Learning and price volatility in duopoly models of resource depletion

• 成果类型: Article
• 署名作者: Ellison, Martin; Scott, Andrew
• 署名单位: University of Oxford; Bank of Finland; University of London; London Business School; Centre for Economic Policy Research - UK
• 刊物名称: JOURNAL OF MONETARY ECONOMICS
• ISSN/ISSBN: 0304-3932
• DOI: 10.1016/j.jmoneco.2013.06.005
• 发表日期: 2013
• 页码: 806-820
• 关键词: commodity prices; depletion; Escape dynamics; learning; Non-renewable resources

摘要

The combination of learning and depletion in non-renewable resource markets adds significant volatility to commodity prices. The market consists of a small number of suppliers who make depletion plans based on their perceptions of how sensitive price is to supply. Learning leads to changes in these perceptions and hence the revision of depletion plans, which can have a dramatic effect on market supply and price. Firstly, price trends upwards faster than the rate of time preference as the non-renewable resource approaches exhaustion. Secondly, there are frequent escape episodes in which price rises rapidly before gradually falling back. The striking volatility and nonstationarity in commodity prices that results has parallels in oil price data. (C) 2013 Elsevier B.V. All rights reserved.