UVaDoc Colección: Dpto. Economía Aplicada - Artículos de revistaDpto. Economía Aplicada - Artículos de revistahttp://uvadoc.uva.es/handle/10324/12622018-12-14T02:41:13Z2018-12-14T02:41:13ZPromotion of cooperation when benefits come in the future: A water transfer caseCabo, FranciscoTidball, Mabelhttp://uvadoc.uva.es/handle/10324/324132018-11-05T10:04:37Z2017-01-01T00:00:00ZResumen: This paper presents a two-regime differential game, with a first period in which two
countries cooperate in a joint investment project to construct a specific infrastructure. This
period ends when the infrastructure is finished, which serves to increase each player’s welfare
in a subsequent non-cooperative game played by the two countries thereafter. We define an
imputation distribution procedure (IDP) to share the investment costs during cooperation
according to each player’ future benefits. We prove that the IDP is time consistent if at any
time within the cooperative period each country’s share on the surplus to go is equal to or
converges towards the country’s relative gains from the existence of the infrastructure (real-
ized in the subsequent non-cooperative period). Furthermore, we obtain the instantaneous
side-payment scheme which makes the IDP feasible. The mechanism is studied for a joint
investment project to build a water canal to transfer water between a surplus and a deficit
river basin.2017-01-01T00:00:00ZDynamic management of water transfer between two interconnected river basinsCabo, FranciscoErdlenbruch, KatrinTidball, Mabelhttp://uvadoc.uva.es/handle/10324/323492018-10-30T08:01:43Z2014-01-01T00:00:00ZResumen: This paper analyzes the dynamic interaction between two regions with interconnected
river basins. Precipitation is higher in one river-basin while water productivity is higher
in the other. Water transfer increases productivity in the recipient basin, but may cause
environmental damage in the donor basin. The recipient faces a trade-off between paying
the price of the water transfer, or investing in alternative water supplies to achieve a
higher usable water capacity. We analyze the design of this transfer using a dynamic
modeling approach, which relies on non-cooperative game theory, and compare solutions
with different information structure (Nash open-loop, Nash feedback, Stackelberg) with
the social optimum. We first assume that the equilibrium between supply and demand
determines the optimal transfer price and amount. We show that, contrary to the static
case, in a realistic dynamic setting in which the recipient uses a feedback information
structure the social optimum will not emerge as the equilibrium solution. We then study
different leadership situations in the water market and observe that the transfer amount
decreases towards a long-run value lower than the transfer under perfect competition,
which in turn lays below the social optimum. In consequence, the water in the donor’s
river-basin river converges to a better quality in the presence of market power. Finally, we
numerically compare our results to the Tagus-Segura water transfer described in Ballestero
(2004). Welfare gains are compared for the different scenarios. We show that in all dynamic
settings, the long-run transfer amount is lower than in Ballestero’s static model. Further,
we show that the long-run price settles at a lower level than in Ballestero’s model, but is
still higher than the average cost-based price determined by the Spanish government.2014-01-01T00:00:00ZThe risk-neutral stochastic volatility in interest rate models with jump–diffusion processesGómez del Valle, María LourdesMartínez Rodríguez, Juliahttp://uvadoc.uva.es/handle/10324/323462018-10-28T19:34:30Z2019-01-01T00:00:00ZResumen: In this paper, we consider a two-factor interest rate model with stochastic volatility and we propose that the interest rate follows a jump-di ffusion process. The estimation of the market price of risk is an open question in two-factor jump-di ffusion term structure models when a closed-form solution is not known. We prove some results that relate the slope of the yield curves, interest rates and volatility with the functions of the processes under the risk-neutral measure. These relations
allow us to estimate all the functions with the bond prices observed in the markets. Moreover, the market prices of risk, which are unobservable, can be easily obtained. Then, we can solve the pricing problem. An application to US Treasury Bill data is illustrated and a comparison with a one-factor model is showed. Finally, the e ect of the change of measure on the jump intensity and jump distribution is analyzed.2019-01-01T00:00:00ZThe endogenous determination of retirement age and Social Security benefitsCabo, FranciscoGarcía-González, Anahttp://uvadoc.uva.es/handle/10324/323332018-10-28T19:34:14Z2014-01-01T00:00:00ZResumen: An ageing population in modern societies has put stress on public
