ASSESSING THE ASYMMETRIC EFFECTS OF CRUDE OIL SHOCKS ON THE IRANIAN ECONOMY IN ECONOMIC REGIMES: MARKOV SWITCHING MODEL

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GHANBARI ALI; KHEZRI MOHSEN; RASOLI AHMAD

مرکز اطلاعات علمی Scientific Information Database (SID) - Trusted Source for Research and Academic Resources

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Journal: Journal of Economic Research Year:2012 | Volume:46 | Issue:97 Page(s): 119-149

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Information Journal Paper

Title

ASSESSING THE ASYMMETRIC EFFECTS OF CRUDE OIL SHOCKS ON THE IRANIAN ECONOMY IN ECONOMIC REGIMES: MARKOV SWITCHING MODEL

Author(s)

GHANBARI ALI | KHEZRI MOHSEN | RASOLI AHMAD | Issue Writer Certificate

Keywords

REGIME SWITCHESQ2

OIL SHOCKSQ2

INDUSTRIAL SECTORQ2

Abstract

According to the importance of careful review of crude oil market fluctuations on the Iranian economy, in this paper a multivariate model of Markov switching vector error correction model (have been used). Variables such as real gross domestic product in INDUSTRIAL SECTOR, real effective exchange rate, real governmental expenditure, real import, inflation rate and real crude oil price is used to detect the asymmetric effects of crude oil market shocks in the expansion and recession phase of the Iran INDUSTRIAL SECTOR by using the seasonal data from years 1368 to 1386. Results show asymmetric behavior of the model variables on the oil price fluctuations in different regimes of the Iran INDUSTRIAL SECTOR, so that with moving from the recession phase to expansion phase of the Iran INDUSTRIAL SECTOR, the negative effect of increase in oil price on the Iranian economy has been increased.

Cites

IDENTIFYING REGIME SWITCHING OF STOCK MARKET RETURNS IN IRAN

References

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APA: Copy

GHANBARI, ALI, KHEZRI, MOHSEN, & RASOLI, AHMAD. (2012). ASSESSING THE ASYMMETRIC EFFECTS OF CRUDE OIL SHOCKS ON THE IRANIAN ECONOMY IN ECONOMIC REGIMES: MARKOV SWITCHING MODEL. TAHGHIGHAT-E-EGHTESADI, 46(97), 119-149. SID. https://sid.ir/paper/11968/en

Vancouver: Copy

GHANBARI ALI, KHEZRI MOHSEN, RASOLI AHMAD. ASSESSING THE ASYMMETRIC EFFECTS OF CRUDE OIL SHOCKS ON THE IRANIAN ECONOMY IN ECONOMIC REGIMES: MARKOV SWITCHING MODEL. TAHGHIGHAT-E-EGHTESADI[Internet]. 2012;46(97):119-149. Available from: https://sid.ir/paper/11968/en

IEEE: Copy

ALI GHANBARI, MOHSEN KHEZRI, and AHMAD RASOLI, “ASSESSING THE ASYMMETRIC EFFECTS OF CRUDE OIL SHOCKS ON THE IRANIAN ECONOMY IN ECONOMIC REGIMES: MARKOV SWITCHING MODEL,” TAHGHIGHAT-E-EGHTESADI, vol. 46, no. 97, pp. 119–149, 2012, [Online]. Available: https://sid.ir/paper/11968/en

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