A simple theoretical model of a timber market finds that there exists a rational expectations equilibrium in which prices evolve according to a stationary AR (I) process. Simulations analyze a model with a more general representation of timber slock dynamics. Implications for the optima! harvesting literature are: I) market efficiency provides little justification for random walk prices: 2) unit root tests, used in previous studies 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. (JEL Q23)
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