assessing the asymmetric effects of crude oil shocks on the iranian economy in economic regimes: markov switching model
نویسندگان
چکیده
according to the importance of careful review of crude oil market fluctuations on the iranian economy, in this paper a multivariate model of markov switching vector error correction model (have been used). variables such as real gross domestic product in industrial sector, real effective exchange rate, real governmental expenditure, real import, inflation rate and real crude oil price is used to detect the asymmetric effects of crude oil market shocks in the expansion and recession phase of the iran industrial sector by using the seasonal data from years 1368 to 1386. results show asymmetric behavior of the model variables on the oil price fluctuations in different regimes of the iran industrial sector, so that with moving from the recession phase to expansion phase of the iran industrial sector, the negative effect of increase in oil price on the iranian economy has been increased. jel classifications: e31, e32, g14, q41, q43
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تحقیقات اقتصادیجلد ۴۶، شماره ۴، صفحات ۱۱۹-۱۴۹
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