THE EFFECTS DYNAMIC OF ASYMMETRIC SHOCKS OF OIL ON INFLATION IN IRAN

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DALMANPOUR MOHAMMAD; SHAFIE M.

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Journal: QUANTITATIVE RESEARCHES IN MANAGEMENT Year:2014 | Volume:5 | Issue:3 Page(s): 163-190

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Title

THE EFFECTS DYNAMIC OF ASYMMETRIC SHOCKS OF OIL ON INFLATION IN IRAN

Author(s)

DALMANPOUR MOHAMMAD | SHAFIE M. | Issue Writer Certificate

Keywords

OILQ2

ASYMMETRIC SHOCKSQ2

INFLATIONQ2

VECTOR AUTO REGRESSIONQ2

Abstract

Considering the vulnerability of macroeconomic variables in Iran, as an OIL-based economy, to global changes in the OIL market, in this paper we examine the dynamic relationship between OIL prices and INFLATION. For this aim we apply vector autoregressive approach with an asymmetric definition of OIL prices and distinguish between positive and negative OIL price changes. Using quarterly data for 1988 to 2008 the results showed negative effect of changes in OIL prices on INFLATION. The effects of OIL price shocks on INFLATION is temporary but long route convergence in response to negative OIL price shocks in OIL prices is longer than the response to the positive momentum.Also according to the results, the most effective factors explain changes in INFLATION are lagged INFLATION rate, exchange rate in informal market and GDP. Thus OIL price shocks cannot be a variable with the highest proportion among the various factors affecting INFLATION. Finally, the effect of OIL prices on INFLATION in short-term and long-term are not the same.

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APA: Copy

DALMANPOUR, MOHAMMAD, & SHAFIE, M.. (2014). THE EFFECTS DYNAMIC OF ASYMMETRIC SHOCKS OF OIL ON INFLATION IN IRAN. QUANTITATIVE RESEARCHES IN MANAGEMENT, 5(3), 163-190. SID. https://sid.ir/paper/191957/en

Vancouver: Copy

DALMANPOUR MOHAMMAD, SHAFIE M.. THE EFFECTS DYNAMIC OF ASYMMETRIC SHOCKS OF OIL ON INFLATION IN IRAN. QUANTITATIVE RESEARCHES IN MANAGEMENT[Internet]. 2014;5(3):163-190. Available from: https://sid.ir/paper/191957/en

IEEE: Copy

MOHAMMAD DALMANPOUR, and M. SHAFIE, “THE EFFECTS DYNAMIC OF ASYMMETRIC SHOCKS OF OIL ON INFLATION IN IRAN,” QUANTITATIVE RESEARCHES IN MANAGEMENT, vol. 5, no. 3, pp. 163–190, 2014, [Online]. Available: https://sid.ir/paper/191957/en

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