PROVINCIAL OIL BUDGET ALLOCATION BASED ON A STOCHASTIC OPTIMAL CONTROL MODEL

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RAHMANI FAZLI HADI; ARAB MAZAR ABBAS

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Journal: ECONOMIC RESEARCH REVIEW Year:2016 | Volume:16 | Issue:60 Page(s): 153-182

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Title

PROVINCIAL OIL BUDGET ALLOCATION BASED ON A STOCHASTIC OPTIMAL CONTROL MODEL

Author(s)

RAHMANI FAZLI HADI | ARAB MAZAR ABBAS | Issue Writer Certificate

Keywords

OPTIMAL PROVINCIAL BUDGETINGQ1

STOCHASTIC OPTIMAL CONTROLQ1

DYNAMIC PROGRAMINGQ2

HAMILTON-JACOBI-BELLMAN EQUATIONQ1

Abstract

This study investigates the process of budget allocation to provinces of Iran based on two set of factors of 1- major macro provincial indicators and 2-oil price volatility based on stochastic differential equations and STOCHASTIC OPTIMAL CONTROL framework during the period of 2003 to 2014. In this regard, with calculation of optimal share of provinces in total country budget based on macro indicators data for year 2011, the effect of stochastic oil price on dynamic budget allocation is studied. The dynamic analysis of oil price during 2003 to 2014 indicates a volatile trend with jumps in oil price time series in some sub-periods. Accordingly, different models of stochastic differential equations and STOCHASTIC OPTIMAL CONTROL for modeling oil price and petroleum budgets allocation in different years are proposed. The results show that the share of the provincial budget depends on the parameters that determine the behavior of the oil price time series. So that, with an increased average growth rate of oil prices, the provincial budget share increases over time. In addition, an increase in volatility of oil prices and acceleration in the velocity of oil price mean-reversion, reduce the optimal share of provincial oil budgets over time. Also, based on the results of the simulation model for provincial data in year 2011, the optimal share of provincial oil budgets has dynamic and stochastic behavior and it is formed based on the behavior of oil price time series.

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APA: Copy

RAHMANI FAZLI, HADI, & ARAB MAZAR, ABBAS. (2016). PROVINCIAL OIL BUDGET ALLOCATION BASED ON A STOCHASTIC OPTIMAL CONTROL MODEL. ECONOMIC RESEARCH REVIEW, 16(60 ), 153-182. SID. https://sid.ir/paper/67266/en

Vancouver: Copy

RAHMANI FAZLI HADI, ARAB MAZAR ABBAS. PROVINCIAL OIL BUDGET ALLOCATION BASED ON A STOCHASTIC OPTIMAL CONTROL MODEL. ECONOMIC RESEARCH REVIEW[Internet]. 2016;16(60 ):153-182. Available from: https://sid.ir/paper/67266/en

IEEE: Copy

HADI RAHMANI FAZLI, and ABBAS ARAB MAZAR, “PROVINCIAL OIL BUDGET ALLOCATION BASED ON A STOCHASTIC OPTIMAL CONTROL MODEL,” ECONOMIC RESEARCH REVIEW, vol. 16, no. 60 , pp. 153–182, 2016, [Online]. Available: https://sid.ir/paper/67266/en

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