differential Evolution Markov Chain algorithm, allowing fast calculation. The empirical analysis resulted in two key findings. First, the impulse response functions implied by the model are in line with previous studies and the statistically identified model gives support to the previously used sign restrictions. Second, the model is sensitive to the sample period which suggests that the effects of the European Central Banks policy actions might have changed over time.

The electricity sector plays a central role in climate change mitigation and adaptation policies. At the same time, it is also affected by the climate. The ongoing clean energy transition has made the link between electricity sector and weather even stronger since the increasing intermittent renewable energy production is increasingly weather dependent and cannot respond to abrupt changes in demand. Therefore, understanding how the electricity demand reacts to the changes in the climate is crucial for designing policies that support sustainable transition to the net zero economy. The thesis sheds light on these challenges and studies the effects of temperature on the intra-day electricity load in four European countries, Finland, Germany, France and Spain. The research questions are how temperature affects the hourly electricity consumption and whether these effects are different at different hours of the day. The sample consists of data on aggregate hourly electricity load and hourly population weighted temperatures over a period of over 10 years. The hour-specific effects of temperature on electricity load are estimated with a linear regression model of high-frequency fixed effects that allows credible identification of the short-run effects. However, the approach can not address the role of changing behavioural, economic or technological factors which are left for future work. The effects are estimated for each country separately, which also allows to capture the heterogeneity between countries. The results confirm the finding in the previous literature of the non-linear relationship between temperature and electricity load. In particular, electricity load is estimated to be more sensitive to temperature at the extreme temperatures and a comfort zone at which the electricity consumption is estimated to be insensitive to changes in temperatures is found for all countries. However, in Finland and France, the temperature effects are more pronounced at the cold temperatures, whereas in Germany and Spain, the effects are more symmetric. Moreover, in France, Germany and Spain, a comfort zone is estimated to be at colder temperatures in the morning and to shift to warmer temperatures in the afternoon. This implies that, at temperatures approximately between 10℃ and 20℃, heating is more sensitive to changes in temperature at the afternoon hours whereas cooling is more sensitive to changes in temperature at the early morning hours in the three countries. In Finland, the effects of temperature are relatively constant between hours. In conclusion, the results imply that temperatures contribute to the changing dynamics in the electricity sector, affecting both the intra-day variability and the level of the electricity consumption. However, the role of temperatures in these dynamics is relatively moderate.