Oil Price Shocks, Firm Uncertainty and Investment
Kiseok Lee,
Wensheng Kang and
Ronald Ratti
MPRA Paper from University Library of Munich, Germany
Abstract:
It is found that an oil price shock in interaction with a firm’s stock price volatility has a negative effect on investment by that firm, both in the short and long-term. In the presence of this interaction term, linear variables in oil price shocks are not statistically significant. There is evidence that for the short-term effects of the interaction variable, the particular magnitude of an oil price shock may not be as important as the fact that there is an oil price shock. For the long-term effects, however, the magnitude of the oil price shock does matter. Over a longer horizon, oil price shocks depress investment more at firms facing greater uncertainty. An increase in firm stock price volatility continues to reduce the link between sales growth and investment in the presence of oil price shocks as in Bloom et al. (2007).
Keywords: Oil price shocks; firm uncertainty; stock price volatility; investment (search for similar items in EconPapers)
JEL-codes: E2 G31 Q43 (search for similar items in EconPapers)
Date: 2010-09-01
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Citations: View citations in EconPapers (1)
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Related works:
Journal Article: OIL PRICE SHOCKS, FIRM UNCERTAINTY, AND INVESTMENT (2011) 
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Persistent link: https://EconPapers.repec.org/RePEc:pra:mprapa:49044
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