THRESHOLD EFFECT OF OIL PRICES ON BILATERAL TRADE BALANCES IN IRAN: A PANEL SMOOTH TRANSITION REGRESSION MODEL (PSTR)

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SHAHBAZI KIUMARS; KARIMI GHOMRI

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Journal: Journal of Economic Modelling Year:2015 | Volume:8 | Issue:4 (28) Page(s): 63-81

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Title

THRESHOLD EFFECT OF OIL PRICES ON BILATERAL TRADE BALANCES IN IRAN: A PANEL SMOOTH TRANSITION REGRESSION MODEL (PSTR)

Author(s)

SHAHBAZI KIUMARS | KARIMI GHOMRI | Issue Writer Certificate

Keywords

THRESHOLD EFFECTQ2

OIL PRICESQ2

TRADE BALANCEQ2

Abstract

This paper investigates the THRESHOLD EFFECT of OIL PRICES on bilateral TRADE BALANCEs in Iran and 14 main trading countries during 1992 - 2010 by using a Panel Smooth Transition Regression (PSTR) model. OIL PRICES is selected as the variable of transition. The empirical results indicate a strong nonlinear relationship between the TRADE BALANCE and dependent variables. The threshold value and transition parameter are -0.44 and 12.99 representing the average adjustment speed. Moreover, it is sufficient to consider one transition function by one threshold to estimate a nonlinear model. In the first regime, OIL PRICES have a positive impact on the TRADE BALANCE. This effect becomes negative when passing from the threshold value and in the second regime. The results suggest that by high levels of OIL PRICES, the increases have a negative impact on bilateral TRADE BALANCEs indicating that the dependence of economy on oil should be reduced.

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APA: Copy

SHAHBAZI, KIUMARS, & KARIMI, GHOMRI. (2015). THRESHOLD EFFECT OF OIL PRICES ON BILATERAL TRADE BALANCES IN IRAN: A PANEL SMOOTH TRANSITION REGRESSION MODEL (PSTR). ECONOMIC MODELLING, 8(4 (28)), 63-81. SID. https://sid.ir/paper/176344/en

Vancouver: Copy

SHAHBAZI KIUMARS, KARIMI GHOMRI. THRESHOLD EFFECT OF OIL PRICES ON BILATERAL TRADE BALANCES IN IRAN: A PANEL SMOOTH TRANSITION REGRESSION MODEL (PSTR). ECONOMIC MODELLING[Internet]. 2015;8(4 (28)):63-81. Available from: https://sid.ir/paper/176344/en

IEEE: Copy

KIUMARS SHAHBAZI, and GHOMRI KARIMI, “THRESHOLD EFFECT OF OIL PRICES ON BILATERAL TRADE BALANCES IN IRAN: A PANEL SMOOTH TRANSITION REGRESSION MODEL (PSTR),” ECONOMIC MODELLING, vol. 8, no. 4 (28), pp. 63–81, 2015, [Online]. Available: https://sid.ir/paper/176344/en

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