ECOBAS Research Seminar: Joana Rita Pinho Resende - Universidade do Porto (Portugal)
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We consider a non-durable good monopolist that collects data on its customers in order to profile them and subsequently practice price discrimination on returning customers. The monopolist's price discrimination scheme is leaky, in the sense that an endogenous fraction of consumers may choose to incur a privacy cost to conceal their identity in future purchases. We characterize the Markov Perfect Equilibrium of the dynamic game under two alternative customer profiling regimes: full information acquisition (FIA) and Purchase History Information (PHI). In both cases, we find that, contrary to what could have been expected, the aggregate profit is not monotonically increasing in the level of the privacy cost but a U-shaped function of it, leading to ambiguous profit effects: A reduction in privacy costs increase the fraction of customers who choose to be anonymous (detrimental profit effect) but it also softens the firm's introductory price, reducing the pace at which prices targeted to new customers fall over time (positive profit effect). When comparing results under FIA and PHI, we find that market expansion is faster and more customers conceal their identity under FIA than under PHI. Equilibrium profits are also higher in the FIA case. Although equilibrium profits are U-shaped functions of the privacy cost in both profiling regimes, they tend to be globally decreasing under PHI, while being globally increasing with the privacy cost under FIA.
PhD viva: Raisa Pérez Vas (Universidade de Vigo) - ‘Real options and sustainable economy: application to the Galician aquaculture sector’
ECOBAS Research Seminar: Javier Ojea - Joint Research Centre of the European Commission (JRC-EC)
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ABSTRACT: Transitioning to a low-carbon economy involves risks for the value of financial assets, with potential ramifications for financial stability. We quantify the systemic impact on financial firms arising from changes in the value of financial assets under three climate transition scenarios that reflect different levels of vulnerability to the transition to a low-carbon economy, namely, orderly transition, disorderly transition, and no transition (hot house world). We describe three systemic risk metrics computed from a copula-based model of dependence between financial firm returns and financial asset market returns: climate transition expected returns, climate transition value-at-risk, and climate transition expected shortfall. Empirical evidence for European financial firms over the period 2013-2020 indicates that the climate transition risk varies across sectors and countries, with banks and real estate firms experiencing the highest and lowest systemic impacts from a disorderly transition, respectively. We find that default premium, yield slope and inflation are the main drivers of climate transition risk, and that, in terms of capital shortfall, the cost of rescuing more risk-exposed financial firms from climate transition losses is relatively manageable. Simulation of climate risks over a five-year period shows that disorderly transition can be expected to imply significant costs for banks, while financial services and real estate firms remain more sheltered.
Doctoral Seminar: Raisa Pérez Vas (University of Vigo)
La presente tesis doctoral está enmarcada dentro del campo de la economía financiera, concretamente en el campo de la valoración de empresas. Las condiciones actuales de los mercados, donde la incertidumbre juega un rol fundamental, conllevan a que el marco de la toma de decisiones requiera de un enfoque que tenga en cuenta la flexibilidad de gestión. Es por ello que, el objetivo de esta tesis es profundizar en el área de la valoración de empresas mediante la metodología de Opciones Reales, particularmente, en el sector de la acuicultura gallega. Para la consecución de este objetivo, en esta tesis se han desarrollado dos casos de estudio ligados a este sector. Por un lado, la tendencia hacia una concentración del mercado de las empresas de cultivo de rodaballo, impulsado por el marco normativo en el que operan, ha conducido a realizar una valoración de una opción de abandono de una de las empresas que menor cuota de mercado presenta. Por otro lado, la producción de algas para el consumo humano es un sector en auge. Esta situación, motivada por cambios en los hábitos de consumo de la dieta humana, fomenta la creación y expansión de empresas de esta índole. Por ello, se estudia la viabilidad de expansión de una empresa gallega que opera en este sector. Los resultados obtenidos en esta tesis aportan un marco donde la flexibilidad ha sido incorporada en la valoración. En el caso de estudio de la empresa de cultivo de rodaballo se concluye que la opción de abandonar el mercado es una opción válida. Por otra parte, la valoración realizada sobre la empresa de producción de algas confiere que la opción de expansión provoca un incremento en la valoración de la empresa.
