Bitte verwenden Sie diesen Link, um diese Publikation zu zitieren, oder auf sie als Internetquelle zu verweisen: https://hdl.handle.net/10419/278469 
Erscheinungsjahr: 
2023
Schriftenreihe/Nr.: 
Center for Mathematical Economics Working Papers No. 679
Verlag: 
Bielefeld University, Center for Mathematical Economics (IMW), Bielefeld
Zusammenfassung: 
We consider a mean-field model of firms competing à la Cournot on a commodity market, where the commodity price is given in terms of a power inverse demand function of the industry-aggregate production. Investment is irreversible and production capacity depreciates at a constant rate. Production is subject to Gaussian productivity shocks, while large non-anticipated macroeconomic events driven by a two-state continuous-time Markov chain can change the volatility of the shocks, as well as the price function. Firms wish to maximize expected discounted revenues of production, net of investment and operational costs. Investment decisions are based on the long-run stationary price of the commodity. We prove existence, uniqueness and characterization of the stationary mean-field equilibrium of the model. The equilibrium investment strategy is of barrier-type and it is triggered by a couple of endogenously determined investment thresholds, one per state of the economy. We provide a quasi-closed form expression of the stationary density of the state and we show that our model can produce Pareto distribution of firms' size. This is a feature that is consistent both with observations at the aggregate level of industries and at the level of a particular industry. We establish a relation between economic instability and market concentration and we show how macroeconomic instability can harm firms' profitability more than productivity fluctuations.
Schlagwörter: 
mean-field stationary equilibrium
irreversible investment
regime-switching
market concentration
value of economic stability
JEL: 
C61
C62
C73
D25
D41
E32
L11
L22
Persistent Identifier der Erstveröffentlichung: 
Creative-Commons-Lizenz: 
cc-by Logo
Dokumentart: 
Working Paper

Datei(en):
Datei
Größe
977.32 kB





Publikationen in EconStor sind urheberrechtlich geschützt.