|
|
|
| Uncertainty Shocks to Oil Prices and Firm Investment |
| YU Jian, ZHENG Wenping, CHENG Dong
|
School of Economics, Central University of Finance andEconomics;
School of Economics, Renmin University of China;
Department of Economics, Vanderbilt University |
|
|
|
|
Abstract We investigate the response of Chinese investment to oil price uncertainty shocks, using quarterly macro data spanning the period 2000-2015 and annual micro survey data over the period 1998-2007. The macro structural VAR analysis reveals that uncertainty shocks to oil prices inhibit aggregate investment in the short run and account for around 12% fluctuations in fixed asset investment. In the micro level, we initiate a new computation method for firm investment using heterogeneous firm-level depreciation rate. The panel-data VAR evidence shows that uncertainty shocks to oil prices hinder firm investment in the short run for private and foreign firms, yet not significantly affecting state-and collectively-owned firms. We also find that the results are more pronounced when we allow for more heterogeneity in depreciation rate to compute firm investment. Further exploration suggests a more policy-oriented feature for investment of state-and collectively-owned firms, which explains its unresponsiveness to oil price uncertainty shocks.
|
|
Received: 01 July 2016
Published: 01 January 1900
|
|
|
|
|
| [1] |
樊纲、王小鲁和朱恒鹏,2010,《中国市场化指数——各地区市场化相对进程2009年报告》,经济科学出版社。
|
| [2] |
金雪军和王义中,2008,《理解人民币汇率的均衡、失调、波动与调整》,《经济研究》第1期,第46~59页。
|
| [3] |
李扬,2015,《新常态下应发挥好投资的关键作用》,《金融研究》第2期,第1~8页。
|
| [4] |
梁琪和余峰燕,2014,《金融危机、国有股权与资本投资》,《经济研究》第4期,第47~61页。
|
| [5] |
叶宁华和包群,2013,《信贷配给、所有制差异与企业存货期限》,《金融研究》第12期,第140~153页。
|
| [6] |
俞剑和陈宇峰,2014,《谁才是推高国际油价的真实动因？——中国需求、资本投机,抑或OPEC供给》,《金融研究》第2期,第30~43页。
|
| [7] |
张杰、郑文平和陈志远,2015,《进口与企业生产率——中国的经验证据》,《经济学(季刊)》第3期,第1029~1052页。
|
| [8] |
Abrigo, M., and I. Love, 2015, “Estimation of Panel Vector Autoregression in Stata: A Package of Programs” , Unpublished Manuscript.
|
| [9] |
Anderson, T. W., and C. Hsiao, 1982, “Formulation and Estimation of Dynamic Model Using Panel Data”, Journal of Econometrics, 18(1), 47~82.
|
| [10] |
Arellano, M. and O. Bover, 1995, “Another Look at the Instrumental Variable Estimation of Error-components Model”, Journal of Econometrics, 68(1), 29~51.
|
| [11] |
Bernanke, B. S., 1983, “Irreversibility, Uncertainty, and Cyclical Investment”, The Quarterly Journal of Economics, 98(1), 85~106.
|
| [12] |
Bilgin, M. H., G. Gozgor, and G. Karabulut, 2015, “The Impact of World Energy Price Volatility on Aggregate Economic Activity in Developing Asian Economies”, The Singapore Economic Review, 60(1), 1~20.
|
| [13] |
Bloom, N., 2009, “The Impact of Uncertainty Shocks”, Econometrica, 77(3), 623~685.
|
| [14] |
Carrière-Swallow, Y., and L. F. Céspedes, 2013, “The Impact of Uncertainty Shocks in Emerging Economies”, Journal of International Economics, 90(2), 316~325.
|
| [15] |
Edelstein, P., and L. Kilian, 2007, “The Response of Business Fixed Investment to Changes in Energy Prices: A Test of Some Hypotheses about the Transmission of Energy Price Shocks”, The BE Journal of Macroeconomics, 7(1), 1935~1960.
|
| [16] |
Elder, J., and A. Serletis, 2009, “Oil Price Uncertainty in Canada”, Energy Economics, 31(6), 852~856.
|
| [17] |
Elder,J., and A. Serletis, 2010, “Oil Price Uncertainty”, Journal of Money, Credit and Banking, 42(6), 1137~1159.
|
| [18] |
Hamilton, J. D., 1983, “Oil and the Macroeconomy since World War II”, The Journal of Political Economy, 91(2), 228~248.
|
| [19] |
Holtz-Eakin, D., W. Newey, and H. S. Rosen, 1988, “Estimating Vector Autoregression with Panel Data”, Econometrica, 56(6), 1371~1395.
|
| [20] |
Kilian, L., 2009, “Not All Oil Price Shocks Are Alike: Disentangling Demand and Supply Shocks in the Crude Oil Market”, The American Economic Review, 99(3), 1053~1069.
|
| [21] |
Love, I., and L. Zicchino, 2006, “Financial Development and Dynamic Investment Behavior: Evidence from Panel VAR”, Quarterly Review of Economics and Finance, 46(2), 190~210.
|
| [22] |
Mork, K. A., 1989, “Oil and the Macroeconomy When Prices Go Up and Down: An Extension of Hamilton’s Results”, Journal of Political Economy, 97(3), 740~744.
|
| [23] |
Ratti, R. A., Y. Seol, and K. H. Yoon, 2011, “Relative Energy Price and Investment by European Firms”, Energy Economics, 33(5), 721~731.
|
| [24] |
Sims, C. A., 1980, “Macroeconomics and Reality.” Econometrica, 48(1), 1~48.
|
| [25] |
Tang, W. Q., L. B. Wu, and Z.X. Zhang, 2010, “Oil Price Shocks and Their Short-and Long-term Effects on the Chinese Economy”, Energy Economics, 32(S1), 3~14.
|
| [26] |
Uhlig, H., 2005, “What are the Effects of Monetary Policy on Output? Results from An Agnostic Identification Procedure”, Journal of Monetary Economics, 52(2), 381~419.
|
| [27] |
Yoon, K. H., and R. A. Ratti, 2011, “Energy Price Uncertainty, Energy Intensity and Firm Investment”, Energy Economics, 33(1), 67~78.
|
| No related articles found! |
|
|
|
|
