Strategic Investments, Trading, and Pricing Under Forecast Updating
研究两家独立企业基于不完美市场预测进行资源投资，并在信息更新后选择交易资源。通过讨价还价均衡或价格均衡确定交易合同，分析投资水平、预期价格、利润和消费者剩余如何受交易选项、预测质量、市场波动等因素影响。
This paper considers two independent firms that invest in resources such as capacity or inventory based on imperfect market forecasts. As time progresses and new information becomes available, the firms update their forecasts and have the option to trade their resources. The trade contract is determined as the bargaining equilibrium or, alternatively, as the price equilibrium. Assuming a fairly general form of the profit functions, we characterize the Nash equilibrium investment levels, which are first-best under the price equilibrium trade contract, but not under the bargaining equilibrium trade contract. To gain additional insights, we then focus on firms that face stochastic demand functions with constant price elasticity and have contingent pricing power. Assuming a general forecast evolution process, we characterize the impact of the option to trade and the firms’ cooperation on equilibrium investments, expected prices, profits, and consumer surplus. Finally, to study the main driving forces of trading, we employ a well-established and empirically tested forecast updating model in which the forecast evolution process follows a two-dimensional geometric Brownian motion. Under this model, we prove that the equilibrium investments, expected prices, profits, and consumer surplus are nondecreasing in the quality and timing of forecast revisions, in market variability, and in foreign exchange volatility, but are nonincreasing in market correlation.