Thore Johnsen

THE STRUCTURE OF INTERTEMPORAL PREFERENCES UNDER UNCERTAINTY AND TIME CONSISTENT PLANS

Analyse de la structure des preferences intertemporelles, necessaire pour obtenir une planification consistante

Risk management in the oil industry: can information on long-run equilibrium prices be utilized?

Abstract We analyze co-movements between the prices of crude oil and major refined products during the period 1992–1998. Specifically, we explore the existence of long-run equilibrium price relationships, and whether deviations from estimated equilibrium can be utilized for predictions of short-term price changes and for risk management. The econometric evidence strongly supports the hypothesis that crude and product prices are co-integrated. Past deviations from long-term equilibrium are significant in an error correction specification of short-term product price changes. The results represent valuable information for hedging, particularly in integrated oil companies for which price risk is related to margin variations.

On the term structure of interest rates

Abstract This paper tests the one good stochastic growth model with respect to its ability to explain the term structure of real interest rates. We undertake both a qualitative and quantitative analysis. First we assess the changing shape of the yield curve over the model economys ‘business cycle’ and compare our results with what is empirically observed. Second, we employ the model to study various implications of informational and allocative efficiency, properties which the artificial economy must possess. It is found, for example, that long-term rates are less volatile than short-term rates and that holding premia can be highly correlated over time. Third, we study the time-varying risk premium implicit in the economys forward rate structure. A purely quantitative assessment of the models explanatory power is also provided.

Productivity growth, consumer confidence and the business cycle

The objective of this paper is to provide, in the context of a dynamic general equilibrium model, an answer to the following five questions: 1) To what extent does an economy subject to regular variations in labour productivity growth differ from one where labour productivity is constant? 2) What is the impact on major macroeconomic indicators of a one-time change in labour productivity growth? 3) What are the business cycle implications of autonomous (non-falsifiable) changes in growth expectations? 4) What is the potential of such expectation changes for explaining the volatility of consumption to output ratio? 5) Can autonomous changes in growth expectations help us understand recent business cycle episodes?

A Note on the Cost of Collecting Wealth Taxes

We use a CAPM model to estimate the cost of collecting wealth taxes from private Norwegian owners. The cost consists of foregone investment opportunities due to higher required returns on equity. For listed firms, the cost is zero. For non-listed firms, it amounts to more than 250% of the tax revenue.

Petroleum Taxation and Investment Behaviour

Petroleum administration can be regarded as a principal-agent problem. The government allocates exploration and production rights to petroleum companies on behalf of the population. The government is the principal and the companies are agents. With the aim of capturing revenue for the state, the government devises a petroleum tax system which takes account of the investment decisions made by the companies, while acknowledging for the fact that the companies may report strategically to the government. An important issue is how tax deductions are to be treated in investment analysis. A discrepancy arises here between assumptions made in some areas of tax theory and the actual investment analyses conducted by the companies. Tax theory has given rise to discussion and controversial tax proposals for the petroleum sector in Norway, Denmark and Australia. It led, for example, to reductions in tax-related depreciation for the Norwegian petroleum industry in May 2013. The article reviews this tax debate and analyses the implications of basing tax design on counter-factual investment behaviour.