| Registro completo |
| Provedor de dados: |
AgEcon
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| País: |
United States
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| Título: |
THE DYNAMIC BEHAVIOR OF EFFICIENT TIMBER PRICES
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| Autores: |
McGough, Bruce
Plantinga, Andrew J.
Provencher, Bill
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| Data: |
2003-04-03
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| Ano: |
2002
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| Palavras-chave: |
Resource /Energy Economics and Policy
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| Resumo: |
The problem of when to optimally harvest trees when timber prices evolve according to an exogenous stochastic process has been studied extensively in recent decades. However, little attention has been given to the appropriate form of the stochastic process for timber prices, despite the fact that the choice of a process has important effects on optimal harvesting decisions. We develop a simple theoretical model of a timber market and show that there exists a rational expectations equilibrium in which prices evolve according to a stationary ARMA(1,1) process. Simulations are used to analyze a model with a more general representation of timber stock dynamics and to demonstrate that the unconditional distribution for rational timber prices is asymmetric. Implications for the optimal harvesting literature are: 1) market efficiency provides little justification for random walk prices, 2) unit root tests, used to analyze the informational efficiency of timber markets, do not distinguish between efficient and inefficient markets, and 3) failure to recognize asymmetric disturbances in time-series analyses of historical timber prices can lead to sub-optimal harvesting rules.
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| Tipo: |
Working or Discussion Paper
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| Idioma: |
Inglês
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| Identificador: |
8049
http://purl.umn.edu/12607
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| Editor: |
AgEcon Search
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| Relação: |
University of Wisconsin-Madison>Department of Agricultural and Applied Economics>Staff Papers
Staff Paper Series No. 454
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| Formato: |
33
application/pdf
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