DYNAMIC EFFECTS OF OIL PRICE SHOCKS ON MACROECONOMIC VARIABLES

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MEHRARA M.; NIKIOSKOUI K.

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Journal: Iranian Journal of Trade Studies Year:2006 | Volume:10 | Issue:40 Page(s): 1-32

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Title

DYNAMIC EFFECTS OF OIL PRICE SHOCKS ON MACROECONOMIC VARIABLES

Author(s)

MEHRARA M. | NIKIOSKOUI K. | Issue Writer Certificate

Keywords

STRUCTURAL VECTOR AUTOREGRESSIVE MODELQ3

OIL PRICE SHOCKSQ3

MACROECONOMIC VARIABLESQ2

OIL EXPORTING COUNTRIESQ3

ECONOMIC FLUCTUATIONSQ3

Abstract

This study analizes the dynamic effects of OIL PRICE SHOCKS on MACROECONOMIC VARIABLES using structural vector auto regression (SVAR). To identify structural innovation from VAR residual, we use the Blanchard and Quah (1989) technique, imposing a set of long-run economic restrictions that are added to purely statistical restrictions of VAR. To derive these long-run restrictions we generalize Haffmaister and Roldos (1997) model using annual data to a typical oil exporting country during 1960-2003. This model is applied for Indonesia, Kuwait and Saudi Arabia as well as Iran, and the results are compared. The result of this study shows that exogenous degree of oil price in Saudi Arabia is lower than Iran and Indonesia. OIL PRICE SHOCKS play a substantial role in explaining Gross Domestic Product (GDP) and imports movements in Saudi Arabia and Iran, while import shocks is the main source of output and import fluctuations in Indonesia and Kuwait. For all countries, the effects of oil price shock on output, import and consumer price is positive and external shocks are the main source of all fluctuations in long-run.

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APA: Copy

MEHRARA, M., & NIKIOSKOUI, K.. (2006). DYNAMIC EFFECTS OF OIL PRICE SHOCKS ON MACROECONOMIC VARIABLES. IRANIAN JOURNAL OF TRADE STUDIES (IJTS), 10(40), 1-32. SID. https://sid.ir/paper/7408/en

Vancouver: Copy

MEHRARA M., NIKIOSKOUI K.. DYNAMIC EFFECTS OF OIL PRICE SHOCKS ON MACROECONOMIC VARIABLES. IRANIAN JOURNAL OF TRADE STUDIES (IJTS)[Internet]. 2006;10(40):1-32. Available from: https://sid.ir/paper/7408/en

IEEE: Copy

M. MEHRARA, and K. NIKIOSKOUI, “DYNAMIC EFFECTS OF OIL PRICE SHOCKS ON MACROECONOMIC VARIABLES,” IRANIAN JOURNAL OF TRADE STUDIES (IJTS), vol. 10, no. 40, pp. 1–32, 2006, [Online]. Available: https://sid.ir/paper/7408/en

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