Equilibrium Exhaustible Resource Price Dynamics  

Oleh:

Carlson, Murray ; Khokher, Zeigham ; Titman, Sheridan

Jenis: Article from Journal - ilmiah internasional
Dalam koleksi: The Journal of Finance (EBSCO) vol. 62 no. 4 (Aug. 2007), page 1663-1704.
Topik: equilibrium; studies; equilibrium; prices; stochastic models; volatility; commodity markets
Fulltext: p 1663.pdf (245.33KB)

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Perpustakaan Pusat (Semanggi) Nomor Panggil: JJ88 Non-tandon: 1 (dapat dipinjam: 0) Tandon: tidak ada

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Isi artikel

We develop equilibrium models of exhaustible resource markets with endogenous extraction choices and prices. Our analysis demonstrates how adjustment costs can generate oil and gas forward price dynamics with two factors, consistent with the behaviour these commodities exhibit in the schwartz and smith (2000) calibration. Our two - factor model of predicts that stochastic volatility will arise in these markets as a natural consequence of production adjustments, however, and we provide supporting empirical evidence. Differences between endogenous price processes from our general equilibrium models and exogenous processes in earlier papers can generate significant differences in both financial and real option values.

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