Equilibrium storage with multiple commodities

Kazuo Nishimura; John Stachurski

doi:10.1016/j.jmateco.2008.07.004

Equilibrium storage with multiple commodities

Kazuo Nishimura, John Stachurski^*

^*Corresponding author for this work

Research output: Contribution to journal › Article › peer-review

3 Citations (Scopus)

Abstract

This paper introduces a multisector model of commodity markets with storage, where equilibrium is defined by profit maximization, arbitrage and market clearing conditions. We then solve for the decentralized equilibrium via a corresponding dynamic program. We also describe the dynamics of the model, establishing geometric ergodicity, a Law of Large Numbers and a Central Limit Theorem.

Original language	English
Pages (from-to)	80-96
Number of pages	17
Journal	Journal of Mathematical Economics
Volume	45
Issue number	1-2
DOIs	https://doi.org/10.1016/j.jmateco.2008.07.004
Publication status	Published - 20 Jan 2009
Externally published	Yes

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10.1016/j.jmateco.2008.07.004

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title = "Equilibrium storage with multiple commodities",

abstract = "This paper introduces a multisector model of commodity markets with storage, where equilibrium is defined by profit maximization, arbitrage and market clearing conditions. We then solve for the decentralized equilibrium via a corresponding dynamic program. We also describe the dynamics of the model, establishing geometric ergodicity, a Law of Large Numbers and a Central Limit Theorem.",

keywords = "Commodities, Dynamic programming, Stability",

author = "Kazuo Nishimura and John Stachurski",

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AU - Stachurski, John

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AB - This paper introduces a multisector model of commodity markets with storage, where equilibrium is defined by profit maximization, arbitrage and market clearing conditions. We then solve for the decentralized equilibrium via a corresponding dynamic program. We also describe the dynamics of the model, establishing geometric ergodicity, a Law of Large Numbers and a Central Limit Theorem.

KW - Commodities

KW - Dynamic programming

KW - Stability

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DO - 10.1016/j.jmateco.2008.07.004

M3 - Article

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EP - 96

JO - Journal of Mathematical Economics

JF - Journal of Mathematical Economics

IS - 1-2

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Equilibrium storage with multiple commodities

Abstract

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