pension systems. To prevent Social Security deficits from increasing to
unbounded stocks of public debt we focus on two policies: reducing the
generosity of pension benefits, determined by the government, and post-
poning the effective retirement age, chosen by employees. An atomistic
employee would disregard the effect of his retirement decision on the public
debt and would retire as soon as possible. Conversely, an ideal farsighted
agency considering all current and future employees would postpone re-
tirement, thereby alleviating the pressure on public debt and allowing
for a more generous long-run pension. The government may design a
proper incentive strategy to induce myopic atomistic decision-makers, to
act non-myopically. This strategy is a two-part incentive with non-linear
dependence on the stock of public debt. It is credible if deceiving em-
ployees slightly adjust their retirement age decisions to increments in the
public debt.2014-01-01T00:00:00ZDynamic collective bargaining and labor adjustment costsCabo, FranciscoMartín-Román, Angelhttp://uvadoc.uva.es/handle/10324/323202018-10-30T08:04:07Z2018-01-01T00:00:00ZResumen: Collective bargaining between a trade union and a firm is analyzed
within the framework of a monopoly union model as a dynamic Stackelberg game.
Adjustment costs for the firm are comprised of the standard symmetric convex
costs plus a wage-dependent element. Indeed, hiring costs can turn into benefits assuming wage
discrimination against new entrants.
The union also bears increasing marginal costs in the number of layoff workers and
decreasing marginal benefits in the number of new entrants.
Starting from a baseline scenario with instantaneous adjustment, we characterize
the conditions under which the adjustment costs for the firm, or for
the union, lead to higher employment and lower wages or vice versa. More generally,
these adjustment costs, when they affect both the union and the firm,
are generally detrimental to employment. However, the standard symmetric element of the
adjustment costs for the firm positively affects employment, even with lower wages.
Finally, if hiring and firing costs are defined separately,
then hiring and firing could take place simultaneously if the wage discrimination
towards new entrants is strong, because the firm would agree to
pay the costs of firing incumbent employees, in order to enjoy wage savings from new entrants.2018-01-01T00:00:00ZVendor Management Inventory with Consignment contracts and the benefits of cooperative advertisingDe Giovanni, PietroKarray, SalmaMartín-Herrán, Guiomarhttp://uvadoc.uva.es/handle/10324/319762018-10-07T18:30:53Z2019-01-01T00:00:00ZResumen: Most of the cooperative advertising literature has focused on studying the
effects of such programs considering marketing variables. This paper
integrates production and inventory management with pricing and advertising
considerations to assess the effects of cooperative advertising programs in
bilateral monopolies. We consider a supply chain where a Vendor Managed
Inventory (VMI) along with a consignment contract is implemented to
coordinate the chain. We develop and solve a differential model for two
games. The first one is a benchmark scenario where no cooperative
advertising is offered, while the manufacturer offers the cooperative
program in the second game. The main results show that cooperative
advertising programs, usually considered as successful marketing
initiatives, can be very difficult to implement in a supply chain
undertaking a VMI policy with a consignment contract, in which operations
and marketing interface in taken into account. A cooperative program mainly
hurts the manufacturer's profits, and can be profit-Pareto-improving only in
a few cases. Although the retailer is generally willing to receive a support
from the manufacturer, she can opt for a non-cooperative program when the
largest part of the supply chain profits goes to the manufacturer.2019-01-01T00:00:00ZSecond-best taxation for a polluting monopoly with abatement investmentMartín-Herrán, GuiomarRubio, Santiagohttp://uvadoc.uva.es/handle/10324/319752018-10-07T18:33:32Z2018-01-01T00:00:00ZResumen: This paper characterizes the optimal tax rule to regulate a polluting
monopoly when the firm has the possibility of investing in an abatement
technology and the environmental damages are caused by a stock pollutant.
