Asymmetric effects of oil price uncertainty on corporate investment

Aktham Maghyereh and Hussein Abdoh

Energy Economics, 2020, vol. 86, issue C

Abstract: Using a comprehensive data set of a large panel of US firms over 1984–2017, we show that the negative effect of crude oil price return uncertainty on investments is asymmetric. In particular, we show that investment is more significantly reduced following the volatility of positive oil price changes than that of negative changes, and this asymmetric effect is more pronounced in small firms. In addition, we find that the asymmetric effect is stronger in the crude oil- and gas-producing companies where the effect of the volatility of negative oil price changes is greater than that of positive oil price changes. We also find that the impact of positive or negative oil price change uncertainty on investments substantially differs across different industries. The results are quite robust to the way in which we measure the investment and oil price uncertainty and to alternative regression methods.

Keywords: Asymmetric effects; Crude oil Price uncertainty; Corporate investment; Firm characteristics (search for similar items in EconPapers)
JEL-codes: C23 E22 G31 Q43 (search for similar items in EconPapers)
Date: 2020
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (47)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:eneeco:v:86:y:2020:i:c:s0140988319304190

DOI: 10.1016/j.eneco.2019.104622

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