Oil Price Uncertainty

Journal of Money, Credit and Banking - Tập 42 Số 6 - Trang 1137-1159 - 2010
John P. Elder1, Apostolos Serletis2
1John Elder is an Associate Professor of Finance, Department of Finance and Real Estate, Colorado State University, Fort Collins, CO (E-mail: [email protected]).
2Apostolos Serletis is a Professor of Economics and Finance, Department of Economics, University of Calgary, Canada (E-mail: [email protected]).

Tóm tắt

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.

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Thông tin
Thông tin xuất bản

Journal of Money, Credit and Banking

Tập 42 Số 6

1137-1159

Thông tin tác giả