The optimal policy is given by the stagewise feedback Stackelberg
equilibrium of a dynamic policy game between a regulator and a monopolist.
The regulator playing as the leader chooses an emission tax to maximize net
social welfare, and the monopolist acting as the follower selects the output
and the investment in abatement technology to maximize profits. We find that
the optimal tax has two components. The first component is negative and
equal to the gap between the marginal revenue and the price caused by the
firm market power; the second component is given by the difference between
the social and private shadow prices of the pollution stock. Considering a
linear-quadratic model we show that if marginal environmental damages are
constant, the difference between social and private shadow prices is
positive and the optimal policy consists of taxing emissions at a constant
rate if the marginal damages are large enough. However, if the marginal
environmental damages are increasing the numerical exercises carried out
show that this difference is negative at the steady state and the optimal
policy gives the firm a subsidy when approaching the steady state regardless
of the importance of the environmental damages. This result is explained by
the negative effect that abatement technology accumulation has on the tax.
Finally, it can be pointed out that although both models yield different
predictions about the sign of the optimal policy the dynamics is globally
stable for both cases.2018-01-01T00:00:00ZSelection of a Markov Perfect Nash Equilibrium in a Class of Differential gamesDe Frutos, JavierMartín-Herrán, Guiomarhttp://uvadoc.uva.es/handle/10324/319742018-10-07T18:30:52Z2018-01-01T00:00:00ZResumen: This paper revisits the problem of how to select an equilibrium in a differential game in the case of multiplicity of Nash equilibria. Most of the previous applied dynamic games literature has considered pre-play negotiations between players, implicitly or explicitly, with the aim of reaching an agreement on the selection of the pair of strategies. The main objective of this paper is to determine what would be the equilibrium to be played without pre-play communications. We study the linear and nonlinear Markov perfect Nash equilibria for a class of well-known models in the literature if pre-play communications are eliminated. We analyze both symmetric and nonsymmetric strategies. We show that the nonlinear strategies are not always the optimal strategies implemented when pre-play communications are removed. We conclude that in the presence of multiple equilibria and without pre-play communications the equilibria actually implemented are symmetric piecewise linear Markov perfect Nash equilibria at least for a range of initial values of the state variable.2018-01-01T00:00:00ZMetrizable ordinal proximity measures and their aggregationGarcía Lapresta, José LuisGonzález del Pozo, RaquelPérez Román, Davidhttp://uvadoc.uva.es/handle/10324/293392018-04-22T18:32:14Z2018-01-01T00:00:00ZResumen: Ordered qualitative scales formed by linguistic terms are frequently used for evaluating sets of alternatives in different decision-making problems. These scales are usually implicitly considered as uniform in the sense that the psychological proximity between consecutive terms is perceived as identical. However, sometimes agents can perceive different proximities between the linguistic terms of the scale, and an appropriate method is required for aggregating these perceptions. In this paper we introduce the notion of metrizable ordinal proximity measure, discuss some aggregation procedures and propose a method based on metrics for aggregating experts’ opinions on proximities between linguistic terms on ordered qualitative scales.2018-01-01T00:00:00ZAssessing the Profitability of Cooperative Advertising Programs in Competing ChannelsKarray, SalmaMartín-Herrán, GuiomarZaccour, Georgeshttp://uvadoc.uva.es/handle/10324/277352017-12-24T19:32:59Z2017-01-01T00:00:00ZResumen: A large literature studied the profitability (effectiveness) of cooperative advertising programs
(CAPs) in distribution channels, but very few studies modeled pricing decisions in
competitive markets under different channel structures. This paper fills this gap. We propose
a game-theoretic model where two competing channels make pricing and promotional
decisions. The efectiveness of CAPs is studied under different channel structures to examine
how vertical and horizontal externalities can impact the effectiveness of CAPs. Each
channel structure can be integrated or decentralized to account for different vertical interaction
effects, resulting in three cases: (i) both channels are decentralized (DD), (ii) both
are integrated (II), and (iii) a hybrid structure where one channel is decentralized and is
competing with an integrated channel (DI). We solve six non-cooperative games: (1) both
manufacturers offer CAPs under DD, (2) only one manufacturer offers a CAP under DD,
(3) both manufacturers do not offer CAPs under DD, (4) the decentralized manufacturer
offers a CAP under DI, (5) the decentralized manufacturer does not offer a CAP under
DI, and (6) the channel problem under II. Then, we obtain and compare equilibrium
profits and strategies across these games. The main results indicate that the profitability
of CAPs depends on the levels of price competition and of the advertising effects. Also,while manufacturers benefit from CAPs, retailers may not find such programs profitable.
