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Projeto de investigação
Nova School of Business and Economics
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Publicações
Co-investment, uncertainty, and opportunism
Publication . Bourreau, Marc; Cambini, Carlo; Hoernig, Steffen; Vogelsang, Ingo; NOVA School of Business and Economics (NOVA SBE); Elsevier
Caused largely by the recent technological changes towards digitalization, infrastructure investment in network industries has become the main issue for regulatory intervention. In this paper, we study the impact of co-investment between an incumbent and an entrant on the roll-out of network infrastructures under demand uncertainty. We show that if the entrant can wait to co-invest until demand is realized, the incumbent's investment incentives are reduced, and total coverage can be lower than in a benchmark with earlier co-investment. We consider two remedies to correct these distortions: (i) co-investment options purchased ex ante by the entrant from the incumbent, and (ii) risk premia paid ex post by the entrant. We show that co-investment options cannot fully reestablish total coverage, while premia can do so in most cases, though at the cost of less entry. Finally, we show that an appropriate combination of ex-ante and ex-post remedies can improve welfare.
Fiscal consolidation programs and income inequality
Publication . Brinca, Pedro; Ferreira, Miguel H.; Franco, Francesco; Holter, Hans A.; Malafry, Laurence; NOVA School of Business and Economics (NOVA SBE); Blackwell Publishing Ltd
We document a strong empirical relationship between higher income inequality and stronger recessive impacts of fiscal consolidation episodes across time and space. To explain this finding, we develop a life-cycle economy with uninsurable income risk. We calibrate our model to match key characteristics of several European economies, including inequality and fiscal structures, and study the effects of fiscal consolidation programs. In our model, higher income risk induces precautionary savings behavior, which decreases the proportion of credit-constrained agents in the economy. These agents have less elastic labor supply responses to fiscal consolidations, which explain the correlation with inequality in the data.
The expected time to cross a threshold and its determinants
Publication . Zsurkis, Gabriel; Nicolau, João; Rodrigues, Paulo M.M.; NOVA School of Business and Economics (NOVA SBE); Elsevier
In this paper we introduce a flexible framework to estimate the expected time (ET) an outcome variable takes to cross a threshold conditional on covariates. The proposed methodology makes use of the Markovian property and allows us to infer the impacts that covariates have on the ET an outcome variable takes to revert to a value of interest (for instance, its mean) given a specific starting point. An empirical analysis of the response of U.S. unemployment persistence to monetary policy and government spending shocks is provided, contributing to a still limited literature which simultaneously allows for both types of shocks. Our results suggest that unexpected monetary and fiscal expansions seem to have a relevant role in accelerating the pace of unemployment decline towards its natural rate; and that contractionary monetary and fiscal shocks in a context of labor market slack may result in high ETs.
Weather derivatives pricing and risk management applications
Publication . Anzilotti, Luca; Pereira, João Pedro
The main objective of this paper is to discuss suitable methods for the modelling of weather
variables and to bring together much of the current thinking in terms of the pricing of their
respective derivative contracts (CDD, HDD) with payoffs depending on temperature. In
addition to the theoretical overview provided, an empirical investigation is undertaken using
historical data from the De Bilt meteorological station: we use the aforementioned data to first
suggest a stochastic process that describes the evolution of the temperature. Further, such
temperature modelling phase is accompanied by the numerical technique of Monte Carlo
simulation for derivatives pricing. Finally, we will analyse some weather-sensitive industries
and discuss possible weather hedging strategies they could apply.
Nudging consumers toward healthier food choices
Publication . Gonçalves, Diogo; Coelho, Pedro; Martinez, Luis F.; Monteiro, Paulo; NOVA School of Business and Economics (NOVA SBE); Molecular Diversity Preservation International (MDPI)
Food choices influence the health of individuals, and supermarkets are the place where part of the world population makes their food choices on a daily basis. Different methods to influence food purchasing habits are used, from promotions to food location. However, very few supermarket chains use social norms, the human need to conform to the perceived behavior of the group, to increase healthy food purchase habits. This research seeks to understand how a social norm nudge, a message conveying fruit and vegetable purchasing norms positioned in strategic places, can effectively change food choices. Using data from an intervention in a Portuguese supermarket, the fruit and vegetable purchase quantities of 1636 customers were measured over three months and compared with the corresponding period of the previous year. The results show that the nudge intervention positively affected those whose purchasing habits are categorized as less healthy, while those with healthy habits were slightly negatively affected. Moreover, a follow-up inferential statistical analysis allows us to conclude that applying this intervention at a larger scale would deliver significant financial results for the supermarket chain in which the study took place, by decreasing the costs related to produce perishability while simultaneously improving the health of the consumer and the sustainability of the planet.
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Entidade financiadora
Fundação para a Ciência e a Tecnologia
Programa de financiamento
6817 - DCRRNI ID
Número da atribuição
UID/ECO/00124/2019