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Replication data for: The Effect of Uncertainty on Investment: Evidence from Texas Oil Drilling

Version
1
Resource Type
Dataset
Creator
  • Kellogg, Ryan
Publication Date
2014-06-01
Description
  • 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: (1) the response of drilling activity to changes in price volatility has a magnitude consistent with the optimal response prescribed by theory, (2) the cost of failing to respond to volatility shocks is economically significant, and (3) implied volatility data derived from futures options prices yields a better fit to firms' investment behavior than backward-looking volatility measures such as GARCH.
Availability
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Relations
  • Is supplement to
    DOI: 10.1257/aer.104.6.1698 (Text)
Publications
  • Kellogg, Ryan. “The Effect of Uncertainty on Investment: Evidence from Texas Oil Drilling.” American Economic Review 104, no. 6 (June 2014): 1698–1734. https://doi.org/10.1257/aer.104.6.1698.
    • ID: 10.1257/aer.104.6.1698 (DOI)

Update Metadata: 2020-05-18 | Issue Number: 2 | Registration Date: 2019-12-06

Kellogg, Ryan (2014): Replication data for: The Effect of Uncertainty on Investment: Evidence from Texas Oil Drilling. Version: 1. ICPSR - Interuniversity Consortium for Political and Social Research. Dataset. https://doi.org/10.3886/E116127V1