Oil volatility and the option value of waiting : an analysis of the G-7

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dc.contributor.author Bredin, Donal
dc.contributor.author Elder, John
dc.contributor.author Fountas, Stilianos
dc.date.accessioned 2010-11-25T16:28:24Z
dc.date.available 2010-11-25T16:28:24Z
dc.date.issued 2009-08
dc.identifier.uri http://hdl.handle.net/10197/2598
dc.description.abstract There has recently been considerable interest in the potential adverse effects associated with excessive uncertainty in energy futures markets. Theoretical models of investment under uncertainty predict that increased uncertainty will tend to induce firms to delay investment. These models are widely utilized in capital budgeting decisions, particularly in the energy sector. There is relatively little empirical evidence, however, on whether such channels have industry-wide effects. Using a sample of G7 countries we examine whether uncertainty about a prominent commodity – oil – affects the time series variation in manufacturing activity. Our primary result is consistent with the predictions of real options theory – uncertainty about oil prices has had a negative and significant effect on manufacturing activity in Canada, France, UK and US. en
dc.description.sponsorship Not applicable en
dc.format.extent 349842 bytes
dc.format.mimetype application/pdf
dc.language.iso en en
dc.publisher University College Dublin. School of Business. Centre for Financial Markets en
dc.relation.ispartofseries Centre for Financial Markets working paper series en
dc.relation.ispartofseries WP 09 07 en
dc.relation.requires Economists Online Collection en
dc.subject Oil en
dc.subject Volatility en
dc.subject Vector autoregression, en
dc.subject Multivariate GARCH-in-Mean VAR. en
dc.subject.classification G1 en
dc.subject.classification G3 en
dc.subject.classification F3 en
dc.subject.lcsh Commodity futures--Econometric models en
dc.subject.lcsh Autoregression (Statistics) en
dc.subject.lcsh Multivariate analysis en
dc.title Oil volatility and the option value of waiting : an analysis of the G-7 en
dc.type Working Paper en
dc.internal.availability Full text available en
dc.internal.webversions http://www.ucd.ie/bankingfinance/docs/wp/WP-09-07-bredin.pdf en
dc.status Not peer reviewed en
dc.neeo.contributor Bredin|Donal|aut| en
dc.neeo.contributor Elder|John|aut| en
dc.neeo.contributor Fountas|Stilianos|aut| en

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