• مطالعات اقتصادی مرتبط با حاملهای انرژی (فسیلی، تجدیدپذیر و برق)
parisa Mohajeri; reza Taleblou; Fatemeh KhanAhmadi
Abstract
Firm investment is one of the important financial decisions in the economy, which affects the value of companies and the wealth of shareholders, which can result in increasing welfare. Despite neglecting the effects of uncertainty in traditional investment theories, modern theories have introduced various ...
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Firm investment is one of the important financial decisions in the economy, which affects the value of companies and the wealth of shareholders, which can result in increasing welfare. Despite neglecting the effects of uncertainty in traditional investment theories, modern theories have introduced various mechanisms for the impact of uncertainty on investment expenditures. Using the daily data of oil prices and the data of 131 companies listed on the Tehran Stock Exchange market during the period of 2008-2020, the factors affecting the investment of the companies are identified by emphasizing the oil price uncertainty. For this purpose, in the first step, the stochastic volatility model in the framework of the space-state approach is the basis for estimating the oil price uncertainty, and in the next, according to the results of the Hausman endogeneity test, the instrumental variable method is used to estimate the coefficients of the variables affecting investment. The findings indicate that first, the volatility of oil prices has no significant effect on investment. Second, firm size, profitability, inflation, and Tobin’s Q affect investment positively and significantly. Third, the financial leverage, which is reflected in the capital structure polices, has a significant negative effect on investment, meaning that more focus on debt financing leads to less corporate investment expenditures.
سیاستگذاریهای اقتصادی و مالی در حوزههای فوقالذکر در سطوح ملی، منطقهای و جهانی
mojtaba rostami; Mohammad Nabi Shahiki Tash
Abstract
Due to the strategic role of volatility and instability of crude oil prices and their effects on all countries of the world, different methods of modeling and forecasting are necessary. Over the past two decades, an extensive literature has emerged on various approaches to empirically modeling volatility ...
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Due to the strategic role of volatility and instability of crude oil prices and their effects on all countries of the world, different methods of modeling and forecasting are necessary. Over the past two decades, an extensive literature has emerged on various approaches to empirically modeling volatility in the crude oil market. In this research, WTI crude oil price volatility modeling, which is one of the most important types of crude oil in the market of this strategic commodity, is examined with six flexible stochastic volatility (SV) models. Then the experimental performance of these models is compared with each other using Bayesian methods. The findings of this study show that adding one jump in efficiency and leverage effect to the stochastic volatility (SVLJ) model greatly improves its performance compared to other models. According to the findings of this model, the stability of volatility in the WTI market is very high and on average one jump occurs in this market every year. However, this model shows that in 2020, two jumps in WTI returns occurred in April and May, which is a unique event. In addition, the correlation between the return jump component and the volatility jump (Merton correlation jump) is not confirmed in the WTI data. Also, due to the negative leverage effect, negative shocks have stronger volatility effects than positive shocks in the crude oil market.
