Equilibrium Exhaustible Resource Price Dynamics
构建了可耗竭资源市场的均衡模型，内生化开采选择和价格，解释了油气远期价格的双因子动态，并发现生产调整会自然产生随机波动性，提供了实证证据。
ABSTRACT 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.