Equilibrium commodity prices with irreversible investment and non-linear technologies
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DOI: 10.1016/j.jbankfin.2018.04.001
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- Jaime Casassus & Pierre Collin-Dufresne & Bryan R. Routledge, "undated". "Equilibrium Commodity Prices with Irreversible Investment and Non-Linear Technologies," GSIA Working Papers 2004-E54, Carnegie Mellon University, Tepper School of Business.
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More about this item
Keywords
Commodity prices; Futures prices; Convenience yield; Risk premium; Scarcity; Investment; Irreversibility; General equilibrium; Simulated Method of Moments (SMM); Regime-switching model;All these keywords.
JEL classification:
- C0 - Mathematical and Quantitative Methods - - General
- G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
- G13 - Financial Economics - - General Financial Markets - - - Contingent Pricing; Futures Pricing
- D51 - Microeconomics - - General Equilibrium and Disequilibrium - - - Exchange and Production Economies
- D81 - Microeconomics - - Information, Knowledge, and Uncertainty - - - Criteria for Decision-Making under Risk and Uncertainty
- E2 - Macroeconomics and Monetary Economics - - Consumption, Saving, Production, Employment, and Investment
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