The DOI matches its Crossref record; 1 of the 1 references it cites were found in a registry or an index.
The Effect of Uncertainty on Investment: Evidence from Texas Oil Drilling
Abstract
This paper estimates the response of investment to changes in uncertainty using data on oil drilling in Texas and the expected volatility of the future price of oil. Using a dynamic model of firms' investment problem, I find that: (i) the response of drilling activity to changes in price volatility has a magnitude consistent with the optimal response prescribed by theory, (ii) the cost of failing to respond to volatility shocks is economically significant, and (iii) implied volatility data derived from futures options prices yields a better fit to firms' investment behavior than backward-looking volatility measures such as GARCH. (JEL C58, D92, G13, G31, L71, Q31)
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Citations
Cites
The pricing of options and corporate liabilities
Black, F., & Scholes, M. (1973) · Journal of Political Economy · doi:10.1086/260062 · Cited by 29,074
Cited by
Uncertainty and Economic Activity: Evidence from Business Survey Data
Bachmann, R., Elstner, S., & Sims, E. R. (2013) · American Economic Journal: Macroeconomics · doi:10.1257/mac.5.2.217 · Cited by 991
Lagged Explanatory Variables and the Estimation of Causal Effect
Bellemare, M. F., Masaki, T., & Pepinsky, T. B. (2017) · The Journal of Politics · doi:10.1086/690946 · Cited by 804
Metadata
- Authors
- Kellogg, R.
- Venue
- American Economic Review
- Publisher
- American Economic Association
- Published
- 2014-06-01
- Volume
- 104
- Issue
- 6
- Pages
- 1698-1734
- ISSN
- 0002-8282 (ISSN-L)
- OpenAlex
- W1964987127
- Cited by
- 357
- References
- 1
- FWCI
- 45.36
- Type
- journal article
- Language
- en
- Open access
- closed
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- Kellogg, R. (2014). The Effect of Uncertainty on Investment: Evidence from Texas Oil Drilling. American Economic Review. https://doi.org/10.1257/aer.104.6.1698
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