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Equilibrium Storage With Multiple Commodities

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  • Kazuo Nishimura
  • John Stachurski

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Abstract

This paper studies a multisector model of commodity markets with storage, solving the representative agent problem and obtaining the corresponding decentralized equilibrium. We describe the dynamics of the model, establishing geometric ergodicity, a Law of Large Numbers and a Central Limit Theorem.

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Bibliographic Info

Paper provided by Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University in its series CAMA Working Papers with number 2007-11.

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Length: 30 pages
Date of creation: Mar 2007
Date of revision:
Handle: RePEc:een:camaaa:2007-11

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References

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  1. Deaton, Angus & Laroque, Guy, 1996. "Competitive Storage and Commodity Price Dynamics," Journal of Political Economy, University of Chicago Press, University of Chicago Press, vol. 104(5), pages 896-923, October.
  2. Coleman, Wilbur John, II, 1990. "Solving the Stochastic Growth Model by Policy-Function Iteration," Journal of Business & Economic Statistics, American Statistical Association, American Statistical Association, vol. 8(1), pages 27-29, January.
  3. Juan Pablo RincÛn-Zapatero & Carlos RodrÌguez-Palmero, 2003. "Existence and Uniqueness of Solutions to the Bellman Equation in the Unbounded Case," Econometrica, Econometric Society, Econometric Society, vol. 71(5), pages 1519-1555, 09.
  4. Stachurski, John, 2002. "Stochastic Optimal Growth with Unbounded Shock," Journal of Economic Theory, Elsevier, Elsevier, vol. 106(1), pages 40-65, September.
  5. Mirman, Leonard J. & Zilcha, Itzhak, 1975. "On optimal growth under uncertainty," Journal of Economic Theory, Elsevier, Elsevier, vol. 11(3), pages 329-339, December.
  6. Chambers, Marcus J & Bailey, Roy E, 1996. "A Theory of Commodity Price Fluctuations," Journal of Political Economy, University of Chicago Press, University of Chicago Press, vol. 104(5), pages 924-57, October.
  7. Williams,Jeffrey C. & Wright,Brian D., 1991. "Storage and Commodity Markets," Cambridge Books, Cambridge University Press, Cambridge University Press, number 9780521326162.
  8. Serena Ng & Francisco Ruge-Murcia, 1997. "Explaining the Persistence of Commodity Prices," Boston College Working Papers in Economics, Boston College Department of Economics 374, Boston College Department of Economics.
  9. Benveniste, L M & Scheinkman, J A, 1979. "On the Differentiability of the Value Function in Dynamic Models of Economics," Econometrica, Econometric Society, Econometric Society, vol. 47(3), pages 727-32, May.
  10. Bryan Routledge & Duane Seppi & Chester Spatt, . "Equilibrium Forward Curves for Commodities," GSIA Working Papers, Carnegie Mellon University, Tepper School of Business 1997-49, Carnegie Mellon University, Tepper School of Business.
  11. Le Van, C. & Morhaim, L., 2000. "Optimal Growth Models with Bounded or Unbounded Returns : a Unifying Approach," Papiers d'Economie Mathématique et Applications, Université Panthéon-Sorbonne (Paris 1) 2000.64, Université Panthéon-Sorbonne (Paris 1).
  12. Boud, John III, 1990. "Recursive utility and the Ramsey problem," Journal of Economic Theory, Elsevier, Elsevier, vol. 50(2), pages 326-345, April.
  13. Manuel S. Santos & Jesus Vigo-Aguiar, 1998. "Analysis of a Numerical Dynamic Programming Algorithm Applied to Economic Models," Econometrica, Econometric Society, Econometric Society, vol. 66(2), pages 409-426, March.
  14. Eugenio S. A. Bobenrieth H. & Juan R. A. Bobenrieth H. & Brian D. Wright, 2002. "A Commodity Price Process with a Unique Continuous Invariant Distribution Having Infinite Mean," Econometrica, Econometric Society, Econometric Society, vol. 70(3), pages 1213-1219, May.
  15. Duffie, Darrell & Singleton, Kenneth J, 1993. "Simulated Moments Estimation of Markov Models of Asset Prices," Econometrica, Econometric Society, Econometric Society, vol. 61(4), pages 929-52, July.
  16. Scheinkman, Jose A & Schechtman, Jack, 1983. "A Simple Competitive Model with Production and Storage," Review of Economic Studies, Wiley Blackwell, Wiley Blackwell, vol. 50(3), pages 427-41, July.
  17. Alvarez, Fernando & Stokey, Nancy L., 1998. "Dynamic Programming with Homogeneous Functions," Journal of Economic Theory, Elsevier, Elsevier, vol. 82(1), pages 167-189, September.
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Cited by:
  1. Fukushima, Kenichi & Waki, Yuichiro, 2013. "A polyhedral approximation approach to concave numerical dynamic programming," Journal of Economic Dynamics and Control, Elsevier, Elsevier, vol. 37(11), pages 2322-2335.

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