Competitive Storage and Commodity Price in Continuous Time

HSE Economic Journal Pub Date : 2022-01-01 DOI:10.17323/1813-8691-2022-26-4-523-551

G. Trofimov

引用次数: 0

Abstract

This paper offers a time-continuous competitive storage model and provides an analysis of the model solution. The model is relevant to the mineral commodity markets with traders managing inventories and getting speculative profits. The model includes serially correlated shocks of net supply and an upper boundary on the storage capacity. The no-arbitrage conditions on commodity trade imply the existence of the equilibrium price function under the standard boundary conditions on speculative trade. The equilibrium price is determined by the state variable defined as the long-term availability of commodity, which is the sum of storage and the expected cumulative disturbances of net supply. An approximate solution for a low-elastic net demand on commodity is derived in the explicit form. Numerical simulations of the equilibrium price function are conducted to examine the effects of the model parameters on this function.

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连续时间下的竞争性存储与商品价格

本文提出了一个时间连续竞争存储模型，并给出了模型解的分析。该模型与矿产商品市场有关，交易者管理库存并获得投机利润。该模型包括净供给的序列相关冲击和存储容量的上边界。商品交易的无套利条件意味着在投机交易的标准边界条件下均衡价格函数的存在。均衡价格由状态变量决定，状态变量定义为商品的长期可用性，它是储存和净供应的预期累积干扰的总和。以显式形式导出了低弹性商品净需求的近似解。对均衡价格函数进行了数值模拟，考察了模型参数对均衡价格函数的影响。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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来源期刊

HSE Economic Journal Economics, Econometrics and Finance-Economics, Econometrics and Finance (all)

CiteScore

1.10

自引率

0.00%

发文量

期刊介绍： The HSE Economic Journal publishes refereed papers both in Russian and English. It has perceived better understanding of the market economy, the Russian one in particular, since being established in 1997. It disseminated new and diverse ideas on economic theory and practice, economic modeling, applied mathematical and statistical methods. Its Editorial Board and Council consist of prominent Russian and foreign researchers whose activity has fostered integration of the world scientific community. The target audience comprises researches, university professors and graduate students. Submitted papers should match JEL classification and can cover country specific or international economic issues, in various areas, such as micro- and macroeconomics, econometrics, economic policy, labor markets, social policy. Apart from supporting high quality economic research and academic discussion the Editorial Board sees its mission in searching for the new authors with original ideas. The journal follows international reviewing practices – at present submitted papers are subject to single blind review of two reviewers. The journal stands for meeting the highest standards of publication ethics.