[期刊论文]


THE SUPPLY OF STORAGE UNDER HETEROGENEOUS EXPECTATIONS

作   者:
Frechette, Darren L.;

出版年:1999

页     码:461 - 474
出版社:Food Distribution Research Society


摘   要:

Expected prices for storable commodities often lie below spot prices plus interest and marginal storage charges. Recently this gap has been explained as the value of a call option held by a representative storer whenever a positive probability exists that stocks could dwindle to zero. However, the probability of an aggregate stock-out is effectively zero in most markets most of the time. This paper presents an alternative model that explains the gap as an equilibrium between fundamentals traders and noise traders. Applications of the model suggest that rational agents make up 84 percent of the U.S. copper market, and more than 95 percent of the corn and wheat markets.



关键字:

storage;heterogeneous expectations;noise traders


全文
所属期刊
Journal of Food Distribution Research
ISSN: 0047-245X
来自:Food Distribution Research Society