Three Essays on Dynamic Models with Applications in Marketing and Finance

This thesis consists of three chapters that present three independent articles on the application of dynamic models in the fields of marketing and finance. The first article takes a structural approach to dynamic models to analyze the relationship between revenues and the impact of taxes on snack products (fat taxes). The second and third articles use dynamic models in reduced form: we mobilize dynamic hierarchical models that integrate a hierarchical Bayesian framework with a Dynamic Linear Model. The second article explores the dynamic pricing of seasonal products using a dynamic and flexible hierarchical model. The third article analyzes the cost of financing business operations during the 2008-2009 financial crisis using a dynamic hierarchical model. In the first article, we use a dynamic structural model to analyze the correlation between income and the impact of a tax on snack products (or fat tax). The results show that such a tax has less impact on low-income individuals than on those with higher incomes, as the first group is more likely to consume snacks. In the second article, we develop a dynamic and flexible hierarchical model for estimating the trajectory of price sensitivities in order to deduce the dynamic price of seasonal products. We find that optimal prices depend on the composition of the store's customer base, and that sellers of seasonal products can benefit when they set their rates. In the third article, we use a dynamic hierarchical model to study the impact of four macroeconomic indicators on the cost of financing business operations during the 2008-2009 financial crisis, as well as in the periods leading up to and there. We find that the impact of three of these macroeconomic factors (GDP growth, trade and inflation) on trade finance is consistent with theoretical predictions, while the impact of the fourth factor (market capitalization) seems rather surprising. This essay consists of three chapters that present three standalone essays on the application of dynamic models to marketing and finance. The first attempt uses a structural approach to dynamic models to study the role of income on the impact of fat taxes. The second and third essays use a reduced form approach to dynamic models: we use dynamic hierarchical models that incorporate a Hierarchical Bayesian framework in a Dynamic Linear Model. The second essay studies the dynamic pricing of seasonal goods with the help of a flexible dynamic hierarchical model. The third essay studies the cost of trade finance during the financial crisis of 2008-2009 using a dynamic hierarchical model. In the first attempt, we use a dynamic structural model to investigate how income interacts with the impact of a "fat tax" (a tax on snack food). We find that the low-income group is less impacted by a "fat tax" compared to the higher income group as they have a higher tendency to consume snack food. In the second attempt, we develop a flexible dynamic hierarchical model to estimate the trajectory of price sensitivities that allow us to infer the dynamic prices of seasonal goods. We find that optimal prices depend on the customer composition of the store, and seasonal goods retailers can take advantage of this while setting prices. In the third attempt, using a dynamic model hierarchical we examine the impact of four macroeconomic indicators on trade finance costs in and around the financial crisis of 2008-2009. We find the impact of three of these macroeconomic factors (GDP growth, trade and inflation) on trade finance to be in line with the theory, while the impact of the fourth factor (stock market capitalization) on trade finance appears somewhat surprising