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

摘要

In standard competitive models of a storable commodity in the tradition of Gustafson (1958) (for example, Samuelson (1971), Gardner (1979), Newbery and Stiglitz (1981), Wright and Williams (1982, 1984), Scheinkman and Schechtman (1983), Deaton and Laroque (1992)), expected price for the following period exceeds current price by the marginal cost of storage, whenever stocks are positive. The models fit the stylized fact that even after the worst production realization there is always a finite market-clearing price, via the adoption of one of two restrictions: demand is specified so that price at consumption equal to minimum harvest is finite, or the probability of minimum harvest is zero.