| 来源类型 | FEEM working papers "Note di lavoro" series
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| 规范类型 | 论文
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| Investment-Uncertainty Relationship in the Oil and Gas Industry |
| Maryam Ahmadi; Matteo Manera; and Mehdi Sadeghzadeh
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| 发表日期 | 2018
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| 出处 | Economic Theory
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| 出版年 | 2018
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| 语种 | 英语
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| 摘要 | Recent studies on oil market demonstrate endogeneity of oil price by modeling it as a function of consumption and precautionary demands and producers’ supply. However, studies analysing the effect of oil price uncertainty on investment, do not disentangle uncertainties raised by underlying components playing a role in oil market. Accordingly, this study investigates the relationship between investment and uncertainty for a panel of U.S. firms operating in oil and gas industry with a new approach. We decompose oil price volatility to be driven by structural shocks that are recognized in oil market literature, over and above other determinants, to study whether investment uncertainty relationship depends on the drivers of uncertainty. Our findings suggest that oil market uncertainty lowers investment only when it is caused by global consumption demand shocks. Stock market uncertainty is found to have a negative effect on investment with a year of delay. The results suggest no positive relation between irreversible investment and uncertainty, but interestingly, positive relation exists for reversible investment. This finding is in line with the option theory of investment and implies that irreversibility effect of increased uncertainty dominates the traditional convexity effect.
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Suggested citation: Ahmadi, M., M. Manera , M. Sadeghzadeh, (2018), 'Investment-Uncertainty Relationship in the Oil and Gas Industry', Nota di Lavoro 13.2018, Milano, Italy: Fondazione Eni Enrico Mattei |
| 特色分类 | C3;G11;Q41;Q43
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| 关键词 | Oil Market
Investment
Uncertainty
SVAR-GARCH
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| URL | https://www.feem.it/en/publications/feem-working-papers-note-di-lavoro-series/investment-uncertainty-relationship-in-the-oil-and-gas-industry/
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| 来源智库 | Fondazione Eni Enrico Mattei (Italy)
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| 资源类型 | 智库出版物
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| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/118587
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推荐引用方式
GB/T 7714 |
Maryam Ahmadi,Matteo Manera,and Mehdi Sadeghzadeh. Investment-Uncertainty Relationship in the Oil and Gas Industry. 2018.
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