石井 昌宏

This paper introduces an oligopoly model for spot prices in non-storable commodity markets under uncertainty. The derived equilibrium spot price captures the effect of market concertration and suppliers' risk attitude on a mark-up. We also propose a simple empirical method to asess mark-ups with the price formulae, and directly apply it to California electricity market as an example. The observed mark-ups are found to depend on both market power and risk premium. The result suggests that the proposed approach can be an effective means of analysis on marke performance, i.e. measuring mark-ups and finding the constituent factors.

This paper examines the effect of inter-port competition between two ports by applying a game theoretical approach. We construct a non-cooperative game theoretic model where each port selects port charges strategically in the timing of port capacity investment. We derive the Nash equilibrium and obtain some propositions from the equilibrium. We then apply the propositions to the case of inter-port competition between the ports of Busan and Kobe. (C) 2012 Elsevier Ltd. All rights reserved.

We focus on non-storability, a characteristic of shipping freight that leads to an enormous gap between the widely-used no-arbitrage pricing theory and shipping freight derivative markets. Our main contribution is to modify and generalize the Bessembinder and Lemmon (2002) model. Equilibrium spot and forward price formulae are derived in a shipping freight market where shipowners, charterers, and speculators are non-homogeneous. From our formulae, we also obtain the properties of the forward risk premium and an optimal hedge ratio. In addition, we use the model to quantify the risk attitude of market participants. (C) 2012 Elsevier Ltd. All rights reserved.