INVESTMENT SPIKES AND UNCERTAINTY IN THE PETROLEUM REFINING INDUSTRY*
利用商品期货市场构建不确定性指标，结合美国炼油厂实际产能变化数据，通过风险模型分析发现不确定性上升会降低炼油厂调整产能的概率，支持投资不可逆性理论。
This paper investigates the effect of uncertainty on the investment decisions of petroleum refineries in the U.S. We construct uncertainty measures from the commodity futures market and use data on actual capacity changes to measure investment episodes. Since capacity changes in U.S. refineries occur infrequently, we empirically model the investment process using hazard models. An increase in uncertainty decreases the probability that a refinery might adjust its capacity. The results are robust to various investment thresholds. Our findings lend support to theories that emphasize the role of irreversibility in investment decisions.