A commodity price process with a unique continuous invariant distribution having infinite mean

被引:16
作者
Bobenrieth, ESA
Bobenrieth, JRA
Wright, BD
机构
[1] Univ Concepcion, Dept Econ, Concepcion, Chile
[2] Univ Bio Bio, Dept Matemat, Concepcion, Chile
[3] Univ Calif Berkeley, Dept Agr & Resource Econ, Berkeley, CA 94720 USA
关键词
D O I
10.1111/1468-0262.00323
中图分类号
F [经济];
学科分类号
02 ;
摘要
A modest modification of the standard assumptions of storage models results in a new price process distinct from those typically associated with agricultural or exhaustible resources. In this model, there is a positive probability of minimum output and consumption price is infinite at minimum cost. It is proved that price, consumption, storage, and available supply each have a unique continuous invariant limiting distribution which is a global attractor, and in which, almost surely, each respective variable is positive and finite. The mean of the invariant distribution is infinite.
引用
收藏
页码:1213 / 1219
页数:7
相关论文
共 11 条
[1]  
BOBENRIETH ESA, 2000, MODEL SUPPLY STORAGE
[2]   ON THE BEHAVIOR OF COMMODITY PRICES [J].
DEATON, A ;
LAROQUE, G .
REVIEW OF ECONOMIC STUDIES, 1992, 59 (01) :1-23
[3]   INVARIANT DISTRIBUTIONS AND THE LIMITING BEHAVIOR OF MARKOVIAN ECONOMIC-MODELS [J].
FUTIA, CA .
ECONOMETRICA, 1982, 50 (02) :377-408
[4]  
Gardner Bruce, 1979, Optimal Stockpiling of Grain
[5]  
Gustafson R.L., 1958, Carryover Levels for Grains: A Method for Determining Amounts that are Optimal under Specified Conditions
[6]  
Newbery D.M. G., 1981, The theory of commodity price stabilization: a study in the economics of risk
[7]   STOCHASTIC SPECULATIVE PRICE [J].
SAMUELSON, PA .
PROCEEDINGS OF THE NATIONAL ACADEMY OF SCIENCES OF THE UNITED STATES OF AMERICA, 1971, 68 (02) :335-+
[8]   A SIMPLE COMPETITIVE MODEL WITH PRODUCTION AND STORAGE [J].
SCHEINKMAN, JA ;
SCHECHTMAN, J .
REVIEW OF ECONOMIC STUDIES, 1983, 50 (03) :427-441
[9]  
WORKING H, 1934, FOOD RES I WHEAT STU, V10, P183
[10]   THE WELFARE EFFECTS OF THE INTRODUCTION OF STORAGE [J].
WRIGHT, BD ;
WILLIAMS, JC .
QUARTERLY JOURNAL OF ECONOMICS, 1984, 99 (01) :169-192