M. Hashem Pesaran

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                    [post_content] => Irreversible investment under uncertainty has recently received a considerable amount of attention in the theoretical literature [McDonald and Siege1 (19861, Dixit (1989, 1991), Pindyck (1988, 1989), Ingersoll and Ross (1990)’ Bertola (1990)]. When an investment decision is costly to reverse and the payoffs are uncertain, the investment decision involves comparing the value of investing today with the present value of investing at all possible times in the future. The investment expenditure involves the cost of ‘exercising the option’ to invest at any time in the future and a project is adopted only when the expected payoff exceeds the cost by an amount equal to the value of the option. Option pricing techniques have been used to examine the determinants of irreversible investment under uncertainty, and show that even risk-neutral firms may be reluctant to invest when the future is uncertain. Oil investment in the North Sea is an example of irreversible investment. It involves three separate but highly interrelated activities: exploration, development of the oilfield, and extraction, We claim that on the United Kingdom Continental Shelf (IJKCS) the irreversible decision is made when development is undertaken. In other words, the exploration activity provides the firm with the option to invest, whose value is affected by the uncertainty that surrounds future oil prices.
                    [post_title] => Uncertainty & Irreversible Investment: An Empirical Analysis of	Development of Oilfields on the UKCS
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                    [post_content] => The aim of this paper is to propose and estimate an econometric model for the exploration development and extraction of oil in the North Sea. The starting points of our analysis are the recent studies by Pesaran( 1990) and Favero(l991). Pesaran (1990) proposes and estimates an intertemporal model of the exploration and production policy of price-taking suppliers. The optimal decision rules for exploration and production are derived by solving a constrained stochastic intertemporal profit maximization problem. The model recognizes two types of costs: exploration expenditures and the costs of development and production which is assumed to be a convex function varying positively with the rate of extraction and negatively with the level of remaining proven reserves. This cost function is justified on the basis of the available engineering information concerning the determinants of the pressure dynamics of the petroleum reserves [Uhler( 1979)l: current extraction, by reducing the level of reserves and the reservoir’s pressure tends to increase extraction costs. By the same argument, any increase in reserves, reduces future extraction costs.
                    [post_title] => Oil Investments in the North Sea
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                    [post_content] => Modelling of oil exploration and extraction is a formidable undertaking and involves important economic, geological, and political considerations.  The modelling task is further complicated by the largely non-quantifiable uncertainties that generally surround the future movements of oil prices and discovery of new oilfields.  As a result there are very few serious econo-metric studies of oil supplies, especially outside OPEC.
                    [post_title] => An Econometric Analysis of Exploration & Extraction of Oil on the UK Continental Shelf
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            [post_content] => Irreversible investment under uncertainty has recently received a considerable amount of attention in the theoretical literature [McDonald and Siege1 (19861, Dixit (1989, 1991), Pindyck (1988, 1989), Ingersoll and Ross (1990)’ Bertola (1990)]. When an investment decision is costly to reverse and the payoffs are uncertain, the investment decision involves comparing the value of investing today with the present value of investing at all possible times in the future. The investment expenditure involves the cost of ‘exercising the option’ to invest at any time in the future and a project is adopted only when the expected payoff exceeds the cost by an amount equal to the value of the option. Option pricing techniques have been used to examine the determinants of irreversible investment under uncertainty, and show that even risk-neutral firms may be reluctant to invest when the future is uncertain. Oil investment in the North Sea is an example of irreversible investment. It involves three separate but highly interrelated activities: exploration, development of the oilfield, and extraction, We claim that on the United Kingdom Continental Shelf (IJKCS) the irreversible decision is made when development is undertaken. In other words, the exploration activity provides the firm with the option to invest, whose value is affected by the uncertainty that surrounds future oil prices.
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Latest Publications by M. Hashem Pesaran

Books by M. Hashem Pesaran

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