Finally, the decentralized or integrated structure of the competing channel significantly impacts
the effects of cooperative advertising. For example, CAPs can effectively coordinate
the DD channel and even help it exceed profits earned by a vertically integrated channel.
However, in the DI case, although CAPs can improve total channel profits, they do not
fully coordinate the channel.2017-01-01T00:00:00ZCooperative Advertising for Competing Manufacturers: The Impact of Long-Term Promotional EffectsKarray, SalmaMartín-Herrán, GuiomarSigué, Simon-Pierrehttp://uvadoc.uva.es/handle/10324/277312017-12-24T19:33:10Z2017-01-01T00:00:00ZResumen: The effectiveness of cooperative advertising programs is studied in a market where
two competing manufacturers deal with an exclusive retailer and two products. Two twostage
game theoretic models are developed to analyze the long-term effects of retailer’s
promotions, which can be positive or negative, on the effectiveness of cooperative advertising.
Closed-form equilibrium solutions are obtained and compared. We find that
the level of product substitutability and the sign and magnitude of the long-term effects
of retailer’s promotions on sales determine whether cooperative advertising should be
offered and accepted by the manufacturers and retailer. In particular, depending on
the level of product substitutability, cooperative advertising can benefit both the manufacturers
and retailer even when retailer’s promotions negatively affects future sales.
Conversely, it may not be in the interest of the manufacturers to offer cooperative advertising
when the products are fairly undifferentiated regardless of the nature of the long-term effects of promotions. Finally, the manufacturers and retailer may refuse to
respectively offer or participate in cooperative advertising programs that enhance total
channel profits.2017-01-01T00:00:00ZRetailer and Manufacturer Advertising Scheduling in a Marketing ChannelMartín-Herrán, GuiomarSigué, Simon-Pierrehttp://uvadoc.uva.es/handle/10324/277292017-12-24T19:33:12Z2017-01-01T00:00:00ZResumen: Despite the fact that the use of sporadic advertising schedules is well established in both the advertising literature and market place, the marketing channel literature that focuses on vertical interactions has consistently prescribed continuous advertising strategies over time. This paper investigates, in a bilateral monopoly context a situation in which a manufacturer and a retailer control their pricing and advertising decisions, the optimal scheduling of advertising in a planning horizon of three periods. We found that, consistent with the advertising literature, the integrated channel adopts pulsing to benefit from advertising positive carryover effects. Conversely, when pricing and advertising decisions are uncoordinated, channel members can optimally implement each of the following three advertising schedules. The full continuous schedule where channel members advertise in the three periods.
