Oil Price Uncertainty

被引：488

作者：

Elder, John ^{[1
]}

Serletis, Apostolos ^{[2
]}

机构：

[1] Colorado State Univ, Dept Finance & Real Estate, Ft Collins, CO 80523 USA

[2] Univ Calgary, Dept Econ, Calgary, AB T2N 1N4, Canada

来源：

JOURNAL OF MONEY CREDIT AND BANKING | 2010年 / 42卷 / 06期

关键词：

real options; oil volatility; vector autoregression; multivariate GARCH-in-mean VAR; MACROECONOMY RELATIONSHIP; INVESTMENT DECISIONS; ECONOMIC-ACTIVITY; BUSINESS-CYCLE; COMPETITION; ENERGY; SHOCKS; IRREVERSIBILITY; INFLATION; INCREASES;

D O I：

10.1111/j.1538-4616.2010.00323.x

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

The theories of investment under uncertainty and real options predict that uncertainty about, for example, oil prices will tend to depress current investment. We reinvestigate the relationship between the price of oil and investment, focusing on the role of uncertainty about oil prices. We find that volatility in oil prices has had a negative and statistically significant effect on several measures of investment, durables consumption, and aggregate output. We also find that accounting for the effects of oil price volatility tends to exacerbate the negative dynamic response of economic activity to a negative oil price shock, while dampening the response to a positive oil price shock.

引用

页码：1137 / 1159

页数：23

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