Investigating the Relationship between Dynamic Correlation (DCC-GARCH) of Oil Prices and Industry Production Index in the Middle East and OECD Countries

سید نعمت اله موسوی ¹ ( معاونت برنامه ریزی واموراقتصاددانش بنیان دانشگاه آزاد مرودشت )
hamidreza panah ² ( miau )

Submited date : 2023-09-02 Accepted date : 2024-08-21

Keywords: عدم قطعیت, قیمت نفت, شاخص تولید صنعتی, DCC-GARCH,

Abstract :

This study examines the correlation between the time variable between world oil prices and the output of the industrial production index (real GDP) in the oil exporting countries of Iran, Saudi Arabia, the UAE and OECD countries. Since the global oil price is one of the important, key and effective factors in the economic growth and development of countries, equipping and directing the funds in the countries to the production and industrial sectors is inevitable. In addition, recognizing the correlation between the global oil price variable allows the exporter to reduce their assets without compromising returns and profits.
Therefore, in this study, using monthly data on world oil prices, the output of the Middle East and OECD industrial production index from 2021-2000 and using Oxmetrics software, The variable correlation with world oil price time and industrial production index efficiency in selected countries has been investigated using the DCC-GARCH dynamic conditional correlation method. The results show that the conditional correlation between the variable and the tim