%The full pulsing schedule in which the two channel members advertise only in the first and third periods. The mix schedule where the retailer advertises in the three periods and the manufacturer advertises exclusively in the first and third periods. Depending on the magnitude of the long-term effects of retailer and manufacturer advertising, each of the three schedules can be implemented.2017-01-01T00:00:00ZUnbounded Growth in the Ramsey Model with Non-Constant DiscountingCabo, FranciscoMartín-Herrán, GuiomarMartínez-García, María Pilarhttp://uvadoc.uva.es/handle/10324/277282017-12-24T19:33:09Z2016-01-01T00:00:00ZResumen: For a Neoclassical growth model, the literature highlights that exponential discounting
is observationally equivalent to quasi-hyperbolic discounting, if the instantaneous discount
rate decreases asymptotically towards a positive value. Conversely, in this paper a zero longrun
value allows a solution without stagnation. We prove that a less than exponential but
unbounded growth can be attained, even without technological progress. The growth rate of
consumption decreases asymptotically towards zero, although so slowly that consumption
grows unboundedly. The asymptotic convergence towards a non-hyperbolic steady-state
which saving rate matches the intertemporal elasticity of substitution and the speed of
convergence towards this equilibrium are analyzed.2016-01-01T00:00:00ZAn Integrative Framework of Cooperative Advertising: Should Manufacturers Continuously Support Retailer Advertising?.Martín-Herrán, GuiomarSigué, Simon-Pierrehttp://uvadoc.uva.es/handle/10324/277272017-12-24T19:33:05Z2017-01-01T00:00:00ZResumen: A two-period game is developed in a bilateral monopoly where, besides pricing decisions, the
retailer and manufacturer can set their advertising and cooperative advertising support rates
for each period. It is demonstrated that, in addition to the established continuous cooperative
advertising programs, in which the retailer advertises and the manufacturer supports retailer
advertising in each period, two other advertising schedules are possible. First, the retailer
advertises in each period, while the manufacturer only supports the second-period advertising.
Second, whether or not the manufacturer provides a cooperative advertising program
in the first period, the retailer only advertises in the second period and receives advertising
support. The conditions under which each of these advertising arrangements is implemented
are identified. In a continuous cooperative advertising schedule, the manufacturer may change
his advertising support over time depending on the nature of the long-term effects of retailer
advertising. The implications of these findings are discussed.2017-01-01T00:00:00ZOptimal Pollution Standards and Non-Compliance in a Dynamic FrameworkArguedas, CarmenCabo, FranciscoMartín-Herrán, Guiomarhttp://uvadoc.uva.es/handle/10324/277262017-12-24T19:32:57Z2017-01-01T00:00:00ZResumen: In this paper we present a Stackelberg differential game to study the dynamic
interaction between a polluting firm and a regulator who sets pollution limits overtime. At
each time, the firm settles emissions taking into account the fine for non-compliance with
the pollution limit, and balances current costs of investments in a capital stock which allows
for future emission reductions. We derive two main results. First, we show that the optimal
pollution limit decreases as the capital stock increases, while both emissions and the level
of non-compliance decrease. Second, we find that offering fine discounts in exchange for
firm’s capital investment is socially desirable. We numerically obtain the optimal value of
such discount, which crucially depends on the severity of the fine. In the limiting scenario
with a very large severity of the fine, the optimal discount implies that no penalties are levied,
since the firm shows adequate adaptation progress through capital investment.2017-01-01T00:00:00ZA Note on the Stability of Fully-Endogenous Growth with Increasing Returns and Exhaustible ResourcesCabo, FranciscoMartín-Herrán, GuiomarMartínez-García, María Pilarhttp://uvadoc.uva.es/handle/10324/277252017-12-24T19:32:57Z2016-01-01T00:00:00ZResumen: We introduce an exhaustible natural resource as an essential input in a general R&D-based
endogenous growth model, which makes increasing returns to scale to man-made inputs com-
patible with non-explosive sustained growth. The instability problem usually associated with
increasing returns is overcome thanks to the existence of imperfect markets in a decentralized
economy. The economy comprises two separate sectors: nal output and R&D, both directly
or indirectly dependent on the natural resource. Without the requirement of any knife-edge
assumption, we prove that growth is fully endogenous and saddle-path stable.2016-01-01T00:00:00Z