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50 records from EconBiz based on author Name
1. A stationary mean-field equilibrium model of irreversible investment in a two-regime economy
abstractWe consider a mean-field model of firms competing à la Cournot on a commodity market, where the commodity price is given in terms of a power inverse demand function of the industry-aggregate production. Investment is irreversible and production capacity depreciates at a constant rate. Production is subject to Gaussian productivity shocks, while large non-anticipated macroeconomic events driven by a two-state continuous-time Markov chain can change the volatility of the shocks, as well as the price function. Firms wish to maximize expected discounted revenues of production, net of investment and operational costs. Investment decisions are based on the long-run stationary price of the commodity. We prove existence, uniqueness and characterization of the stationary mean-field equilibrium of the model. The equilibrium investment strategy is of barrier-type and it is triggered by a couple of endogenously determined investment thresholds, one per state of the economy. We provide a quasi-closed form expression of the stationary density of the state and we show that our model can produce Pareto distribution of firms' size. This is a feature that is consistent both with observations at the aggregate level of industries and at the level of a particular industry. We establish a relation between economic instability and market concentration and we show how macroeconomic instability can harm firms' profitability more than productivity fluctuations.
Aïd, René; Basei, Matteo; Ferrari, Giorgio;2023
Type: Graue Literatur; Non-commercial literature; Arbeitspapier; Working Paper;
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Link Link Link Link 2. A principal-agent framework optimal incentives in renewable investments
abstractWe investigate the optimal regulation of energy production reflecting the long-term goals of the Paris Climate Agreement. We analyze the optimal regulatory incentives to foster the development of non-emissive electricity generation when the demand for power is served either by a monopoly or by two competing agents. The regulator wishes to encourage green investments to limit carbon emissions, while simultaneously reducing intermittency of the total energy production. We find that the regulation of a competitive market is more efficient than the one of the monopoly as measured with the certainty equivalent of the Principal's value function. This higher efficiency is achieved thanks to a higher degree of freedom of the incentive mechanisms which involves cross-subsidies between firms. A numerical study quantifies the impact of the designed second-best contract in both market structures compared to the business-as-usual scenario. In addition, we expand the monopolistic and competitive setup to a more general class of tractable Principal-Multi-Agent incentives problems when both the drift and the volatility of a multi-dimensional diffusion process can be controlled by the Agents. We follow the resolution methodology of Cvitanić et al. (2018) in an extended linear quadratic setting with exponential utilities and a multi-dimensional state process of Ornstein-Uhlenbeck type. We provide closed-form expression of the second-best contracts. In particular, we show that they are in rebate form involving time-dependent prices of each state-variable.
Aïd, René; Kemper, Annika; Touzi, Nizar;2023
Type: Graue Literatur; Non-commercial literature; Arbeitspapier; Working Paper;
Availability:
Link Link Link Link 3. Equilibrium price in intraday electricity markets
Aïd, René; Cosso, Andrea; Pham, Huyên;2022
Type: Aufsatz in Zeitschrift; Article in journal;
Availability: Link Link
Citations: 2 (based on OpenCitations)
4. An impulse-regime switching game model of vertical competition
Aïd, René; Campi, Luciano; Li, Liangchen; Ludkovski, Mike;2021
Type: Aufsatz in Zeitschrift; Article in journal;
Availability:
Link Citations: 2 (based on OpenCitations)
5. Green innovation downturn : the role of imperfect competition
Aïd, René; Bahlali, Mohamed; Creti, Anna;2023
Type: Aufsatz in Zeitschrift; Article in journal;
Availability: Link
6. Optimal dynamic regulation of carbon emissions market
Aïd, René; Biagini, Sara;2023
Type: Aufsatz in Zeitschrift; Article in journal;
Availability: Link Link
7. Green innovation downturn : the role of imperfect competition
abstractWe use strategic interactions to analyze the role of China's state-subsidized production expansion in the recent downturn in solar photovoltaics innovation. To that end, we develop a dynamic game model in which N solar panel manufacturers compete in price and invest in cost-reducing research. The resulting Nash equilibrium reveals an inverted U relationship between a manufacturer's market share and her research effort. In the duopoly case, with a local firm competing against a foreign state-subsidized one, we obtain analytical and numerical results that are consistent with a set of stylized facts, namely (i) the foreign manufacturer progressively expands to become the dominant player (ii) competition and innovation bring marginal costs down to zero (iii) each manufacturer's research effort follows an increasing-then-decreasing curve. At a policy level, these theoretical results suggest that national technology-push policies can affect foreign innovation, by changing the structure of global competition
Aïd, René; Bahlali, Mohamed; Creti, Anna;2021
Availability: Link Link
8. Optimal electricity demand response contracting with responsiveness incentives
Aïd, René; Possamaï, Dylan; Touzi, Nizar;2022
Type: Aufsatz in Zeitschrift; Article in journal;
Availability: Link Link
Citations: 5 (based on OpenCitations)
9. A principal-agent framework optimal incentives in renewable investments
Aïd, René; Kemper, Annika; Touzi, Nizar;2023
Type: Working Paper;
Availability:
10. A stationary mean-field equilibrium model of irreversible investment in a two-regime economy
Aïd, René; Basei, Matteo; Ferrari, Giorgio;2023
Type: Working Paper;
Availability:
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