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Article Dans Une Revue Mathematics and Financial Economics Année : 2013

Commodity storage with durable shocks : A simple Markovian model

Résumé

We model an economy that alternates randomly between abundance and scarcity episodes. 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 discuss price stabilization policies, injection and release costs, and limited storage capacity. Overall, the analysis delineates the notion of "flexible economy".
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Dates et versions

hal-01517436 , version 1 (03-05-2017)

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Anna Creti, Bertrand Villeneuve. Commodity storage with durable shocks : A simple Markovian model. Mathematics and Financial Economics, 2013, 7 (4), pp.32. ⟨10.1007/s11579-013-0108-7⟩. ⟨hal-01517436⟩
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