Results 1 - 2 of 2
Results 1 - 2 of 2. Search took: 0.014 seconds
|Sort by: date | relevance|
[en] This paper examines the effect of energy price uncertainty on firm-level investment. An error correction model of capital stock adjustment is estimated with data on U.S. manufacturing firms. Higher energy price uncertainty is found to make firms more cautious by reducing the responsiveness of investment to sales growth. The result is robust to consideration of energy intensity by industry. The effect is greater for high growth firms. It must be emphasized that the direct effect of uncertainty is not estimated. Conditional variance of energy price is obtained from a GARCH model. Findings suggest that stability in energy prices would be conducive to greater stability in firm-level investment. (author)
[en] Highlights: • Responses of upstream stock returns to world non-US oil supply shock increase over time. • Responses of upstream stock returns to US oil supply shock are positive and persistent. • Effects of oil supply shocks are asymmetric for independents and integrated firms. • A structural change in the causal relationship between oil market and stock return - Abstract: A time-varying parameter VAR model is used to examine the impact of structural oil supply shocks on the US real stock market return of oil and gas exploration and production companies. The result shows that the impact response of the real return of the upstream stocks to a negative world non-US oil supply shock increases substantially over recent years, from an average value of 0.70% in 2006 to 6.16% during 2008–2010, with a spike of 6.81% in 2014Q3. The endogenous effects of US oil supply shocks on the return play an important role, in that the responses of the stock returns to a negative US oil supply shock are positive and persistent with an average value of 3.60% over time. The time-varying effects of oil supply shocks are heterogeneous. The magnitudes of return responses are different among independents, large proved-reserve independents and integrated companies over time.