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High oil prices and gradual resource depletion have raised concerns for security of energy supply. Successful exploration activity is a critical factor for future oil and gas production. Combining microeconomic theory of producer behaviour and petroleum exploration with modern time series econometrics, this study reveals new insights into the process of oil and gas exploration. A vector equilibrium-correction model is outlined for three components of reserve growth, with properties and results illustrated on a data set from the Norwegian Continental Shelf. The estimated model produces plausible and robust estimates for short-term and long-term effects of changes in the oil price, licensing policies, and seismic surveying activity. Moreover, the model provides a full breakdown of the various sources of reserve growth. Results for the oil price effects give a strong indication of procyclical variation in the risk appetite among oil and gas companies