Uncertainty and investment: Evidence from domestic oil rigs
利用2012年以来美国国内石油钻机周度数据，研究发现石油价格不确定性显著减少钻机数量，不确定性每增加一个标准差，钻机数量最多减少5%。
Abstract We provide new evidence on the response of investment to uncertainty, using granular and high‐frequency (weekly) data on domestic oil drilling and oil prices since 2012, corresponding to the period of widespread horizontal drilling and hydraulic fracturing in the United States. Weekly data permits much weaker identifying restrictions than is required with monthly data that is common in the literature. We measure domestic drilling activity by the number of rigs drilling for oil, and we measure oil uncertainty by implied volatility from options on oil futures and the return on delta‐neutral straddles from options on oil futures. We show that the number of oil drilling rigs are tightly linked to both oil prices and oil uncertainty, and we find that oil uncertainty significantly decreases the number of drilling rigs, with a one standard deviation increase in uncertainty reducing the number of drilling rigs by up to 5%.