Equilibrium exhaustible resource price dynamics

• 成果类型: Article
• 署名作者: Carlson, Murray; Khokher, Zeigham; Titman, Sheridan
• 署名单位: University of British Columbia; Western University (University of Western Ontario); University Western Ontario Hospital; University of Texas System; University of Texas Dallas
• 刊物名称: JOURNAL OF FINANCE
• ISSN/ISSBN: 0022-1082
• DOI: 10.1111/j.1540-6261.2007.01254.x
• 发表日期: 2007
• 页码: 1663-1703
• 关键词: Commodity futures; valuation; BEHAVIOR; storage

摘要

\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 behavior these commodities exhibit in the Schwartz and Smith (2000) calibration. Our two-factor model 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 model and exogenous processes in earlier papers can generate significant differences in both financial and real option values.