arXivDaily arXiv每日学术速递 周一至周五更新
arXiv 1606.08604math.OC
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论主从竞争中远期市场的无效性

On the Inefficiency of Forward Markets in Leader-Follower Competition

Desmond Cai, Anish Agarwal, Adam Wierman

摘要:

本文以电力市场为背景,研究了在电力市场容量约束和生产提前期不均匀的情况下,远期合同对电力市场的影响。我们考虑一个模型,两种类型的企业-领导者和追随者-在两个不同的时间选择生产。追随者在第二阶段选择产品,但可以在第一阶段出售远期合约。我们的主要结果是一个明确的特征的均衡结果。远期合同的经典结果表明,它可以在简单环境中减轻市场支配力;然而,本文的结果表明,远期市场在这种环境中的影响是微妙的--远期合同可以增强或减轻市场支配力。特别是,我们的研究结果表明,领导者-追随者的相互作用所产生的异质生产提前期可能会导致远期市场效率低下,即使有大量的追随者。事实上,由于领导者和追随者之间的市场力量差异,对称均衡并不一定存在。

英文摘要:

Motivated by electricity markets, this paper studies the impact of forward contracting in situations where firms have capacity constraints and heterogeneous production lead times. We consider a model with two types of firms - leaders and followers - that choose production at two different times. Followers choose productions in the second stage but can sell forward contracts in the first stage. Our main result is an explicit characterization of the equilibrium outcomes. Classic results on forward contracting suggest that it can mitigate market power in simple settings; however the results in this paper show that the impact of forward markets in this setting is delicate - forward contracting can enhance or mitigate market power. In particular, our results show that leader-follower interactions created by heterogeneous production lead times may cause forward markets to be inefficient, even when there are a large number of followers. In fact, symmetric equilibria do not necessarily exist due to differences in market power among the leaders and followers.

机构、总结、中文摘要均由AI分析而来,可能存在错误,请以论文正文为准。

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