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Commodity storage with durable shocks : A simple Markovian model

Villeneuve, Bertrand; Creti, Anna (2014), Commodity storage with durable shocks : A simple Markovian model, Mathematics and Financial Economics, 8, 2, p. 169--192. http://dx.doi.org/10.1007/s11579-013-0108-7

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Type
Article accepté pour publication ou publié
Date
2014
Nom de la revue
Mathematics and Financial Economics
Volume
8
Numéro
2
Éditeur
Springer
Pages
169--192
Identifiant publication
Métadonnées
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Auteur(s)
Villeneuve, Bertrand cc
Laboratoire d'Economie de Dauphine [LEDa]
Creti, Anna
Laboratoire d'Economie de Dauphine [LEDa]
Résumé (EN)
We model an economy that alternates randomly between abundance and scarcityepisodes. We develop an original method to characterize in detail the structure of the Markovian competitive equilibrium. Accumulation and drainage of stocks are the main focuses. Economically appealing comparative statics results are proved. We also characterize stationary distribution of states. We extend the model to discussprice stabilization policies, injection and release costs, and limited storage capacity.Overall, the analysis delineates the notion of "flexible economy".
Mots-clés
Price stabilization; supply risk; strategic stocks
JEL
L90 - General
C61 - Optimization Techniques; Programming Models; Dynamic Analysis
Q48 - Government Policy