Inventory dynamics under transaction costs

被引：12

作者：

Chavas, JP ^{[1
]}

Despins, PM ^{[1
]}

Fortenbery, TR ^{[1
]}

机构：

[1] Univ Wisconsin, Dept Agr & Appl Econ, Madison, WI 53706 USA

来源：

AMERICAN JOURNAL OF AGRICULTURAL ECONOMICS | 2000年 / 82卷 / 02期

关键词：

inventory; arbitrage pricing; convenience yield; soybean;

D O I：

10.1111/0002-9092.00023

中图分类号：

F3 [农业经济];

学科分类号：

0202 ; 020205 ; 1203 ;

摘要：

A conceptual model of storage behavior is developed. Optimal intertemporal pricing is derived to analyze the effects of transaction costs on storage and arbitrage pricing. It is shown how transaction costs can rationalize the existence of an inverse carrying charge lot inventory. The model is applied to U.S. soybeans stocks for the period 1960-95. The empirical results suggest that transaction costs have a significant influence on storage behavior and intertemporal arbitrage pricing.

引用

页码：260 / 273

页数：14

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