Storage and commodity markets: Jeffrey C. Williams and Brian D. Wright
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| Main Authors: | , |
|---|---|
| Format: | Book |
| Language: | Undetermined |
| Published: |
Cambridge u. a.
Cambridge Univ. Press
1991
|
| Edition: | 1. publ. |
| Subjects: | |
| Online Access: | Inhaltsverzeichnis |
| Physical Description: | XIV, 502 S. graph. Darst. |
| ISBN: | 0521326168 |
Staff View
MARC
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Record in the Search Index
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| adam_text | Contents
Preface page ix
Acknowledgments xiii
1 Introduction 1
1.1 Outline of the basic model 7
1.2 The notion of a system 9
1.3 The central role of collective behavior 11
1.4 The assumption of rational expectations 14
1.5 Relationship to other literature 17
Parti The basic model
2 Competitive equilibrium with storage 23
2.1 Storers arbitrage relationships 24
2.2 Market level prices and quantities 28
2.3 Market equilibrium with elastic supply 32
2.4 Equilibrium for a specific example 36
2.5 Key features of the equilibrium 45
3 Solving for the storage equilibrium 50
3.1 Reformulation as a social planner s problem 51
3.2 An analytical example 58
3.3 Further considerations with an infinite horizon 62
3.4 Some shortcut solution strategies 65
3.5 Solutions versus simulations 71
Appendix: Numerical solution of the storage model 73
3A.1 The technique of full enumeration 74
3A.2 The technique of polynomial approximations 81
3A.3 The cell technique 90
3A.4 Accuracy of the polynomial technique 93
v
vi Contents
4 The effects of storage on production,
consumption, and prices 99
4.1 Characteristics of storage rules 99
4.2 Long run distributions 102
4.3 Sensitivity to supply and demand parameters 106
4.4 Sensitivity to storage costs 116
4.5 Sensitivity to the probability distribution of the weather 120
4.6 Conclusions from the sensitivity analysis 126
5 Convergence to the steady state 128
5.1 Expected paths 128
5.2 Patterns among futures prices 134
5.3 Response to a change in regime 141
5.4 The price of land 146
5.5 Tools learned 152
Part II Implications of storage for research
on time series
6 Time series properties due to storage 157
6.1 Extent of serial correlation 159
6.2 Similarity to random walks 162
6.3 Persistence of booms and busts 166
6.4 Higher order moments 169
6.5 Applicability of ARMA specifications 172
7 Tests of rationality 174
7.1 Tests of forecasting ability 174
7.2 Tests of bias in futures prices 185
7.3 Tests of excessive variability in asset prices 190
7.4 Supply estimation 192
7.5 Presumption against rational storage 196
Part III Extensions of the model
8 The market s reaction to news 201
8.1 Seasonality 203
8.2 Serial correlation in the random disturbance 212
8.3 Two period lagged supply response 217
8.4 A quarterly model with production once a year 222
8.5 Related problems 226
9 The interaction of storage and trade 229
9.1 Equilibrium with trade and storage 231
9.2 Convergence to the steady state 244
9.3 Trade versus storage 249
Contents vii
9.4 Storage with a general tendency for net trade 254
9.5 Sources of inherent randomness 259
9.6 Relative size of countries 263
9.7 Final comments on trade 270
10 Inventories of raw materials, finished goods,
and goods in process 273
10.1 Inventories of raw material and finished goods 277
10.2 Sensitivity analysis 290
10.3 Goods in process 298
10.4 Firm level versus industry level behavior 307
11 Market power and storage 310
11.1 Market power over distribution and storage 311
11.2 Monopoly over storage alone 320
11.3 Implications for modeling market power 330
Part IV Public interventions
12 Welfare analysis of market stabilization 335
12.1 The effects of stabilization on individual welfare 337
12.2 Marketwide analysis 341
12.3 Sensitivity of distributive effects to specification 344
12.4 Dynamic welfare analysis 348
12.5 The necessary range of welfare analysis 357
