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Equilibrium Storage in a Markov Economy

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Cahier_Chaire_5.pdf (390.7Kb)
Date
2007-09
Publisher city
Paris
Publisher
Université Paris-Dauphine
Collection title
Cahiers de la Chaire Finance et Développement Durable
Collection Id
5
Dewey
Economie financière
Sujet
Price Stabilization; Supply Risk; Strategic Stocks
JEL code
Q48; L90; C61
URI
https://basepub.dauphine.fr/handle/123456789/2280
Collections
  • LEDa : Publications
  • Chaire Finance et développement durable - Approches quantitatives
Metadata
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Author
Villeneuve, Bertrand
Creti, Anna
Type
Document de travail / Working paper
Item number of pages
33
Abstract (EN)
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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