INVESTIGATING THE ECONOMIC GROWTH MULTI BEHAVIOR PATTERNS IN RESPONSE TO CRUDE OIL PRICE VOLATILITY: AN APPLICATION OF GARCH MODELS AND MARKOV SWITCHING REGRESSION MODEL

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MEHREGAN NADER; MOHAMMADZADEH PARVIZ; HAGHANI MAHMOUD; SALMANI YUNES

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Journal: JOURNAL OF ECONOMIC MODELING RESEARCH Year:2013 | Volume:3 | Issue:12 Page(s): 73-101

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Title

INVESTIGATING THE ECONOMIC GROWTH MULTI BEHAVIOR PATTERNS IN RESPONSE TO CRUDE OIL PRICE VOLATILITY: AN APPLICATION OF GARCH MODELS AND MARKOV SWITCHING REGRESSION MODEL

Author(s)

MEHREGAN NADER | MOHAMMADZADEH PARVIZ | HAGHANI MAHMOUD | SALMANI YUNES | Issue Writer Certificate

Keywords

OIL PRICE VOLATILITYQ2

MULTI BEHAVIOR PATTERNSQ2

ECONOMIC GROWTHQ2

GARCH MODELSQ2

MARKOV SWITCHING REGRESSIONQ1

TRANSITION REGIMEQ2

Abstract

Price shocks lead to OIL PRICE VOLATILITY in world oil markets. In response to this volatility, ECONOMIC GROWTH may take different regime and behavior patterns in different situation. Investigating this MULTI BEHAVIOR PATTERNS can be useful for policymakers to reduce the effect of OIL PRICE VOLATILITY. In this study, an EGARCH model has developed using the seasonal data of OPEC oil basket nominal prices during 1367:01-1389:04. Markov switching models is also applied to investigate the MULTI BEHAVIOR PATTERNS of ECONOMIC GROWTH in response to OIL PRICE VOLATILITY in Iran. The results show that positive oil price shocks sharply lead to formation of OIL PRICE VOLATILITY, but, the negative price shocks will slightly reduce OIL PRICE VOLATILITY. Iranian ECONOMIC GROWTH is affected by this volatility under three different behavior regimes. If the economy switch to one of the regimes (low, medium, high ECONOMIC GROWTH), the probability of transition between these regimes and their duration is different. So, OIL PRICE VOLATILITY as a reason for low ECONOMIC GROWTH in Iran may cause the economy switch to its lower situation.

Cites

ارزیابی شوک های قیمت نفت و نرخ ارز بر قیمت مواد غذایی در مناطق شهری ایران

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APA: Copy

MEHREGAN, NADER, MOHAMMADZADEH, PARVIZ, HAGHANI, MAHMOUD, & SALMANI, YUNES. (2013). INVESTIGATING THE ECONOMIC GROWTH MULTI BEHAVIOR PATTERNS IN RESPONSE TO CRUDE OIL PRICE VOLATILITY: AN APPLICATION OF GARCH MODELS AND MARKOV SWITCHING REGRESSION MODEL. JOURNAL OF ECONOMIC MODELING RESEARCH, 3(12), 73-101. SID. https://sid.ir/paper/208865/en

Vancouver: Copy

MEHREGAN NADER, MOHAMMADZADEH PARVIZ, HAGHANI MAHMOUD, SALMANI YUNES. INVESTIGATING THE ECONOMIC GROWTH MULTI BEHAVIOR PATTERNS IN RESPONSE TO CRUDE OIL PRICE VOLATILITY: AN APPLICATION OF GARCH MODELS AND MARKOV SWITCHING REGRESSION MODEL. JOURNAL OF ECONOMIC MODELING RESEARCH[Internet]. 2013;3(12):73-101. Available from: https://sid.ir/paper/208865/en

IEEE: Copy

NADER MEHREGAN, PARVIZ MOHAMMADZADEH, MAHMOUD HAGHANI, and YUNES SALMANI, “INVESTIGATING THE ECONOMIC GROWTH MULTI BEHAVIOR PATTERNS IN RESPONSE TO CRUDE OIL PRICE VOLATILITY: AN APPLICATION OF GARCH MODELS AND MARKOV SWITCHING REGRESSION MODEL,” JOURNAL OF ECONOMIC MODELING RESEARCH, vol. 3, no. 12, pp. 73–101, 2013, [Online]. Available: https://sid.ir/paper/208865/en

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