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Investment-Uncertainty Relationship in the Oil and Gas Industry

Author

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  • Maryam Ahmadi

    (University of Milan-Bicocca)

  • Matteo Manera

    (University of Milan-Bicocca and Fondazione Eni Enrico Mattei (FEEM))

  • Mehdi Sadeghzadeh

    (Institute for Management and Planning Studies (IMPS))

Abstract

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.

Suggested Citation

  • Maryam Ahmadi & Matteo Manera & Mehdi Sadeghzadeh, 2018. "Investment-Uncertainty Relationship in the Oil and Gas Industry," Working Papers 2018.13, Fondazione Eni Enrico Mattei.
    • Handle: RePEc:fem:femwpa:2018.13
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    More about this item

    Keywords

    Oil Market; Investment; Uncertainty; SVAR-GARCH;
    All these keywords.

    JEL classification:

    • C3 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables
    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
    • Q41 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - Energy - - - Demand and Supply; Prices
    • Q43 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - Energy - - - Energy and the Macroeconomy

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