IDEAS home Printed from https://ideas.repec.org/a/ier/iecrev/v32y1991i2p441-55.html
   My bibliography  Save this article

The Evolution of Natural Resource Prices under Stochastic Investment Opportunities: An Intertemporal Asset-Pricing Approach

Author

Listed:
  • Gaudet, Gerard
  • Khadr, Ali M

Abstract

The authors consider the competitive equilibrium of an economy with technological uncertainty in the production of a composite good and in the extraction of a nonrenewable natural resource. The familiar Hotelling-type rule takes the form of the intertemporal asset-pricing equation of portfolio theory. It characterizes the evolution of the resource price. In its so-called consumption-beta formulation, it predicts that the expected excess return to holding the resource in the ground is proportional to the covariance between the return to holding the resource and the rate of change of per capita consumption. This suggests a framework for testing the Hotelling rule. Copyright 1991 by Economics Department of the University of Pennsylvania and the Osaka University Institute of Social and Economic Research Association.

Suggested Citation

  • Gaudet, Gerard & Khadr, Ali M, 1991. "The Evolution of Natural Resource Prices under Stochastic Investment Opportunities: An Intertemporal Asset-Pricing Approach," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 32(2), pages 441-455, May.
    • Handle: RePEc:ier:iecrev:v:32:y:1991:i:2:p:441-55
    as

    Download full text from publisher

    File URL: http://links.jstor.org/sici?sici=0020-6598%28199105%2932%3A2%3C441%3ATEONRP%3E2.0.CO%3B2-P&origin=repec
    File Function: full text
    Download Restriction: Access to full text is restricted to JSTOR subscribers. See http://www.jstor.org for details.
    ---><---

    As the access to this document is restricted, you may want to search for a different version of it.

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Brian R. Copeland & M. Scott Taylor, 2017. "Environmental and resource economics: A Canadian retrospective," Canadian Journal of Economics, Canadian Economics Association, vol. 50(5), pages 1381-1413, December.
    2. van den Bremer, Ton & van der Ploeg, Frederick & Wills, Samuel, 2016. "The Elephant In The Ground: Managing Oil And Sovereign Wealth," European Economic Review, Elsevier, vol. 82(C), pages 113-131.
    3. Kakeu, Johnson & Nguimkeu, Pierre, 2017. "Habit formation and exhaustible resource risk-pricing," Energy Economics, Elsevier, vol. 64(C), pages 1-12.
    4. John Livernois & Henry Thille & Xianqiang Zhang, 2006. "A test of the Hotelling rule using old‐growth timber data," Canadian Journal of Economics/Revue canadienne d'économique, John Wiley & Sons, vol. 39(1), pages 163-186, February.
    5. Gaudet, Gérard, 1990. "Commentaire," L'Actualité Economique, Société Canadienne de Science Economique, vol. 66(4), pages 461-466, décembre.
    6. Gérard Gaudet, 2007. "Natural resource economics under the rule of Hotelling," Canadian Journal of Economics, Canadian Economics Association, vol. 40(4), pages 1033-1059, November.
    7. Johnson Kakeu, 2016. "Exhaustibility and Risk as Asset Class Dimensions: A Social Investor Approach to Capital-Resource Economies," Environmental & Resource Economics, Springer;European Association of Environmental and Resource Economists, vol. 65(4), pages 677-695, December.
    8. Rick van der Ploeg, 2014. "Guidelines for exploiting natural resource wealth," Oxford Review of Economic Policy, Oxford University Press, vol. 30(1), pages 145-169.

    More about this item

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:ier:iecrev:v:32:y:1991:i:2:p:441-55. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Wiley-Blackwell Digital Licensing or the person in charge (email available below). General contact details of provider: https://edirc.repec.org/data/deupaus.html .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.