The Effect of Uncertainty on Investment: Evidence from Texas Oil Drilling
利用得克萨斯州石油钻探数据和原油期货预期波动率，估计了投资对不确定性变化的响应，发现钻探活动对价格波动的反应幅度与理论最优响应一致，且忽视波动冲击的成本显著。
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: (i) the response of drilling activity to changes in price volatility has a magnitude consistent with the optimal response prescribed by theory, (ii) the cost of failing to respond to volatility shocks is economically significant, and (iii) implied volatility data derived from futures options prices yields a better fit to firms' investment behavior than backward-looking volatility measures such as GARCH.