Investigating the Relationship between Investment and Uncertainty in Iran's Oil Industry

Dehnavi, Jalal; Mousavi, Mir Hossein; Khoshkalam Khosroshahi, Musa; Eivazy, Lana

doi:10.22054/jiee.2022.65851.1885

Document Type : Research Paper

Authors

¹ Department of Economics, Faculty of Social Sciences and Economics, Alzahra University, Tehran, Iran

² ایرانDepartment of Economics, Faculty of Social Sciences and Economics, Alzahra University, Tehran, Iran

³ Master of Economics, Alzahra University, Tehran, Iran

https://doi.org/10.22054/jiee.2022.65851.1885

Abstract

The growth and survival of a company are based on making appropriate and principled investment decisions. This is while a company always continues to operate in an unpredictable environment and under the influence of various shocks. In this regard, this issue has created a two-way relationship between investment and uncertainty. Therefore, this study examines the relationship between investment and uncertainty in the Iranian oil industry during the period 2010 to 2019 for 32 listed companies active in the oil industry. In this regard, using the vector auto-regression approach with generalized auto-regression conditional variance heterogeneity moment, first, the structural shocks of the oil market are extracted, and then using the generalized moments approach of the Tobin q investment model is estimated. Findings show that the shock caused by global demand (ε^pw), and the shock caused by the global stock market (ε^sp) have a negative and significant effect on the ratio of gross investment to corporate capital stock. The ratio of gross investment to the company's capital stock has a negative effect on its amount with a one-year delay, which is also statistically significant. Oil supply shock (ε^opw) and oil price shock (ε^rp) have a positive and significant effect on the ratio of gross investment to the company's capital stock. The ratio of market value to the replacement value of company assets has a positive and significant effect on the ratio of gross investment to capital stock. In this regard, due to the effectiveness of oil companies’ investments in global variables such as global oil price fluctuations and supply and demand shocks, investors' stock insurance against sudden fluctuations and shocks is recommended.

Keywords

20.1001.1.24235954.1400.10.39.6.7

Main Subjects

سیاستگذاری‌های اقتصادی و مالی در حوزه‌های فوق‌الذکر در سطوح ملی، منطقه‌ای و جهانی

References

ابطحی فروشانی، سیدتقی و نیکبختی، فاطمه. (1393). طبقه‌بندی انواع ریسک‌ها در توسعة میادین نفت و گاز. ماهنامه اکتشاف و تولید نفت و گاز، شماره ۱۱۲.

ابوالحسنی، اصغر؛ ابراهیمی، ایلناز؛ پورکاظمی، محمدحسین و بهرامی‌نیا، ابراهیم. (1395). اثر تکانه‌های پولی و تکانه‌های نفتی بر تولید و تورم بخش مسکن در اقتصاد ایران: رویکرد تعادل عمومی پویای تصادفی نیوکینزی. فصلنامه علمی پژوهشی پژوهش‌های رشد و توسعه اقتصادی، دوره 7، شماره 25، صفحات 128-109.

جعفری، نرگس؛ دسینه، مهدی؛ مریدی، فاطمه. (1395). تأثیر عدم اطمینان بر رابطه بین سرمایه‌گذاری و سیاست تقسیم سود. اولین همایش حسابداری، اقتصاد و نوآوری در مدیریت، بندرعباس.

دهقانی فیروزآبادی، سید جلال و صادقی، اکبر. (1397). چشم‌انداز جهانی عرضه و تقاضای نفت و گاز و جایگاه ژئواستراتژیک ایران. پژوهش‌های روابط بین‌الملل، دوره 8، شماره 1.

عینی، آرش؛ همدم، هادی و قدیم‌پور، جواد. (1398). تأثیر عدم اطمینان محیطی بر تصمیمات سرمایه‌گذاری شرکت‌های پذیرفته‌شده در بورس اوراق بهادار تهران. چشم‌انداز حسابداری و مدیریت، دوره 2، شماره 9.

گسکری، ریحانه و اقبالی، علیرضا. (1384). اثر شوک نفتی بر سرمایه‌گذاری بخش خصوصی در ایران. پژوهش‌ها و سیاست‌های اقتصادی، شماره 36.

وارث، حامد؛ قنبری کیوی، فریبرز و بناءزاده، محمدجواد. (1399). بررسی آثار متقابل تبادل اطلاعات، سرمایه رابطه‌ای و عدم اطمینان محیطی بر عملکرد سرمایه‌گذاری‌های مشترک (مورد مطالعه: شرکت‌های پیمانکاری EPC صنعت نفت و گاز و پتروشیمی). مدیریت بازرگانی، دوره 12، شماره 2.

Abel, A. (1983). Optimal investment under uncertainty. American Economic Review, 73, pp. 228-233.