13 Floor price schemes 358
13.1 Market behavior with a price floor 360
13.2 Welfare analysis of floor price schemes 369
13.3 The merits of private speculative storage in a floor price
scheme 386
14 Public storage under price bands and price pegs 391
14.1 The inherent explosiveness of symmetric price band
schemes 394
14.2 Price band schemes with private storage and elastic supply 398
14.3 Price pegs 403
14.4 Further doubts about price band schemes 409
15 Public policies to supplement private storage 410
15.1 Rationales for public intervention 413
15.2 The effects of price ceilings on private storage 418
15.3 The effect of price ceilings in a system with two locations 423
15.4 Possible public policies for supplementing private storage 428
15.5 The displacement of private storage by public storage 438
15.6 The welfare rankings of the various public policies 445
viii Contents
Part V Epilogue
16 Lessons about commodity markets and
modeling strategies 455
16.1 The standard of the first best 456
16.2 Nonlinearities and discontinuities 458
16.3 Endogenous responses to risk 458
16.4 Multiperiod equlibrium models 460
16.5 Our model and empirical work on commodity markets 461
16.6 For the future 463
References 465
Author index 491
Subject index 497
|
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| id | DE-604.BV004644261 |
| illustrated | Illustrated |
| indexdate | 2024-07-09T16:15:28Z |
| institution | BVB |
| isbn | 0521326168 |
| language | Undetermined |
| oai_aleph_id | oai:aleph.bib-bvb.de:BVB01-002851994 |
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| physical | XIV, 502 S. graph. Darst. |
| publishDate | 1991 |
| publishDateSearch | 1991 |
| publishDateSort | 1991 |
| publisher | Cambridge Univ. Press |
| record_format | marc |
| spelling | Williams, Jeffrey 1953- Verfasser (DE-588)132611929 aut Storage and commodity markets Jeffrey C. Williams and Brian D. Wright Jeffey C. Williams and Brian D. Wright 1. publ. Cambridge u. a. Cambridge Univ. Press 1991 XIV, 502 S. graph. Darst. txt rdacontent n rdamedia nc rdacarrier Lagerhaltung (DE-588)4034081-8 gnd rswk-swf Ökonometrisches Modell (DE-588)4043212-9 gnd rswk-swf Rohstoffmarkt (DE-588)4050426-8 gnd rswk-swf Rohstoffmarkt (DE-588)4050426-8 s Lagerhaltung (DE-588)4034081-8 s Ökonometrisches Modell (DE-588)4043212-9 s DE-604 Wright, Brian D. Verfasser aut HBZ Datenaustausch application/pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=002851994&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA Inhaltsverzeichnis |
| spellingShingle | Williams, Jeffrey 1953- Wright, Brian D. Storage and commodity markets Jeffrey C. Williams and Brian D. Wright Lagerhaltung (DE-588)4034081-8 gnd Ökonometrisches Modell (DE-588)4043212-9 gnd Rohstoffmarkt (DE-588)4050426-8 gnd |
| subject_GND | (DE-588)4034081-8 (DE-588)4043212-9 (DE-588)4050426-8 |
| title | Storage and commodity markets Jeffrey C. Williams and Brian D. Wright |
| title_auth | Storage and commodity markets Jeffrey C. Williams and Brian D. Wright |
| title_exact_search | Storage and commodity markets Jeffrey C. Williams and Brian D. Wright |
| title_full | Storage and commodity markets Jeffrey C. Williams and Brian D. Wright Jeffey C. Williams and Brian D. Wright |
| title_fullStr | Storage and commodity markets Jeffrey C. Williams and Brian D. Wright Jeffey C. Williams and Brian D. Wright |
| title_full_unstemmed | Storage and commodity markets Jeffrey C. Williams and Brian D. Wright Jeffey C. Williams and Brian D. Wright |
| title_short | Storage and commodity markets |
| title_sort | storage and commodity markets jeffrey c williams and brian d wright |
| title_sub | Jeffrey C. Williams and Brian D. Wright |
| topic | Lagerhaltung (DE-588)4034081-8 gnd Ökonometrisches Modell (DE-588)4043212-9 gnd Rohstoffmarkt (DE-588)4050426-8 gnd |
| topic_facet | Lagerhaltung Ökonometrisches Modell Rohstoffmarkt |
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