Luca Taschini

Research Fellow

 

Mailing address:      Grantham Research Institute
                                London School of Economics,       
                                WC2A 2AE - LONDON

Telephone:             +44 020 7852 3679

E-mail:                    l.taschini1[at]lse.ac.uk

Website                 Quantitative Environmental Finance


I am an economist, working mostly on the theory of market-based mechanisms, energy economics, and technology change. My current research aims to understand both theoretically and practically the functioning and design of transferable permits systems, including questions of price containment mechanisms, participation restrictions, the linkage of markets and the investigation of policy controls able to promote technology deployment.


Since September 2011, I am a Research Fellow in the Grantham Research Institute on Climate Change and the Environment at the London School of Economics. I am a member of the CESifo Energy and Climate Economics Research Group in Munich and a visiting scholar at the Research Center for Sustainability Science at the Ritsumeikan University in Japan. From September 2009 to January 2010, I was a Visiting Research Fellow at the MIT Joint Program on the Science and Policy of Global Chance, in Boston.


I obtained my Ph.D. from the Swiss Finance Institute at the University of Zurich, working under the supervision of Prof. Dr. Marc Chesney. During my last years at the University of Zurich I was teaching a class on Environmental Finance.

Working Papers

“Reduced-Form Permit Price Models and their Empirical Performances” (with G. Gruell),

        MIT CEEPR Working Paper 09-018; Grantham Research Institute Working Paper 33. - working paper

        Econometric investigation of different reduced-form permit price models.


Experimental Comparison between Markets on Dynamic Permit Trading and Investment in Irreversible Abatement with and without Non-Regulated Companies, (with M. Chesney, M. Wang),

        Grantham Research Institute Working Paper 41; Center for Climate Change Economics and Policy

        Working Paper 51. - working paper and a short policy brief on this paper.

        Analysis of the trading behavior and investment strategies in abatement technology in an inter-       

        temporal cap-and-trade market using a laboratory setting.


The Role of Stocks & Shocks Concepts in the Debate Over Price vs. Quantity (with J. E. Parsons),

        MIT CEEPR Working Paper 11-002; Grantham Research Institute Working Paper 43;

        Center for Climate Change Economics and Policy Working Paper 54. - working paper

        Two pairs of simple examples that help to clarify the role of a key assumption in the analysis of the

        price or quantity controls of emissions in the presence of uncertain costs.


“Pollution Permits, Strategic Trading and Dynamic Technology Adoption”, (with S. Moreno-Bromberg)

        Grantham Research Institute Working Paper 45; Center for Climate Change Economics and Policy

         Working Paper 57. - working paper

        This paper analyses the dynamic incentives for technology adoption under a transferable permits

        system, which allows for strategic trading on the permit market. 


Cost-Effective Payments for Reducing Emissions from Deforestation Under Uncertainty, (with S. Engel, C. Palmer and S. Urech),

        Grantham Research Institute Working Paper 72; Center for Climate Change Economics and Policy

         Working Paper 82. - working paper

        Application of real options to landowner’s land use decisions under uncertain alternative returns.


“Flexibility Premium in Marketable Permits”, in progress.

        Quantification of the premium for flexibility embedded in the price of marketable permits.

Journal Articles

“An Econometric Analysis of Emission Allowances Prices”,  (with M. Paolella),

Journal of Banking and Finance, Vol 32 (10):2022-2032, 2008. - link to journal

        Swiss Finance Institute Research Paper Nr. 06-26.  - working paper             

        Investigation of the statistical distribution of the prices of emission permits.

        Analysis of the models effectiveness in terms of in-sample and out-of-sample

        value-at-risk forecasting.


“Entry and Exit Decision Problem with Implementation Delay”, (with M.Costeniuc and M.Schnetzer), Journal of Applied Probability, Vol. 45 (4):1039-1059, 2008.  - link to journal and working paper

        Study of investment and disinvestment decisions in situations where there is a time lag d > 0 from        

        the time t when the decision is taken to the time t+d when the decision is implemented.


“Environmental Economics and Modeling Marketable Permits”,

Asian-Pacific Financial Markets, Vol. 17 (4):325-343, 2010. - link to journal

        Grantham Research Institute Working Paper 25. - working paper

        This paper reviews fundamental concepts in environmental economics and explores theoretical

        results regarding recent attempts at developing stochastic price models for emission permits.


“The Real Option to Fuel Switch in the presence of Expected Windfall Profits under the EU ETS”,

(with S. Urech), Journal of Energy Markets, Vol. 3 (2):27-47, 2010. - link to journal and working paper

        Evaluation of the value and the activation frequencies of a generation system consisting of coal-fired

        and gas-fired power plants using a real option approach.


“Cap-and-Trade Properties Under Different Hybrid Scheme Designs”, (with G. Gruell),

Journal of Environmental Economics and Management, Vol. 61 (1):107-118, 2011. - link to journal

        Grantham Research Institute Working Paper 26; MIT CEEPR Working Paper  09-019. - working paper

      This paper examines the key design mechanisms of existing and proposed cap-and-trade markets.


“The Endogenous Price Dynamics of Emission Allowances and an Application to CO2 Option Pricing”, (with M. Chesney), Applied Mathematical Finance, forthcoming, - link to journal

        Swiss Finance Institute Research Paper No. 08-02. working paper

        Equilibrium price formation in the presence of asymmetric information.


Short notes, Conference Proceedings and Permanent Working Papers

“Linking Emission Trading Schemes”  (with G. Gruell), Economics of Energy & Environmental Policy - forthcoming, link to journal, working paper and a short policy brief

        Brief model free analysis of the permit price convergence between regional emission trading

        schemes.


“A Comparison of Reduced-Form Permit Price Models and Their Empirical Performances” (with G. Gruell) - Proceedings of the 58th World Statistics Congress, Dublin, Ireland.

Policy Papers

“The surrender charge on international units in the Australian ETS” - Grantham Research Institute Policy Paper - January 2012, - link to paper