Ahmadi, R. Manera, M. and Sadeghzadeh,M. (2016). Global oil market and the U.S. stock returns. Energy, 114, pp. 1277-1287.

Ahmadi, R. Manera, M. and Sadeghzadeh. M. (2019). The investment-uncertainty relationship in the oil and gas industry. Resources Policy, Vol. 63.

Bernanke, B. (1983). Irreversibility, Uncertainty and Cyclical Investment. Quarterly Journal of Economics, Vol. 98.

Bond, S. R. and Cummins, J. G. (2004). Uncertainty and company investment, an empirical model using data on analysts’ profits forecasts. Mimeo, Institute for Fiscal Studies.

Bulan, L. T. (2005). Real Options, Irreversible Investment and Firm Uncertainty, New Evidence from U. S. Firms. Review of Financial Economics, 14, pp. 255-279.

Taylor, J. B. and Woodford, M. (1999), Handbook of Macroeconomics. Volume 1, Part B, North-Holland, Amsterdam.

Campa, J. (1993). Entry by Foreign Firms in the United States under Exchange Rate Uncertainty. The Review of Economics and Statistics, 75, pp. 614-622.

Cukierman, A. W. (1980). The Effects of Uncertainty on Investment under Risk Neutrality with Endogenous Information. The Journal of Political Economy, 88(3), pp. 462-475.

Dixit, A. and Pindyck, R. (1994). Investment under Uncertainty. Princeton University Press, Princeton.

Favero, C.A. Pesaran, M. H. and Sharma. S. (1992). Uncertainty and Irreversible Investment: An Empirical Analysis of Development of Oilfields on the UKCS. Cambridge Working Papers in Economics 9210, Faculty of Economics, University of Cambridge.

Glass, V. and Cahn, E. S. (1987). Energy prices and investment over the business cycle. Energy Economics, 9(4), pp. 257-264.

Hartman, R. (1972). The Effects of Price and Cost Uncertainty on Investment. Journal of Economic Theory, 5, pp. 258-266.

Hayashi, S. (2010). Risk mitigation in petroleum ﬁeld development by modular implantation. Journal of Petroleum Science and Engineering, Vol.75, pp. 105-113.

Henriques, I. and Sadorsky, P. (2011). The effect of oil price volatility on strategic investment. Energy Economics, 33, pp. 79-87.

Huizinga, J. (1993). Inflation Uncertainty, Relative Price Uncertainty, and Investment in U.S. Manufacturing. Journal of Money, Credit and Banking, 25(3), pp. 521-549.

Ilyas, M. Khan, A. Nadeem, M. and Tahirsulemanc, M. (2021). Economic policy uncertainty, oil price shocks and corporate investment: Evidence from the oil industry. Energy Economics, Vol. 97.

Kilian, L. and Murphy, D. P. (2014). The Role of Inventories and Speculative Trading in the Global Market for Crude Oil. Journal of Applied Econometrics, 29(3), pp. 454-478.

Knox, G. (2002). Subsurface Risk and Uncertainty in Petroleum Exploration-The Challenges. AA PG Distinguished Lecture, Page 9.

Leahy, J. V. and Whited, T. M. (1996). The Effect of Uncertainty on Investment: Some Stylized Facts. Journal of Money, Credit and Banking, 28(1), pp. 64-83.

McDonald, R. and Sigel, D. (1986). The value of waiting to invest. The Quarterly Journal of Economics, 101(4), pp. 707-728.

Ogawa. K. and Suzuki, K. (2010). Uncertainty and investment: some evidence from the panel data of Japanese manufacturing firms. Japanese Economic Review, 51, pp. 170-192.

Oi. W. (1961). The Desirability of Price Instability Under Perfect Competition. Econometrics, 29(1), pp. 58-64.

Pindyck, R. S. (1991). Irreversibility, Uncertainty and Investment. Journal of Economic Literature, 29, pp. 11101148.

Ratti. R.A. and Yoon, K. H. (2011). Energy price uncertainty, energy intensity and firm investment. Energy Economics, 33(1), pp. 67-78.

Sudipto,S. (2021). The uncertainty-investment relationship with endogenous capacity. Omega, Vol. 98.

Uri. N. (1980). Energy as a determinant of investment behavior. Energy Economics, 2(3), pp. 179-183.

Iranian Energy Economics

Investigating the Relationship between Investment and Uncertainty in Iran's Oil Industry

References

References

Volume 10, Issue 39 - Serial Number 3
July 2021
Pages 159-181

Investigating the Relationship between Investment and Uncertainty in Iran's Oil Industry

References

References

Volume 10, Issue 39 - Serial Number 3July 2021Pages 159-181

Volume 10, Issue 39 - Serial Number 3
July 2021
Pages 159-181