We estimate the response of domestic oil drilling to uncertainty about oil prices. We measure domestic drilling activity by the weekly number of rigs drilling for oil, and we measure oil uncertainty by implied volatility from options on oil futures. We find that oil uncertainty has a negative...

This paper investigates the exposure of industry level portfolios to oil price shocks. Our paper utilizes the Campbell (1991) decomposition of stock returns based on a log-linear approximation to the discounted present value relation while allowing for time varying expected returns. The results...

The failure of decreases in oil prices to produce expansions that mirror the contractions associated with higher oil prices has been a topic of considerable interest. We investigate for the G-7 one explanation for this feature - the role of uncertainty about oil prices. In particular, we examine...

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...

Previous research shows that volatility in oil prices has tended to depress output, as measured by non-residential investment and GDP. This is interpreted as evidence in support of the theory of real options in capital budgeting decisions, which predicts that uncertainty about, for example,...

This study examines price discovery among the two most prominent price benchmarks in the market for crude oil, WTI sweet crude and Brent sweet crude. Using data on the most active futures contracts measured at the one-second frequency, we find that WTI maintains a dominant role in price...

Previous research has been unable to identify a strong link between oil prices and economic news. We reexamine this relationship using high frequency intraday data and relatively new methodology that we use to estimate jumps in oil prices. We find a surprisingly strong relation between high...

The theories of investment under uncertainty and real options predict that uncertainty about, for example, oil prices will tend to depress current investment. We reinvestigate the relationship between the price of oil and investment, focusing on the role of uncertainty about oil prices. We find...

Analytical results are presented that drastically simplify joint estimation of the APT by Non-linear SUR and maximum likelihood when the factors are measured. Four alternative analytical expressions for calculating standard errors are also presented.Please see published version in Economics...

We reexamine commodity futures returns for evidence of fractional integration utilizing two estimators based on wavelets. We summarize basic wavelet methods for signal processing and decompose commodity futures returns by wavelet scale. We find the evidence for long memory is not conclusive...